Conditional dependence un NAFTA Block: GARCH model and Copula approach
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- glo...
- Autores:
-
Sosa Castro ,Miriam
Bucio Pacheco, Christian
Cabello Rosales, Alejandra
- Tipo de recurso:
- Fecha de publicación:
- 2018
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- spa
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/15352
- Acceso en línea:
- http://hdl.handle.net/10784/15352
- Palabra clave:
- G15
C58
D53
Conditional Dependence
NAFTA
GARCH Copula
Contagion Effect
Dependencia Condicional
TLCAN
GARCH Cópula
Efecto Contagio
- Rights
- License
- Copyright (c) 2018 Miriam Sosa Castro,Christian Bucio Pacheco,Alejandra Cabello Rosales
| Summary: | 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. |
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