dc.contributor.author | Buzzi, Sergio Martín | |
dc.contributor.author | Ojeda, Silvia María | |
dc.date.accessioned | 2022-04-08T18:44:31Z | |
dc.date.available | 2022-04-08T18:44:31Z | |
dc.date.issued | 2015-10 | |
dc.identifier.issn | 2451-8131 | |
dc.identifier.uri | http://hdl.handle.net/11086/23764 | |
dc.description.abstract | 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 causality test are performed in order to avoid the theoretical limitations of the traditional test which requires stationary time series. The first test is based in a surplus-lag VAR model and allows testing for Granger causality in thecontext of non-stationary processes. The second test rests on the estimation of a VARX model and is robust to non-stationarity; long memory; and non-modeled structural breaks. This second test also admits conditioning on endogenous modeled control variables. The estimations are performed using daily data for a long time period, being both testing procedures implemented in the programming language R. Finally the results from both tests are compared and interpreted in order to capture their economic meaning. | es |
dc.format.medium | Impreso | |
dc.language.iso | eng | es |
dc.rights | Licencia Creative Commons Atribución-NoComercial 4.0 Internacional | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc/4.0/ | * |
dc.subject | Granger causality | es |
dc.subject | Time series | es |
dc.subject | VARX | es |
dc.subject | Stock markets | es |
dc.title | Granger causality testing for Argentina MERVAL index and the major world stock markets | es |
dc.type | conferenceObject | es |
dc.description.fil | Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina. | es |
dc.description.fil | Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina. | es |
dc.description.field | Estadística y Probabilidad | |
dc.conference.city | Ciudad Autónoma de Buenos Aires | |
dc.conference.country | Argentina | |
dc.conference.editorial | Universidad Tres de Febrero | |
dc.conference.event | I Congreso Argentino de Estadística | |
dc.conference.eventcity | Ciudad Autónoma de Buenos Aires | |
dc.conference.eventcountry | Argentina | |
dc.conference.eventdate | 2015-10 | |
dc.conference.institution | Universidad Tres de Febrero, Sociedad Argentina de Estadística y Grupo Argentino de Biometría | |
dc.conference.journal | Libro de Resúmenes Extendidos del I Congreso Argentino de Estadística | |
dc.conference.publication | Revista | |
dc.conference.work | Artículo Breve | |
dc.conference.type | Congreso | |