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: | , , |
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| Formato: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2018 |
| País: | Colombia |
| Recursos: | Universidad EAFIT |
| Repositorio: | Repositorio EAFIT |
| Idioma: | español |
| OAI Identifier: | oai:repository.eafit.edu.co:10784/15352 |
| Acesso em linha: | http://hdl.handle.net/10784/15352 |
| Access Level: | acceso abierto |
| Palavra-chave: | G15 C58 D53 Conditional Dependence NAFTA GARCH Copula Contagion Effect Dependencia Condicional TLCAN GARCH Cópula Efecto Contagio |
| Resumo: | 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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