Essays about: "GRANGER CAUSALITY"

Showing result 16 - 20 of 172 essays containing the words GRANGER CAUSALITY.

1. 16. Networks of spillover effects to spot systemic risk in the banking industry: testing Granger causality in a high dimensional VAR model

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Emanuele Paccagnella; [2023]
   Keywords : Systemic risk - Network - Contagion - Banks - VAR; Business and Economics;

   Abstract : In this essay the evolution of global systemic risk is investigated by creating networks (and communities) of contagion among 88 banks that are deemed systemically important on a global level (particularly western economy). The contagion is defined by a Granger Causality relation between two individuals in the network, this is tested using the Post double selection method described in Margartitella et al. READ MORE

3. 17. Hawkes Processes on Socialand Mass Media: : A Causal Study of the #BlackLivesMatter Movement inthe Summer of 2020

   University essay from Uppsala universitet/Statistik, AI och data science

   Author : Alfred Minh Lindström; [2023]
   Keywords : ;

   Abstract : In this work we study interactions in social media and the reports in mass media during the Black LivesMatter (BLM) protests following the death of George Floyd. We implement open-source pipelines to process the data at scale and employ the self-exciting counting process known as Hawkes process to address our main question: is there a causal relation between interactions in social media and reports of street protests in mass media? Specifically, we use distributed label propagation to identify such interactions in Twitter, that supported the BLM movement, and compared the timing of these interaction to those of news reports of street protests mentioning George Floyd, via the Global Database of Events, Language, and Tone (GDELT) Project. READ MORE

4. 18. Holocene vegetation change and its correlates in fennoscandia

   University essay from Göteborgs universitet / Institutionen för biologi och miljövetenskap

   Author : Raphaela Infanger; [2022-10-21]
   Keywords : Fennoscandia; Holocene; human impact; climate impact; vegetation change; fossil pollen;

   Abstract : Climatic and anthropogenic legacy has differently impacted vegetation and its community composition. To determine the extent and origin of changes across Fennoscandia, representative regions were defined that entailed sufficient spatial and temporal data. READ MORE

5. 19. Title: Does Bitcoin hedge inflation risk? A multivariate time series analysis

   University essay from Göteborgs universitet/Graduate School

   Author : Domenico Roberto Curciarello; [2022-06-29]
   Keywords : Bitcoin; 5 years– 5 years forward inflation expectation rate; VAR; VARX; Granger causality; Impulse response function; Forecast error variance decomposition;

   Abstract : This thesis investigates whether Bitcoin can be considered a valuable hedge against inflation risk. The research examines the relationship between Bitcoin and inflation, the two variables' forecast ability, and how an exogenous shock simulated on one variable affects the other. READ MORE

6. 20. The Influence of Gold Market on Bitcoin Prices : Is there a correlation?

   University essay from Jönköping University/Internationella Handelshögskolan

   Author : Kasra Shariati; [2022]
   Keywords : Bitcoin; Gold; Investor Attention; Market Performance; Virtual Currency Development; Investments; Correlation;

   Abstract : Background: This paper analyses the influence of fluctuation in gold market on bitcoin prices. Based on previous studies, in present market conditions, volatility in gold prices have caused price changes in several other major assets in the market, such as crude oil. Gold fluctuations are likely to stimulate uncertainty in some other major assets. READ MORE