Granger causality, transfer entropy and GARCH models

Ewa M. Syczewska 1Zbigniew R. Struzik 2

1. Warsaw School of Economics, Al. Niepodległości 162, Warsaw 02-554, Poland
2. The University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-8656, Japan

Abstract

There exist several tools for the assessment of possible causality in the Granger sense between two or more variables. Causality tests based on entropy transfer have been proposed e.g. by Schreiber (2000), Hlavackova et al. (2007) and by Barnett and Seth (2014) (see Syczewska and Struzik (2014)). In our earlier research causal relationship between financial variables has been shown for returns of bilateral exchange rates and stock indices. In financial econometric literature (Kliber (2011), Fiszeder and Orzeszko (2012), among others) prefiltering of the series with ARMA-GARCH models is first applied. This approach will be applied to the same set of variables, to compare the results of nonlinear causality tests. 

 

Auxiliary resources (full texts, presentations, posters, etc.)
  1. PRESENTATION: Granger causality, transfer entropy and GARCH models, PDF document, version 1.5, 0.2MB
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Presentation: Oral at 8 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Ewa M. Syczewska
See On-line Journal of 8 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2015-09-07 01:16
Revised:   2015-11-08 17:05