Institute of Information Theory and Automation

New measures of dependence between economic variables

Project leader: Doc. PhDr. Jozef Baruník, Ph.D., Mgr. Lukáš Vácha, Ph.D., Prof. Ing. Miloslav Vošvrda, CSc.
Department: E
Supported by (ID): GA16-14179S
Grantor: Czech Science Foundation
Type of project: theoretical
Duration: 2016 - 2018
Publications at UTIA: list

Abstract:

The project will develop a new measures of dependence between economic variables, which will allow to study the frequency dependent dznamics of correlations in different quantiles of joint distribution. Although the previous literature is helpful in uncovering the origins of dependence at one of these dimensions in manz important economic problems, there exists no methodology being able to characterise the dependence at quantiles and frequencies jointly. We will aim to use the developer methodology to revisit several important economic problems, although we believe that the results will be rather fundamental and open many new interesting question. In addition, we will develop a methodology to study the frequency dependent causality in quantiles of economic variables, and apply it to study the connectedness of global business ccles, and information transmission mechanisms in asset prices.
Responsible for information: E
Last modification: 18.01.2016
Institute of Information Theory and Automation