Measuring the Influence of the US Market over Observed Interdependencies in Latin America

Alba Regina Moretti () and Beatriz Vaz de Melo Mendes ()
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Alba Regina Moretti: Departamento de Matemática, Universidade Federal Rural do Rio de Janeiro (UFRRJ)
Beatriz Vaz de Melo Mendes: Departamento de Estatística, Universidade Federal do Rio de Janeiro (UFRJ)

Brazilian Review of Finance, 2005, vol. 3, issue 1, 123-137

Abstract: The modeling of the extremal dependence structure can be made through parametric models classified in two families: Logistic and Mixed, which contain the symmetric and asymmetric models. The bivariate models are very useful in practical applications on the extreme value theory, in particular in a financial area. Considering the strong influence of the North American market on other financial markets, we investigate how does the dependence structure among the Latin American markets change after filtering the influence of the North American market. To remove that influence, we carry on a polynomial regression with GARCH (1,1) errors, and fit the bivariate extreme value models to the pairs of monthly maxima and minima of the standardized regression residuals.

Keywords: extreme value theory; bivariate models; polinomial regressions; GARCH models (search for similar items in EconPapers)
JEL-codes: C19 C51 G14 (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:brf:journl:v:3:y:2005:i:1:p:123-137

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