American financial markets dependencies: a vine copula approach

Arturo Lorenzo-Valdes

International Journal of Computational Economics and Econometrics, 2024, vol. 14, issue 1, 81-97

Abstract: Regular vine copulas are used to evaluate the dependence between American financial markets (Argentina, Brazil, Canada, Chile, Colombia, Mexico, Peru, and the USA) from August 16, 2011, to April 21, 2022. The behaviour of marginal distributions is described by AR(1)-TGARCH models with errors distributed as an asymmetric skewed Student's t, which are adequate to model returns and their volatility. The conditional dependency between pairwise countries is estimated for the covid period, and three subperiods are analysed, pre-covid, covid, and post-covid. It is found that the contagion routes between the different American countries have the USA as the root node.

Keywords: vine copulas; TGARCH; dependence. (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=135659 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijcome:v:14:y:2024:i:1:p:81-97

Access Statistics for this article

More articles in International Journal of Computational Economics and Econometrics from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().