The share price in Portugal and Spain, a comparative study

Authors

  • Agustín Alonso-Rodríguez Real Centro Universitario "Escorial-María Cristina"

DOI:

https://doi.org/10.54571/ajee.688

Keywords:

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

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Author Biography

Agustín Alonso-Rodríguez, Real Centro Universitario "Escorial-María Cristina"

Doctor en Ciencias Económicas, especialidad de Economía Cuantitativa, por la Universidad Complutense de Madrid. Cursos de doctorado en Economía por la Universidad de California, San Diego. Profesor de Econometría Decano de Ciencias Empresariales

References

FRED, Federal Reserve Bank of Saint Louis. Base de datos.

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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.

Published

2025-02-17

How to Cite

Alonso-Rodríguez, A. (2025). The share price in Portugal and Spain, a comparative study. Anuario Jurídico Y Económico Escurialense, (58). https://doi.org/10.54571/ajee.688

Issue

Section

ECONOMÍA

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