Author Biography Kostas Spanakis – OmniScriptum Publishing

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Granger Causality and the Financial Markets

In the context of the last crisis that the whole world is going through, this study investigates the appropriate models which are not affected from the crisis and represent efficient solutions for an international portfolio investor. Main idea is to highlight the significance of valid forecasting, whose contribution will be of vital importance to avoid the crisis. To this end, the present study is divided in two parts, the theoretical part and the empirical study. The first one analyzes the theory of time series, after retracing the history of relevant studies. In particular, theories of unit roots, cointegration, causality relations and portfolio theories are referred to. The second part analyzes the study. Objective of the study is to examine the behavior of indices such as DAX, CAC 40, FTSE 100, NIKKEI and S&P 500. The data collected refer to a period of 23 years from 1991 up to 2014 on a monthly basis.

About the Author

Kostas Spanakis

I was born in Thessaloniki in the 1^st of September 1982.

I live in Athens from 1990.For 8 years I lived in Germany.

I graduated from Public Administration on Panteion University of Social and Political Sciences in Athens. I accomplished my postgraduate studies on University of Piraeus on the field of economics and business administration.

My interests focus on the field of macroeconomics, econometrics and finance. My first book, with the title “Granger causality and the financial markets”, was my thesis for my master degree. I published it, in order to share the knowledge I obtained with other researchers or investors.