IDEAS home Printed from https://ideas.repec.org/p/tky/fseres/2017cf1045.html
   My bibliography  Save this paper

The Simultaneous Multivariate Hawkes-type Point Processes and Their Application to Financial Markets

Author

Listed:
  • Naoto Kunitomo

    (School of Political Sicence and Economics, Meiji University,)

  • Daisuke Kurisu

    (Graduate School of Economics, The University of Tokyo)

  • Yusuke Amano

    (Graduate School of Economics, The University of Tokyo)

  • Naoki Awaya

    (Graduate School of Economics, The University of Tokyo)

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.

Suggested Citation

  • Naoto Kunitomo & Daisuke Kurisu & Yusuke Amano & Naoki Awaya, 2017. "The Simultaneous Multivariate Hawkes-type Point Processes and Their Application to Financial Markets," CIRJE F-Series CIRJE-F-1045, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2017cf1045
    as

    Download full text from publisher

    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2017/2017cf1045.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tky:fseres:2017cf1045. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CIRJE administrative office (email available below). General contact details of provider: https://edirc.repec.org/data/ritokjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.