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:
-
Sosa Castro ,Miriam
Bucio Pacheco, Christian
Cabello Rosales, Alejandra
- Tipo de recurso:
- Fecha de publicación:
- 2018
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- spa
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/15352
- Acceso en línea:
- http://hdl.handle.net/10784/15352
- Palabra clave:
- G15
C58
D53
Conditional Dependence
NAFTA
GARCH Copula
Contagion Effect
Dependencia Condicional
TLCAN
GARCH Cópula
Efecto Contagio
- Rights
- License
- Copyright (c) 2018 Miriam Sosa Castro,Christian Bucio Pacheco,Alejandra Cabello Rosales
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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 degrees2018-06-272019-12-12T19:33:54Z2018-06-272019-12-12T19:33:54Z2462-81071657-4206http://hdl.handle.net/10784/1535210.17230/ecos.2018.47.4This 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.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 seriesapplication/pdfspaUniversidad EAFITEcos de Economía, Vol 22, No 47 (2018)http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/5779/4530http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/5779/4530Copyright (c) 2018 Miriam Sosa Castro,Christian Bucio Pacheco,Alejandra Cabello RosalesAcceso abiertohttp://purl.org/coar/access_right/c_abf2instname:Universidad EAFITreponame:Repositorio Institucional Universidad EAFITEcos de Economía, Vol 22, No 47 (2018)G15C58D53Conditional DependenceNAFTAGARCH CopulaContagion EffectDependencia CondicionalTLCANGARCH CópulaEfecto ContagioConditional dependence un NAFTA Block: GARCH model and Copula approachDependencia condicional en el bloque Tlcan: un análisis con modelos GaRcH y cópulaarticleinfo:eu-repo/semantics/articlepublishedVersioninfo:eu-repo/semantics/publishedVersionArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Sosa Castro ,Miriam5410ef95-8d99-44d4-bddb-4628734ab573-1Bucio Pacheco, Christianc2583b3c-9e11-4f2f-9624-b5a008fec201-1Cabello Rosales, Alejandra0b9ca52f-a075-4194-af34-57e99880b73d-1Universidad Autónoma MetropolitanaEcos de Economia: A Latin American journal of applied economics22477391Ecos de EconomíaORIGINALdocument (52).pdfdocument (52).pdfTexto completo PDFapplication/pdf1255820https://repository.eafit.edu.co/bitstreams/6ea0b83b-ca19-478a-89bd-05de213d7c55/downloadb36b2bf2bfc21edd9dd9c4d69181a78dMD51articulo.htmlarticulo.htmlTexto completo HTMLtext/html377https://repository.eafit.edu.co/bitstreams/694b2e5c-9e1d-402e-9070-59ed055a9b90/download1bdfa26c570188c9c4c7f193e7c44d9dMD53THUMBNAILminaitura-ecos_Mesa de trabajo 1.jpgminaitura-ecos_Mesa de trabajo 1.jpgimage/jpeg251248https://repository.eafit.edu.co/bitstreams/4c54a62a-407d-46c1-b270-f20ffc454703/download9b15d674b076c1793a0bc25cebb1bcefMD5210784/15352oai:repository.eafit.edu.co:10784/153522024-12-04 11:49:39.857open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co |
| dc.title.eng.fl_str_mv |
Conditional dependence un NAFTA Block: GARCH model and Copula approach |
| dc.title.spa.fl_str_mv |
Dependencia condicional en el bloque Tlcan: un análisis con modelos GaRcH y cópula |
| title |
Conditional dependence un NAFTA Block: GARCH model and Copula approach |
| spellingShingle |
Conditional dependence un NAFTA Block: GARCH model and Copula approach G15 C58 D53 Conditional Dependence NAFTA GARCH Copula Contagion Effect Dependencia Condicional TLCAN GARCH Cópula Efecto Contagio |
| title_short |
Conditional dependence un NAFTA Block: GARCH model and Copula approach |
| title_full |
Conditional dependence un NAFTA Block: GARCH model and Copula approach |
| title_fullStr |
Conditional dependence un NAFTA Block: GARCH model and Copula approach |
| title_full_unstemmed |
Conditional dependence un NAFTA Block: GARCH model and Copula approach |
| title_sort |
Conditional dependence un NAFTA Block: GARCH model and Copula approach |
| dc.creator.fl_str_mv |
Sosa Castro ,Miriam Bucio Pacheco, Christian Cabello Rosales, Alejandra |
| dc.contributor.author.spa.fl_str_mv |
Sosa Castro ,Miriam Bucio Pacheco, Christian Cabello Rosales, Alejandra |
| dc.contributor.affiliation.spa.fl_str_mv |
Universidad Autónoma Metropolitana |
| dc.subject.none.fl_str_mv |
G15 C58 D53 |
| topic |
G15 C58 D53 Conditional Dependence NAFTA GARCH Copula Contagion Effect Dependencia Condicional TLCAN GARCH Cópula Efecto Contagio |
| dc.subject.keyword.eng.fl_str_mv |
Conditional Dependence NAFTA GARCH Copula Contagion Effect |
| dc.subject.keyword.spa.fl_str_mv |
Dependencia Condicional TLCAN GARCH Cópula Efecto Contagio |
| 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. |
| publishDate |
2018 |
| dc.date.issued.none.fl_str_mv |
2018-06-27 |
| dc.date.available.none.fl_str_mv |
2019-12-12T19:33:54Z |
| dc.date.accessioned.none.fl_str_mv |
2019-12-12T19:33:54Z |
| dc.date.none.fl_str_mv |
2018-06-27 |
| dc.type.eng.fl_str_mv |
article info:eu-repo/semantics/article publishedVersion info:eu-repo/semantics/publishedVersion |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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http://purl.org/coar/resource_type/c_6501 http://purl.org/coar/resource_type/c_2df8fbb1 |
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Artículo |
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publishedVersion |
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2462-8107 1657-4206 |
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http://hdl.handle.net/10784/15352 |
| dc.identifier.doi.none.fl_str_mv |
10.17230/ecos.2018.47.4 |
| identifier_str_mv |
2462-8107 1657-4206 10.17230/ecos.2018.47.4 |
| url |
http://hdl.handle.net/10784/15352 |
| dc.language.iso.none.fl_str_mv |
spa |
| language |
spa |
| dc.relation.ispartof.none.fl_str_mv |
Ecos de Economía, Vol 22, No 47 (2018) |
| dc.relation.isversionof.none.fl_str_mv |
http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/5779/4530 |
| dc.relation.uri.none.fl_str_mv |
http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/5779/4530 |
| dc.rights.eng.fl_str_mv |
Copyright (c) 2018 Miriam Sosa Castro,Christian Bucio Pacheco,Alejandra Cabello Rosales |
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http://purl.org/coar/access_right/c_abf2 |
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Acceso abierto |
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Copyright (c) 2018 Miriam Sosa Castro,Christian Bucio Pacheco,Alejandra Cabello Rosales Acceso abierto http://purl.org/coar/access_right/c_abf2 |
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application/pdf |
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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 |
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Universidad EAFIT |
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instname:Universidad EAFIT reponame:Repositorio Institucional Universidad EAFIT |
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