Empirical search and characterization of contemporaneity using breaks and regime switching | Zendy

Fernando Delbianco | Zendy; Andrés Fioriti | Zendy

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Empirical search and characterization of contemporaneity using breaks and regime switching

Author(s) -

Fernando Delbianco,

Andrés Fioriti

Publication year - 2017

Publication title -

estudios económicos

Language(s) - English

Resource type - Journals

eISSN - 2525-1295

pISSN - 0425-368X

DOI - 10.52292/j.estudecon.2017.713

Subject(s) - volatility (finance) , economics , econometrics , causality (physics) , characterization (materials science) , financial economics , physics , quantum mechanics , optics

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.

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