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Granger causality and stopping times*

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Abstract

We consider causality relationships between σ-fields (filtrations) associated by stopping times, which can be applied to the stopped processes. These results are motivated by the causality relationship between filtrations “(\( \mathcal{G} \) t) is a cause of (ℋt) 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.

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Authors and Affiliations

  1. Department of Mathematics and Statistics, Faculty of Economics, University of Belgrade, Kamenička 6, 11000, Beograd, Serbia

    Ljiljana Petrović

  2. Department of Mathematics and Informatics, Faculty of Science, University of Kragujevac, Radoja Domanovića 12, 34000, Kragujevac, Serbia

    Sladana Dimitrijević

  3. Department of Mathematics, Faculty of Science, University of Kosovska Mitrovica, Lole Ribara 29, 38220, Kosovska Mitrovica, Serbia

    Dragana Valjarević

Authors
  1. Ljiljana Petrović
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  2. Sladana Dimitrijević
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  3. Dragana Valjarević
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Corresponding author

Correspondence to Ljiljana Petrović.

Additional information

*The work is supported by Ministry of Education, Science and Technological Development.

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Petrović, L., Dimitrijević, S. & Valjarević, D. Granger causality and stopping times*. Lith Math J 56, 410–416 (2016). https://doi.org/10.1007/s10986-016-9325-0

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  • DOI: https://doi.org/10.1007/s10986-016-9325-0

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