Granger causality and stopping times

被引:6
|
作者
Petrovic, Ljiljana [1 ]
Dimitrijevic, Sladana [2 ]
Valjarevic, Dragana [3 ]
机构
[1] Univ Belgrade, Fac Econ, Dept Math & Stat, Kamenicka 6, Beograd 11000, Serbia
[2] Univ Kragujevac, Dept Math & Informat, Fac Sci, Radoja Domanov 12, Kragujevac 34000, Serbia
[3] Univ Kosovska Mitrov, Dept Math, Fac Sci, Lole Ribara 29, Kosovska Mitrovica 38220, Serbia
关键词
causality; filtration; stopping time; stopped process;
D O I
10.1007/s10986-016-9325-0
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
We consider causality relationships between sigma-fields (filtrations) associated by stopping times, which can be applied to the stopped processes. These results are motivated by the causality relationship between filtrations "( t) is a cause of (a"< t) within (Ft)" and which is based on Granger's definition of causality. Then we give some basic properties of causality up to some stopping time. The given concept of causality associated to stopping times is equivalent with the preservation of the martingale property for the stopped processes when the filtration is getting larger.
引用
收藏
页码:410 / 416
页数:7
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