The thesis investigates the question of causal relationships identification and characterization in the field of finance and econometrics. Each chapter contributes to the literature both methodologically and empirically. The first chapter explores the ability of transfer entropy and Granger based causality measures to identify causal relationships between financial series. In the second chapter, the environment around agents exchanging information is taken into account to avoid the issue of indirect links. The last two chapters are devoted to the development of multi-channel causality measures. As regards the empirical part, most of the emphasis is put on the characterization of financial networks and the link between their topology and the risk associated with the system or individual financial institutions. The last chapter rather considers the information transmission between countries and the role of the commodity markets as an additional channel.
- Causality
- Transfer entropy
- Granger causality
- network inference
- Financial institutions
- systemic risk
- Multichannel causality
- frequency analysis
Essays in Econophysics and Applied Econometrics: Modeling Complexity in Finance
Dahlqvist, C. (Author). 4 Sept 2018
Student thesis: Doc types › Doctor of Economics and Business Management