Ricardo Gimeno

Stationarity tests for financial time series

Much attention has been paid in recent years to the study of the order of integration of a time series, i.e. the number of differences that are necessary to transform it into a stationary series. The relevance of the subject arises because most of time series analysis in economics and finance are based on the stationarity hypothesis. In the paper we present the most common tests for the null hypothesis of stationarity, and apply them to study the order of integration in a Spanish financial series namely the IBEX-35, using unit root tests as well. We find empirical evidence of a unit root in the series.

CONVERGENCIA Y ESTABILIDAD DE LOS TIPOS DE CAMBIO EUROPEOS: UNA APLICACIÓN DE EXPONENTES DE LYAPUNOV

In this paper we applied the dynamic system theory to the measurement of the stability of the European process of convergence. In particular, Lyapunov’s exponents are used to verify the influence of political and economic decisions made during the creatio