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

GehlavijMohammadi

2014


Contents
contents

  • Basic definition

  • Graphical models for multivariate time series

  • Theory from TSC graph to causality graph

  • Degrees of causality

  • Experiments




Graphical models for multivariate time series
Graphical models for multivariate time series

  • Time series chain graph

  • Granger causality



Graphical models for multivariate time series2
Graphical models for multivariate time series

TSC-graph for a Vector autoregressive process




Theory from tsc graph to causality graph1
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 graph2
Theory from TSC-graph to causality graph

  • Corresponding TSC-graph for the VAR process


Theory from tsc graph to causality graph3
Theory from TSC-graph to causality graph

  • Corresponding causality graph



Degrees of causality1
Degrees of causality

  • Weighted causality graph


Experiments
Experiments

  • Methodology

    • Data

    • Finding intervals of analysis with regression tree

    • Fitting VAR model

    • Construct Tsc-graph

    • Obtain causality graph from Tsc-graph


Experiments1
Experiments

  • Basic example

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

    • Finding intervals of analysis with regression tree


Experiments2
Experiments

  • Basic example

    • Finding intervals of analysis with regression tree


Experiments3
Experiments

  • Basic example

    • Fitting VAR model


Experiments4
Experiments

  • Basic example

    • Construct Tsc-graph


Experiments5
Experiments

  • Basic example

    • Obtain weighted causality graph from Tsc-graph


Experiments6
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) )


Experiments7
Experiments

  • Main example

    • Finding intervals of analysis with regression tree

      With respect to VLIC and Euro stock indices


Experiments8
Experiments

  • Main example

    • Finding intervals of analysis with regression tree


Experiments9
Experiments

  • Main example

    • Fitting VAR model

    • Construct Tsc-graph

    • Obtain causality graph from Tsc-graph


Experiments10
Experiments

  • Main example


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