Browsing FCE - Congresos 2014 by Author "Buzzi, Sergio Martín"
Now showing items 1-2 of 2
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Standard vs. expectation-based indices of TOT volatility in Argentina and other land-abundant countries
Arrufat, José Luis; Buzzi, Sergio Martín; Díaz Cafferata, Alberto M. (2014-11)We mean to improve upon a standing ambiguity in the meaning of "volatility", building an indicator that possesses desirable properties: it reflects unobserved ex ante uncertainty, makes reference to a time process, and ... -
Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application
Buzzi, Sergio Martín; Ojeda, Silvia María (2014-10)In the current paper, we analyze the relationship amongst the dynamics of a group of selected stock indices using daily data. In order to that, we explore the statistical properties of the series, in particular the existence ...