Causality : definitions, tests and empirical evidence
View/
Keywords
Causality ; Granger causality ; Long-short run causality ; VAR model ; Cointegration ; Αιτιότητα ; ΣυνολοκλήρωσηAbstract
This project involves the presentation of various definitions that have been proposed
for the concept of causality, with an emphasis in the field of Finance and Econometrics,
and various statistical tests which have been used or used in recent years checking the
existence of causal relationships. The last piece of work is devoted to an empirical study
between industrial production of Germany and USA and stock indices DAX30 and
S&P500 respectively, in order to check whether there is any causal relationship.
Specifically, the first chapter begins with a historical overview showing the main
"instigators" of the concept of causality and continues giving the precise definitions that
have been given. The second section deals with the various statistical tests have been
used or used in recent years, while in the third section we present the empirical study,
which based on the concept of causality developed by Granger.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για ΣτελέχηDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
67Language
Greek
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές