Esta tese examina o problema de detecção de conectividade entre séries temporais no sentido de Granger no caso em que a natureza não linear das interações não permite sua determinação por meio de modelos auto-regressivos lineares vetoriais. Mostra-se que é possível realizar esta detecção com auxílio dos chamados métodos de Kernel, que se tornaram populares em aprendizado por máquina (\'machine learning\') já que tais métodos permitem definir formas generalizadas de teste de Granger, coerência parcial direcionada e função de transferência direcionada. Usando simulações, mostram-se alguns exemplos de detecção nos quais fica também evidente que resultados assintóticos deduzidos originalmente para estimadores lineares podem ser generalizados de modo análogo, mostrando-se válidos no presente contexto kernelizado. / This work examines the connectivity detection problem between time series in the Granger sense when the nonlinear nature of interactions determination is impossible via linear vector autoregressive models, but is, nonetheless, feasible with the aid of the so-called Kernel methods that are popular in machine learning. The kernelization approach allows defining generalised versions for Granger tests, partial directed coherence and directed transfer function, which the simulation of some examples shows that the asymptotic detection results originally deducted for linear estimators, can also be employed under kernelization if suitably adapted.

Esta tese examina o problema de detecção de conectividade entre séries temporais no sentido de Granger no caso em que a natureza não linear das interações não permite sua determinação por meio de modelos auto-regressivos lineares vetoriais. Mostra-se que é possível realizar esta detecção com auxílio dos chamados métodos de Kernel, que se tornaram populares em aprendizado por máquina (\'machine learning\') já que tais métodos permitem definir formas generalizadas de teste de Granger, coerência parcial direcionada e função de transferência direcionada. Usando simulações, mostram-se alguns exemplos de detecção nos quais fica também evidente que resultados assintóticos deduzidos originalmente para estimadores lineares podem ser generalizados de modo análogo, mostrando-se válidos no presente contexto kernelizado. / This work examines the connectivity detection problem between time series in the Granger sense when the nonlinear nature of interactions determination is impossible via linear vector autoregressive models, but is, nonetheless, feasible with the aid of the so-called Kernel methods that are popular in machine learning. The kernelization approach allows defining generalised versions for Granger tests, partial directed coherence and directed transfer function, which the simulation of some examples shows that the asymptotic detection results originally deducted for linear estimators, can also be employed under kernelization if suitably adapted.

In this study, linear and nonlinear Granger causality tests are used to examine the dynamics, including return to return and volume to volume relationships, between warrants and their underlying stocks in Taiwan Stock Exchange (TSEC). Results of previous studies are mixed and they only focus on linear relationship between the two markets. Here we take nonlinear relationship into consideration to assist in investigating what the direction of information flow is. We use intraday five-minute high frequency data and the result tells that, overall, for both return to return and volume to volume relations, there is bidirectional but asymmetry linear causality and weak unidirectional nonlinear causality from stock to warrant market between these two markets. Combining the linear and nonlinear results we conclude that the direction of information flow is mainly from stock market to warrant market.

The main aim of this thesis is to discover a suitable instant of time for the Czech Republic to join European Monetary Union. I am analyzing dependence between monetary policies of the Czech National Bank (CNB) and the European Central Bank (ECB) themselves as well as in relation to essential Czech macroeconomic indicators. My observation is focused on interest rate policies represented by operative interest rates, on monetary policies represented by indices of nominal effective exchange rates and on convergence monitoring. The analytical instruments I used in the thesis are correlation analyses, linear trends, the Granger causality test and the Impulse-Reaction test. Besides, my thesis examines fulfillment of the Convergence (Maastricht) criteria in the Czech Republic and other central European countries. This thesis also examines impact of the European monetary policy on some Eurozone member countries.

The relationship between energy consumption and economic growth has been a popular topic in recent studies, with a considerable amount of literature conducted, although there still is no consensus regarding the relationship. Few studies have analysed the nuclear energy growth nexus with greenhouse gas emissions, and none have used the same method, data, and sample period. Therefore, there are still gaps in the literature regarding the Energy Growth Nexus, and this study provides a unique insight into the Swedish nuclear dilemma.   The purpose of this paper is to study the causal relationship between economic growth and nuclear energy consumption, and the causality between greenhouse gas emissions and nuclear energy consumption, in Sweden. The results of which are used to discuss the future consequences a continued shutdown of Sweden’s nuclear power could have. Seven EU nations and two non-EU nations are included to be able to make comparisons to Sweden. This paper is based on a method of time series analysis by conducting Ordinary Least Squares-regressions in combination with Granger causality tests.    Our results indicate that nuclear power granger cause growth in Belgium and the United Kingdom. Additionally, this study finds a bidirectional granger causality between greenhouse gas emissions and nuclear energy in the USA. The causal relationship between nuclear energy, economic growth, and greenhouse gas emissions in Sweden is still unclear. However, the Swedish energy market is facing multiple challenges including global warming, increased energy demand, and a transition towards a completely renewable energy mix. The role of nuclear power in the Swedish energy mix is still unclear. It is therefore the authors belief that a decision regarding the future of the Swedish energy supply is needed. / Förhållandet mellan energikonsumtion och ekonomisk tillväxt har varit ett populärt ämne i nutida forskning, detta då en avsevärd mängd litteratur har författats på ämnet, dock har forskningen ännu inte funnit konsensus gällande det påstådda förhållandet. Få studier har emellertid analyserat energi-tillväxt sambandet med växthusgaser, inga av dessa studier har använt samma metod, data och tidsperiod. Med grund i detta finns det ändock ett tomrum i forskningen och litteraturen gällande energi-tillväxt sambandet och denna studie tillhandahåller en särskild insikt i det svenska kärnkraftsdilemmat.    Syftet med denna uppsats har varit att studera det kausala förhållandet mellan ekonomisk tillväxt och kärnkraftskonsumtion, samt kausaliteten mellan utsläpp från växthusgaser och ekonomisk tillväxt, i Sverige. Resultaten av denna uppsats har använts för att diskutera och analysera framtida konsekvenser av en fortsatt kärnkraftsnedstängning i Sverige. Sju EU-nationer samt två länder utanför EU har inkluderats för att kunna genomföra jämförelser med Sverige. Denna uppsats är baserad på en metod av tidsserieanalys som regression kallad Minsta Kvadratregressioner i kombination med Granger kausalitets-tester.   Uppsatsens resultat indikerar att kärnkraft Granger-kauserar tillväxt i Belgien och Storbritannien. Studien finner även en dubbelriktad Granger-kausalitet mellan växthusgasutsläpp och kärnkraft i USA. Det kausala sambandet mellan kärnkraft, ekonomisk tillväxt och växthusgasutsläpp i Sverige är fortsatt otydligt. Den svenska energimarknaden står emellertid inför flera utmaningar som främst inkluderar global uppvärmning, ökande efterfrågan på energi samt en pågående övergång till en helt förnybar energimix. Rollen kärnkraft kommer ha i den svenska energimixen är fortfarande oklar. Det är därför författarnas uppfattning att ett beslut angående hur det framtida energiutbudet ska se ut måste tas.