Conditional dependence un NAFTA Block: GARCH model and Copula approach
| dc.citation.epage | 91 | |
| dc.citation.issue | 47 | |
| dc.citation.journalAbbreviatedTitle | Ecos de Economía | eng |
| dc.citation.journalTitle | Ecos de Economia: A Latin American journal of applied economics | eng |
| dc.citation.spage | 73 | |
| dc.citation.volume | 22 | |
| dc.contributor.affiliation | Universidad Autónoma Metropolitana | spa |
| dc.contributor.author | Sosa Castro ,Miriam | spa |
| dc.contributor.author | Bucio Pacheco, Christian | spa |
| dc.contributor.author | Cabello Rosales, Alejandra | spa |
| dc.coverage.spatial | Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees | eng |
| dc.date | 2018-06-27 | |
| dc.date.accessioned | 2019-12-12T19:33:54Z | |
| dc.date.available | 2019-12-12T19:33:54Z | |
| dc.date.issued | 2018-06-27 | |
| dc.description | 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. | eng |
| dc.description | El presente artículo tiene por objetivo analizar la dependencia condicional entre los mercados de valores de Estados Unidos, México y Canadá durante el período 2003-2018. Las Cópulas Arquimedianas y Elípticas, así como los modelos GARCH y TARCH son utilizados para realizar la modelación en tres subperíodos: antes, durante y después de la crisis financiera global. Los resultados evidencian un incremento promedio de 38 % de la dependencia condicional en la crisis financiera, con respecto al período previo; asimismo, existe una leve disminución del parámetro de dependencia al modelar la asimetría en la volatilidad de las series | spa |
| dc.format | application/pdf | |
| dc.identifier.doi | 10.17230/ecos.2018.47.4 | |
| dc.identifier.issn | 2462-8107 | |
| dc.identifier.issn | 1657-4206 | |
| dc.identifier.uri | http://hdl.handle.net/10784/15352 | |
| dc.language.iso | spa | |
| dc.publisher | Universidad EAFIT | spa |
| dc.relation.ispartof | Ecos de Economía, Vol 22, No 47 (2018) | |
| dc.relation.isversionof | http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/5779/4530 | |
| dc.relation.uri | http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/5779/4530 | |
| dc.rights | Copyright (c) 2018 Miriam Sosa Castro,Christian Bucio Pacheco,Alejandra Cabello Rosales | eng |
| dc.rights.accessrights | info:eu-repo/semantics/openAccess | eng |
| dc.rights.local | Acceso abierto | spa |
| dc.source | instname:Universidad EAFIT | |
| dc.source | reponame:Repositorio Institucional Universidad EAFIT | |
| dc.source | Ecos de Economía, Vol 22, No 47 (2018) | spa |
| dc.subject | G15 | |
| dc.subject | C58 | |
| dc.subject | D53 | |
| dc.subject.keyword | Conditional Dependence | eng |
| dc.subject.keyword | NAFTA | eng |
| dc.subject.keyword | GARCH Copula | eng |
| dc.subject.keyword | Contagion Effect | eng |
| dc.subject.keyword | Dependencia Condicional | spa |
| dc.subject.keyword | TLCAN | spa |
| dc.subject.keyword | GARCH Cópula | spa |
| dc.subject.keyword | Efecto Contagio | spa |
| dc.title | Conditional dependence un NAFTA Block: GARCH model and Copula approach | eng |
| dc.title | Dependencia condicional en el bloque Tlcan: un análisis con modelos GaRcH y cópula | spa |
| dc.type | article | eng |
| dc.type | info:eu-repo/semantics/article | eng |
| dc.type | publishedVersion | eng |
| dc.type | info:eu-repo/semantics/publishedVersion | eng |
| dc.type.local | Artículo | spa |