Sökning: "Granger causality"

Visar resultat 1 - 5 av 21 avhandlingar innehållade orden Granger causality.

  1. 1. A Treatise on Measuring Wiener-Granger Causality

    Författare :Mehrdad Jafari-Mamaghani; Joanna Tyrcha; Sebastiano Stramaglia; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Wiener-Granger causality; Information theory; Kernel canonical correlation; Systems Microscopy; Cell migration.; Mathematical Statistics; matematisk statistik;

    Sammanfattning : Wiener-Granger causality is a well-established concept of causality based on stochasticity and the flow of time, with applications in a broad array of quantitative sciences. The majority of methods used to measure Wiener-Granger causality are based on linear premises and hence insensitive to non-linear signals. LÄS MER

  3. 2. Monte Carlo Results for Bootstrap Tests in Systems with Integrated-Cointegrated Variables

    Författare :Panagiotis Mantalos; Statistiska institutionen; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; actuarial mathematics; programming; operations research; Statistics; Granger-causality; Monte Carlo; Cointegration; Bootstrap; Statistik; operationsanalys; programmering; aktuariematematik;

    Sammanfattning : When we study the properties of a test procedure, two aspects are of prime importance. Firstly, we wish to know if the actual size of the test (i.e., the probability of rejecting the null when true) is close to the nominal size (used for calculating the critical values). LÄS MER

  4. 3. Causal links of past climate change in Coupled Model Intercomparison Project Phase 5 climate models

    Författare :Thanh Le; MERGE: ModElling the Regional and Global Earth system; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; solar forcing; volcanic forcing; greenhouse gases radiative forcing; Granger causality; near-surface air temperature; ENSO; IOD; CMIP5; North Atlantic;

    Sammanfattning : The climate system is influenced by various external forcings (e.g. volcanic forcing, solar forcing and change of greenhouse gas concentrations) and its own internal climate variability. LÄS MER

  5. 4. Environmental taxation - Empirical and Theoretical Applications

    Författare :Åsa Löfgren; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Oil; Decomposition; Gasoline; Policy instruments; Causality; Political economy; Optimal taxation; Habit formation; Environment; Intertemporal choice;

    Sammanfattning : This thesis consists of five self-contained articles, and hence each paper can be read independently. Still, all five papers have one important feature in common: environmental taxation. LÄS MER

  7. 5. Essays in Empirical Finance: Volatility, Interdependencies, and Risk in Emerging Markets

    Författare :Anders C Johansson; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Emerging markets; Asia; China; Stock markets; Bond markets; Exchange rates; Causality; Cointegration; Multivariate GARCH; Dynamic correlation; Timescales; Wavelet analysis; Heterogeneous markets; Multivariate stochastic volatility; Markov chain Monte Carlo; Country risk; Conditional beta;

    Sammanfattning : The four essays in this thesis deal with emerging markets and their empirical characteristics. They mainly explore the relationship among different markets and the thesis cover several asset classes, including stocks, bonds, and exchange rates. LÄS MER