Conditional dependence in NAFTA block: GARCH model and Copula approach


Por: Sosa Castro, Miriam, Bucio Pacheco, Christian, Cabello Rosales, Alejandra

Publicada: 1 jul 2018
Resumen:
This article aims to analyze conditional dependence between the Mexican, American and Canadian stock markets during the period 2003-2018. Archimedean and elliptical Copulas and GARCH and TARCH models are employed to estimate conditional dependence in three subperiods: pre-crisis, crisis and pos- global financial crisis. Results reveal a 38% rise in conditional dependence during the crisis period, in relation to the previous period. On the other hand, the conditional dependence parameter diminishes when asymmetry is included.

Filiaciones:
Sosa Castro, Miriam:
 Univ Autonoma Metropolitana, Mexico City, DF, Mexico

Bucio Pacheco, Christian:
 Univ Autonoma Estado Mexico, Toluca, Mexico

Cabello Rosales, Alejandra:
 Univ Nacl Autonoma Mexico, Mexico City, DF, Mexico
ISSN: 16574206





ECOS DE ECONOMIA
Editorial
Universidad Eafit, Centro De Publicaciones, CARRERA 49 N 7, BLOQUE 38, OFICINA 331, MEDELLIN, SURAMERICA SUR-50, COLOMBIA, Colombia
Tipo de documento: Article
Volumen: 22 Número: 47
Páginas: 74-91
WOS Id: 000473164700004