Dependencia Condicional entre los Mercados Bursátiles de México y Estados Unidos
Arturo Lorenzo-Valdés ()
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Arturo Lorenzo-Valdés: Universidad de las Américas Puebla
Revista de Analisis Economico – Economic Analysis Review, 2016, vol. 31, issue 1, 3-14
In this paper the conditional dependence of stock market in Mexico and the United States is studied. Symmetric Joe-Clayton copula is used and conditional probabilities of increases (decreases) in Mexico stock index when there are increases (decreases) in the U.S. stock index are estimated. For the marginal distributions, AR-TGARCH and AR-EGARCH models with a standardized Student's t distribution for innovations are proposed. Empirical results suggest that there is a high degree of conditional dependence in the tails, presenting higher volatility on the upper (right) tail throughout the period.
Keywords: Stock returns; Copulas; TGARCH (search for similar items in EconPapers)
JEL-codes: C52 G11 G15 G32 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ila:anaeco:v:31:y:2016:i:1:p:3-14
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