"Causality analysis of financial markets by using the multivariate Hawkes Type models" (in Japanese)

Naoto Kunitomo, Ayao Ehara and Daisuke Kurisu
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Naoto Kunitomo: The School of Political Science and Economics, Meiji University and University of Tokyo
Ayao Ehara: Financial Services Agency
Daisuke Kurisu: Graduate School of Economics, University of Tokyo

No CIRJE-J-278, CIRJE J-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: In economic financial time series we sometimes observe big events which are relatively rare, but often have significant influences not only on a financial market but also several different markets and macro economies. By using the extended Hawkes type models, which are point processes, we analyze the causal effects of big events in the sense of the Granger-non-causality. We investigate financial markets of Tokyo, New York and London and apply the Granger non-causality tests. We have found several important findings among financial markets.

Pages: 32 pages
Date: 2016-06
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Persistent link: https://EconPapers.repec.org/RePEc:tky:jseres:2016cj278

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