Publicação
Structural breaks and time-varying granger-causality: testing the spanning hypothesis
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Rodrigues, Paulo Manuel Marques | |
| dc.contributor.author | Inverneiro, Miguel Teixeira Rodrigues | |
| dc.date.accessioned | 2024-10-11T13:29:27Z | |
| dc.date.embargo | 2026-11-20 | |
| dc.date.issued | 2024-01-31 | |
| dc.date.submitted | 2023-12-20 | |
| dc.description.abstract | 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. | pt_PT |
| dc.identifier.tid | 203600576 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/173360 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Granger-causality | pt_PT |
| dc.subject | Flexible fourier form | pt_PT |
| dc.subject | Time-varying causality | pt_PT |
| dc.subject | Structural breaks | pt_PT |
| dc.subject | Yield curve | pt_PT |
| dc.subject | Spanning hypothesis | pt_PT |
| dc.subject | Recursive test | pt_PT |
| dc.title | Structural breaks and time-varying granger-causality: testing the spanning hypothesis | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | embargoedAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Master’s degree in Economics from the Nova School of Business and Economics. | pt_PT |