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Causalidad en Segundos Momentos: Una aplicación a la volatilidad bursátil en México, Estados Unidos y Australia

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  • Omar Alejandro González Rivas

    (Division of Economics, CIDE)

Abstract

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Suggested Citation

  • Omar Alejandro González Rivas, 2016. "Causalidad en Segundos Momentos: Una aplicación a la volatilidad bursátil en México, Estados Unidos y Australia," Graduate theses (Spanish) TESG 006, CIDE, División de Economía.
    • Handle: RePEc:emc:thgrad:tesg006
    as

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    File URL: http://www.economiamexicana.cide.edu/RePEc/emc/pdf/thgrad/TESG006.pdf
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    References listed on IDEAS

    as
    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    2. Les Oxley & David Greasley, 1998. "Vector autoregression, cointegration and causality: testing for causes of the British industrial revolution," Applied Economics, Taylor & Francis Journals, vol. 30(10), pages 1387-1397.
    3. Marta Casas Monsegny & Edilberto Cepeda, 2008. "Modelos ARCH, GARCH y EGARCH: aplicaciones a series financieras," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, July.
    4. Christian M. Hafner, 2009. "Causality and forecasting in temporally aggregated multivariate GARCH processes," Econometrics Journal, Royal Economic Society, vol. 12(1), pages 127-146, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    causalidad en segundos momentos; volatilidad; finanzas; BMV; México; Estados Unidos; Australia;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence

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