@article{oai:meiji.repo.nii.ac.jp:00000063,
 author = {Naoto, Kunitomo and Daisuke, Kurisu and Naoki, Awaya},
 issue = {2},
 journal = {Japanese Journal of Statistics and Data Science},
 month = {Aug},
 note = {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.},
 pages = {297--332},
 title = {Simultaneous multivariate Hawkes-type point processes and their application to financial markets},
 volume = {1},
 year = {2018}
}