Browsing FCE - Congresos 2017 by Author "Buzzi, Sergio Martín"
Now showing items 1-3 of 3
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Análisis de cointegración por tramos aplicado a los principales mercados bursátiles del mundo
Buzzi, Sergio Martín; Ojeda, Silvia María (Asociación Argentina de Matemática Aplicada, Computacional e Industrial, 2017-05)En este trabajo se analiza el grado de integración de los principales mercados de valores del mundo. Con dicha finalidad, se contrasta la existencia de cointegración entre los índices de los 9 mercados con mayor capitalización ... -
Ex-ante volatility measures based on agents' expectations. An application to Argentina's tems of trade
Buzzi, Sergio Martín; Arrufat, José Luis (2017-10)In this paper we discuss the construction of volatility measures aimed to reflect the ex-ante uncertainty faced by economic agents. The most widely used volatility measure is the standard deviation of the original time ... -
Unit root testing under structural breaks
Buzzi, Sergio Martín; Ojeda, Silvia María (2017-10)In this paper are analyzed eleven stock market indices in order to conclude about their integration orders. With this objective in mind, three tests are performed. The first test, is the standard Augmented Dickey-Fuller ...