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2006 | nr 2 Financial markets : principles of modeling forecasting and decision-making | 257--274
Tytuł artykułu

Detecting Nonlinear Causality at Financial Markets

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EN
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EN
Chapter 15 presents an analysis of the concept of nonlinear causality. The concept of Granger causality is widely known. It is usually applied to linear economic relationships. There are, however, two facts related to the nonlinear case. The former concerns the general definition of Granger causality. It is formulated in terms of conditional probability density, and therefore can be extended for any functional form of the relationship. The second fact concerns the operational character of the analyzed concept. It is not easy to propose the universal tool. The chapter has discussed advantages and disadvantages of nonlinear causality definition and its consequences for empirical results. The nonlinear testing has been applied to financial time series. (fragment of text)
Twórcy
  • Nicolaus Copernicus University in Toruń, Poland
  • Nicolaus Copernicus University in Toruń, Poland
Bibliografia
  • Baek E. G., Brock W. A. (1992), A General Test for Nonlinear Granger Causality: Bivariate model. Technical Report, Madison: Iowa State University, University of Wisconsin.
  • Denker M., Keller G. (1983), "On U-Statistics and von Mises' Statistics for Weakly Dependent Processes", Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete, 64.
  • Diks C., Panchenko V. (2004a), "A Note on the Hiemstra-Jones Test for Granger Non- Causality", Studies in Nonlinear Dynamics and Econometrics (forthcoming).
  • Diks C., Panchenko V. (2004b), "A New Statistic and Practica] Guidelines for Nonparametric Granger Causality Testing", working paper, Center for Nonlinear Dynamics in Economics and Finance.
  • Granger C. W. J., (1969), "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods", Econometrica, 37.
  • Granger C. W. J., Huang B-H, Yang Ch.-W. (2000), "A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asian Flu", The Quaterly Review of Economics and Finance, 40.
  • Hiemstra C., Jones J. D. (1994), "Testing for Linear, and Nonlinear Granger Causality in the Stock Price Volume Relation", Journal of Finance, 49.
  • Jorion P. (1990), "The Exchange Rate Exposure of US Multinationals", Journal of Business, 63.
  • Ramsey J. B., Sayers C. L., Rothman P. (1990), "The Statistical Properties of Dimension Calculations Using Small Data Sets: Some Economic Applications", International Economic Review, 31.
  • Silvapulle P., Choi J.-S. (1999), "Testing for Linear and Nonlinear Granger Causality in the Stock Price - Volume Relation: Korean Evidence", The Quarterly Review of Economics and Finance, 39.
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Bibliografia
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