Browsing FCE - Congresos 2015 by Author "Buzzi, Sergio Martín"
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Cointegration and rolling window cointegration analysis of a selected group of stock market indices
Buzzi, Sergio Martín; Ojeda, Silvia María (2015-10)In order to explore the degree of integration of international stock markets we select a group formed by the most important indices considering their market capitalization and geographical distribution. After testing for ... -
Economic activity and the terms of trade. Argentina, a case study
Buzzi, Sergio Martín; Catalano, María Victoria; Arrufat, José Luis; Díaz Cafferata, Alberto M. (2015-11)We address the influence of terms of trade (TOT) on GDP in Argentina using an 1810-2014 annual database. Eighteen multivariate VAR econometric models are estimated under diverse hypotheses for the relationship among economic ... -
Granger causality testing for Argentina MERVAL index and the major world stock markets
Buzzi, Sergio Martín; Ojeda, Silvia María (2015-10)In this paper are analyzed the causal links among a selected group of global stock market indices, with special focus on the role of Argentina MERVAL index. With this objective in mind, two types of non-conventional Granger ...