Empirical search and characterization of contemporaneity using breaks and regime switching

Empirical search and characterization of contemporaneity using breaks and regime switching

Show other versions (1)

This paper describes a technique to determine the contemporaneity of two economic events. It is also possible to determine some characteristics of the contemporaneity, as a descriptive stage previous to causality analysis and model estimations. As an illustration, a case of contemporaneity between n...

Full description

Bibliographic Details
Main Authors: Fernando Delbianco, Andrés Fioriti
Format: Article
Language:English
Published: Editorial de la Universidad Nacional del Sur (Ediuns) 2017-06-01
Series:Estudios Económicos
Subjects:
Structural Breaks
Regime Switching
Contemporaneity and Market Volatility
Online Access:https://ojs.uns.edu.ar/ee/article/view/713
id doaj-664b6cc6a6154a6f92e508949e182661
record_format Article
spelling doaj-664b6cc6a6154a6f92e508949e1826612021-02-02T19:25:45ZengEditorial de la Universidad Nacional del Sur (Ediuns)Estudios Económicos0425-368X2525-12952017-06-013468Empirical search and characterization of contemporaneity using breaks and regime switchingFernando Delbianco0Andrés Fioriti1Universidad Nacional del SurUniversidad Nacional del SurThis paper describes a technique to determine the contemporaneity of two economic events. It is also possible to determine some characteristics of the contemporaneity, as a descriptive stage previous to causality analysis and model estimations. As an illustration, a case of contemporaneity between news and volatility in finan- cial markets is shown. The main result of the exercise is a Laffer curve relationshipbetween corruption and volatility given news.https://ojs.uns.edu.ar/ee/article/view/713Structural BreaksRegime SwitchingContemporaneity and Market Volatility
collection DOAJ
language English
format Article
sources DOAJ
author Fernando Delbianco
Andrés Fioriti
spellingShingle Fernando Delbianco
Andrés Fioriti
Empirical search and characterization of contemporaneity using breaks and regime switching
Estudios Económicos
Structural Breaks
Regime Switching
Contemporaneity and Market Volatility
author_facet Fernando Delbianco
Andrés Fioriti
author_sort Fernando Delbianco
title Empirical search and characterization of contemporaneity using breaks and regime switching
title_short Empirical search and characterization of contemporaneity using breaks and regime switching
title_full Empirical search and characterization of contemporaneity using breaks and regime switching
title_fullStr Empirical search and characterization of contemporaneity using breaks and regime switching
title_full_unstemmed Empirical search and characterization of contemporaneity using breaks and regime switching
title_sort empirical search and characterization of contemporaneity using breaks and regime switching
publisher Editorial de la Universidad Nacional del Sur (Ediuns)
series Estudios Económicos
issn 0425-368X
2525-1295
publishDate 2017-06-01
description This paper describes a technique to determine the contemporaneity of two economic events. It is also possible to determine some characteristics of the contemporaneity, as a descriptive stage previous to causality analysis and model estimations. As an illustration, a case of contemporaneity between news and volatility in finan- cial markets is shown. The main result of the exercise is a Laffer curve relationshipbetween corruption and volatility given news.
topic Structural Breaks
Regime Switching
Contemporaneity and Market Volatility
url https://ojs.uns.edu.ar/ee/article/view/713
work_keys_str_mv AT fernandodelbianco empiricalsearchandcharacterizationofcontemporaneityusingbreaksandregimeswitching
AT andresfioriti empiricalsearchandcharacterizationofcontemporaneityusingbreaksandregimeswitching
_version_ 1724292136660107264

Similar Items