Economics at your fingertips  

Dependencia Condicional entre los Mercados Bursátiles de México y Estados Unidos

Arturo Lorenzo-Valdés ()
Additional contact information
Arturo Lorenzo-Valdés: Universidad de las Américas Puebla

Revista de Analisis Economico – Economic Analysis Review, 2016, vol. 31, issue 1, 3-14

Abstract: 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)
Date: 2016
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)

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:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Revista de Analisis Economico – Economic Analysis Review is currently edited by Carlos Ponce

More articles in Revista de Analisis Economico – Economic Analysis Review from Universidad Alberto Hurtado/School of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Mauricio Tejada ().

Page updated 2020-12-02
Handle: RePEc:ila:anaeco:v:31:y:2016:i:1:p:3-14