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Gehlavij Mohammadi 2014

Exploring linkages between international stock markets using Graphical models for multivariate time series. Gehlavij Mohammadi 2014. contents. Basic definition Graphical models for multivariate time series Theory from TSC graph to causality graph Degrees of causality Experiments.

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Gehlavij Mohammadi 2014

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  1. Exploring linkages between international stock marketsusing Graphical models for multivariate time series GehlavijMohammadi 2014

  2. contents • Basic definition • Graphical models for multivariate time series • Theory from TSC graph to causality graph • Degrees of causality • Experiments

  3. Basic definition Where,

  4. Basic definition

  5. Graphical models for multivariate time series • Time series chain graph • Granger causality

  6. Graphical models for multivariate time series Time series chain graph

  7. Graphical models for multivariate time series TSC-graph for a Vector autoregressive process

  8. Graphical models for multivariate time series Granger causality graph

  9. Theory from TSC-graph to causality graph

  10. Theory from TSC-graph to causality graph • As an example for theory 2.1, we consider the five-dimensional VAR(2)-process with parameters

  11. Theory from TSC-graph to causality graph • Corresponding TSC-graph for the VAR process

  12. Theory from TSC-graph to causality graph • Corresponding causality graph

  13. Degrees of causality

  14. Degrees of causality • Weighted causality graph

  15. Experiments • Methodology • Data • Finding intervals of analysis with regression tree • Fitting VAR model • Construct Tsc-graph • Obtain causality graph from Tsc-graph

  16. Experiments • Basic example • Data (Japan(Nikkei2250, UK(FTSE100), USA(S&P500)) • Finding intervals of analysis with regression tree

  17. Experiments • Basic example • Finding intervals of analysis with regression tree

  18. Experiments • Basic example • Fitting VAR model

  19. Experiments • Basic example • Construct Tsc-graph

  20. Experiments • Basic example • Obtain weighted causality graph from Tsc-graph

  21. Experiments • Main example • Data (Brazil(BVSP), Mexico(MXX), India(BSESN), Indonesia(JKSE), Taiwan(TWII), Germany(GDAXI), Spain(IBEX), UK(FTSE), USA(GSPC), Japan(N225), China(HSCE) )

  22. Experiments • Main example • Finding intervals of analysis with regression tree With respect to VLIC and Euro stock indices

  23. Experiments • Main example • Finding intervals of analysis with regression tree

  24. Experiments • Main example • Fitting VAR model • Construct Tsc-graph • Obtain causality graph from Tsc-graph

  25. Experiments • Main example

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