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Xu, Jing; Tong, Xing-wei

Causality analysis of futures sugar prices in Zhengzhou based on graphical models for multivariate time series. (English) Zbl 1336.62032

Acta Math. Appl. Sin., Engl. Ser. 32, No. 1, 129-136 (2016).
Summary: This paper presents a method of constructing a mixed graph which can be used to analyze the causality for multivariate time series. We construct a partial correlation graph at first which is an undirected graph. For every undirected edge in the partial correlation graph, the measures of linear feedback between two time series can help us decide its direction, then we obtain the mixed graph. Using this method, we construct a mixed graph for futures sugar prices in Zhengzhou (ZF), spot sugar prices in Zhengzhou (ZS) and futures sugar prices in New York (NF). The result shows that there is a bi-directional causality between ZF and ZS, an unidirectional causality from NF to ZF, but no causality between NF and ZS.

MSC:

62-07 Data analysis (statistics) (MSC2010)
91B84 Economic time series analysis
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62A09 Graphical methods in statistics
62P05 Applications of statistics to actuarial sciences and financial mathematics

Keywords:

causality; partial spectral coherence; partial correlation graph; linear feedback; mixed graph

Software:

TETRAD
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Full Text: DOI

References:

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