Discussion Papers 2017

CIRJE-F-1045	"The Simultaneous Multivariate Hawkes-type Point Processes and their application to Financial Markets"
Author Name	Kunitomo, Naoto, Daisuke Kurisu, Yusuke Amano and Naoki Awaya
Date	April 2017
Full Paper	PDF file
Remarks

Abstract
In economic and financial time series we sometimes observe sudden and large jumps. Although these events are relatively rare, they would have significant influence not only on a financial market but also several different markets and macro economies. By using the simultaneous Hawkes-type multivariate point processes (SHPP) models, it is possible to analyze the causal effects of large events in the sense of the Granger-non-causality (GNC) and the instantaneous Granger-non-causality (IGNC). We investigate the financial market of Tokyo and other markets, and apply the Granger non-causality tests. We have found several important empirical findings among financial markets and macro economies.
Keywords: Simultaneous Hawkes-type marked point (SHPP) processes, Granger non-causality, Instantaneous Granger non-causality, Causality tests, Financial markets

Abstract

In economic and financial time series we sometimes observe sudden and large jumps. Although these events are relatively rare, they would have significant influence not only on a financial market but also several different markets and macro economies. By using the simultaneous Hawkes-type multivariate point processes (SHPP) models, it is possible to analyze the causal effects of large events in the sense of the Granger-non-causality (GNC) and the instantaneous Granger-non-causality (IGNC). We investigate the financial market of Tokyo and other markets, and apply the Granger non-causality tests. We have found several important empirical findings among financial markets and macro economies.

Keywords: Simultaneous Hawkes-type marked point (SHPP) processes, Granger non-causality, Instantaneous Granger non-causality, Causality tests, Financial markets