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Empirical search and characterization of contemporaneity using breaks and regime switching
[Búsqueda empírica y caracterización de contemporaneidad utilizando quiebres estructurales y cambios de régimen]

Author

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  • Fernando Delbianco
  • Andrés Fioriti

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

Suggested Citation

  • Fernando Delbianco & Andrés Fioriti, 2017. "Empirical search and characterization of contemporaneity using breaks and regime switching [Búsqueda empírica y caracterización de contemporaneidad utilizando quiebres estructurales y cambios de ré," Estudios Economicos, Universidad Nacional del Sur, Departamento de Economia, vol. 34(68), pages 75-91, january-J.
    • Handle: RePEc:uns:esteco:v:34:y:2017:i:68:p:75-91
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    File URL: http://revistas.uns.edu.ar/ee/article/view/713/392
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    More about this item

    Keywords

    structural breaks; regime switching; contemporaneity and market volatility;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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