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
|