The share price in Portugal and Spain, a comparative study
DOI:
https://doi.org/10.54571/ajee.688Keywords:
Share price, stock price, dynamic relationship, VAR models, R.Abstract
Using a vector autorregresive model for time series, the time evolution of the price of a share or stock it is compared for Portugal and Spain, in order to consider the possible dynamic relationship regarding prices in these neighboring countries
Downloads
References
FRED, Federal Reserve Bank of Saint Louis. Base de datos.
GRANGER, C. W. J., Investigating causal relations by econometric models and crossspectral methods, Econometrica 37,424-438. DOI: https://doi.org/10.2307/1912791
HAMILTON, J. D., Time Series Analysis Princeton, 1994. DOI: https://doi.org/10.1515/9780691218632
HYNDMAN, R. I. y ATHANASOPOULOS, G. Forecasting Principles and Practice, seguna edición, OTexts, 2018.
LÜTKEPOHL, H., New Introduction to Multiple Time Series Analysis, New York, 2007.
LÜTKEPOHL, H. y KRÄTZIG, M. (edits), Applied Time Series Econometrics, Cambridge, 2004. DOI: https://doi.org/10.1017/CBO9780511606885
MTS, paquete econométrico para acompañar, TSAY, R. S., Multivariate Time Series Analysis, with R and Financial Applicatios, Hoboken, New Jersey, 2014.
OCDE, Main Economic Indicators. Base de datos.
PFAFF, Bernhard Pfaff, autor del paquete vars, en R, para el análisis de series de tiempo multiples, https://www.pfaffikus.de.
R Core Team (2024). R: A Language and Environment for Statistical Computing. R Foundation for Statistical Computing, Vienna, Austria. https://www.R-project.org/.
TSAY, R. S., Multivariate Time Series Analysis with R and Financial Applications, Hoboken, New Jersey, 2014.
VARS, https://www.pfaffikus.de.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2025 Agustín Alonso-Rodríguez

This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.