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Simultaneous multivariate Hawkes-type point processes and their application to financial markets
http://hdl.handle.net/10291/20760
http://hdl.handle.net/10291/20760021e4c67-68db-4790-85ce-9e8cc5a9692d
名前 / ファイル | ライセンス | アクション |
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jjsds_1_2_297.pdf (1.8 MB)
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Item type | 学術雑誌論文 / Journal Article(1) | |||||
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公開日 | 2020-03-30 | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | Simultaneous multivariate Hawkes-type point processes and their application to financial markets | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | Simultaneous Hawkes-type marked point process(SHPP) | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | Granger-non-causality | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | Instantaneous non-causality | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | Non-causality tests | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | International financial markets | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | journal article | |||||
著者 |
Naoto, Kunitomo
× Naoto, Kunitomo× Daisuke, Kurisu× Naoki, Awaya |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In economic and financial time series we sometimes observe sudden and large price jumps. Although these events are relatively rare, they have significant impacts on not only a given financial market but also several different markets and wider macro economies. Using simultaneous Hawkes-type multivariate point process(SHPP)models, it is possible to analyze the causal effects of large events in the sense of the Granger-non-causality(GNC)from one market to other markets as well as the instantaneous Granger-non-causality(IGNC). We investigate the financial market of Tokyo and other major markets, and apply GNC tests to investigate the interde pendence of large events among markets. Several important empirical findings emerge among financial markets and wider macro economies. | |||||
書誌情報 |
Japanese Journal of Statistics and Data Science 巻 1, 号 2, p. 297-332, 発行日 2018-08-10 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 2520-8764 | |||||
DOI | ||||||
関連タイプ | isIdenticalTo | |||||
識別子タイプ | DOI | |||||
関連識別子 | info:doi/10.1007/s42081-018-0017-3 | |||||
権利 | ||||||
権利情報 | ⒸThe Author(s) 2018,Open Access This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. | |||||
著者版フラグ | ||||||
出版タイプ | VoR | |||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
出版者 | ||||||
言語 | ja | |||||
出版者 | Springer |