Structural breaks and time-varying granger-causality: testing the spanning hypothesis

Detalhes bibliográficos
Autor(a) principal: Inverneiro, Miguel Teixeira Rodrigues
Data de Publicação: 2023
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Texto Completo: http://hdl.handle.net/10362/173360
Resumo: This paper analyzes time-varying Granger-causality in the context of structural breaks and changes, employing recursive and recursive evolving window algorithms. A novel approach using the Flexible Fourier Form (Gallant, 1981) for modeling structural breaks is developed, and it is shown that there are no significant size distortions or power losses while accounting for structural breaks of unknown form and date in the deterministic component. Our methodology, applied to the Yield Curve Spanning Hy pothesis, reveals that the hypothesis cannot be universally upheld, as the yield curve only occasionally spans relevant information to predict yields.
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spelling Structural breaks and time-varying granger-causality: testing the spanning hypothesisGranger-causalityFlexible fourier formTime-varying causalityStructural breaksYield curveSpanning hypothesisRecursive testDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis paper analyzes time-varying Granger-causality in the context of structural breaks and changes, employing recursive and recursive evolving window algorithms. A novel approach using the Flexible Fourier Form (Gallant, 1981) for modeling structural breaks is developed, and it is shown that there are no significant size distortions or power losses while accounting for structural breaks of unknown form and date in the deterministic component. Our methodology, applied to the Yield Curve Spanning Hy pothesis, reveals that the hypothesis cannot be universally upheld, as the yield curve only occasionally spans relevant information to predict yields.Rodrigues, Paulo M.M.RUNInverneiro, Miguel Teixeira Rodrigues2024-01-312023-12-202026-11-20T00:00:00Z2024-01-31T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/173360TID:203600576enginfo:eu-repo/semantics/embargoedAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2024-10-14T01:41:30Zoai:run.unl.pt:10362/173360Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T18:59:06.586802Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Structural breaks and time-varying granger-causality: testing the spanning hypothesis
title Structural breaks and time-varying granger-causality: testing the spanning hypothesis
spellingShingle Structural breaks and time-varying granger-causality: testing the spanning hypothesis
Inverneiro, Miguel Teixeira Rodrigues
Granger-causality
Flexible fourier form
Time-varying causality
Structural breaks
Yield curve
Spanning hypothesis
Recursive test
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Structural breaks and time-varying granger-causality: testing the spanning hypothesis
title_full Structural breaks and time-varying granger-causality: testing the spanning hypothesis
title_fullStr Structural breaks and time-varying granger-causality: testing the spanning hypothesis
title_full_unstemmed Structural breaks and time-varying granger-causality: testing the spanning hypothesis
title_sort Structural breaks and time-varying granger-causality: testing the spanning hypothesis
author Inverneiro, Miguel Teixeira Rodrigues
author_facet Inverneiro, Miguel Teixeira Rodrigues
author_role author
dc.contributor.none.fl_str_mv Rodrigues, Paulo M.M.
RUN
dc.contributor.author.fl_str_mv Inverneiro, Miguel Teixeira Rodrigues
dc.subject.por.fl_str_mv Granger-causality
Flexible fourier form
Time-varying causality
Structural breaks
Yield curve
Spanning hypothesis
Recursive test
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Granger-causality
Flexible fourier form
Time-varying causality
Structural breaks
Yield curve
Spanning hypothesis
Recursive test
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This paper analyzes time-varying Granger-causality in the context of structural breaks and changes, employing recursive and recursive evolving window algorithms. A novel approach using the Flexible Fourier Form (Gallant, 1981) for modeling structural breaks is developed, and it is shown that there are no significant size distortions or power losses while accounting for structural breaks of unknown form and date in the deterministic component. Our methodology, applied to the Yield Curve Spanning Hy pothesis, reveals that the hypothesis cannot be universally upheld, as the yield curve only occasionally spans relevant information to predict yields.
publishDate 2023
dc.date.none.fl_str_mv 2023-12-20
2024-01-31
2024-01-31T00:00:00Z
2026-11-20T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/173360
TID:203600576
url http://hdl.handle.net/10362/173360
identifier_str_mv TID:203600576
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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