Empirical search and characterization of contemporaneity using breaks and regime switching-Reference-Cited by-同舟云学术

Empirical search and characterization of contemporaneity using breaks and regime switching

Published:2017-06-05 Issue:68 Volume:34 Page:75-92
ISSN:2525-1295
Container-title:Estudios económicos
language:
Short-container-title:Estud. econ

Author:

Delbianco Fernando,Fioriti Andrés

Abstract

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.

Publisher

EdiUNS - Editorial de la Universidad Nacional del Sur

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