Exploring linkages between international stock markets
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Exploring linkages between international stock markets using Graphical models for multivariate time series. Gehlavij Mohammadi 2014. contents. Basic definition Graphical models for multivariate time series Theory from TSC graph to causality graph Degrees of causality Experiments.

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Gehlavij Mohammadi 2014

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Exploring linkages between international stock marketsusing Graphical models for multivariate time series

GehlavijMohammadi

2014


contents

  • Basic definition

  • Graphical models for multivariate time series

  • Theory from TSC graph to causality graph

  • Degrees of causality

  • Experiments


Basic definition

Where,


Basic definition


Graphical models for multivariate time series

  • Time series chain graph

  • Granger causality


Graphical models for multivariate time series

Time series chain graph


Graphical models for multivariate time series

TSC-graph for a Vector autoregressive process


Graphical models for multivariate time series

Granger causality graph


Theory from TSC-graph to causality graph


Theory from TSC-graph to causality graph

  • As an example for theory 2.1, we consider the five-dimensional VAR(2)-process with parameters


Theory from TSC-graph to causality graph

  • Corresponding TSC-graph for the VAR process


Theory from TSC-graph to causality graph

  • Corresponding causality graph


Degrees of causality


Degrees of causality

  • Weighted causality graph


Experiments

  • Methodology

    • Data

    • Finding intervals of analysis with regression tree

    • Fitting VAR model

    • Construct Tsc-graph

    • Obtain causality graph from Tsc-graph


Experiments

  • Basic example

    • Data (Japan(Nikkei2250, UK(FTSE100), USA(S&P500))

    • Finding intervals of analysis with regression tree


Experiments

  • Basic example

    • Finding intervals of analysis with regression tree


Experiments

  • Basic example

    • Fitting VAR model


Experiments

  • Basic example

    • Construct Tsc-graph


Experiments

  • Basic example

    • Obtain weighted causality graph from Tsc-graph


Experiments

  • Main example

    • Data (Brazil(BVSP), Mexico(MXX), India(BSESN), Indonesia(JKSE), Taiwan(TWII), Germany(GDAXI), Spain(IBEX), UK(FTSE), USA(GSPC), Japan(N225), China(HSCE) )


Experiments

  • Main example

    • Finding intervals of analysis with regression tree

      With respect to VLIC and Euro stock indices


Experiments

  • Main example

    • Finding intervals of analysis with regression tree


Experiments

  • Main example

    • Fitting VAR model

    • Construct Tsc-graph

    • Obtain causality graph from Tsc-graph


Experiments

  • Main example


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