# Gehlavij Mohammadi 2014 - PowerPoint PPT Presentation

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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

2014

### contents

• Basic definition

• Graphical models for multivariate time series

• Theory from TSC graph to causality graph

• Degrees of causality

• Experiments

Where,

### 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

• 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

• 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

• Main example