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...

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Autores: Sosa Castro ,Miriam, Bucio Pacheco, Christian, Cabello Rosales, Alejandra
Tipo de recurso: artículo
Estado:Versión publicada
Fecha de publicación:2018
País:Colombia
Institución:Universidad EAFIT
Repositorio:Repositorio EAFIT
Idioma:español
OAI Identifier:oai:repository.eafit.edu.co:10784/15352
Acceso en línea:http://hdl.handle.net/10784/15352
Access Level:acceso abierto
Palabra clave:G15
C58
D53
Conditional Dependence
NAFTA
GARCH Copula
Contagion Effect
Dependencia Condicional
TLCAN
GARCH Cópula
Efecto Contagio
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network_acronym_str CO
network_name_str Colombia
repository_id_str
spelling Conditional dependence un NAFTA Block: GARCH model and Copula approachDependencia condicional en el bloque Tlcan: un análisis con modelos GaRcH y cópulaSosa Castro ,MiriamBucio Pacheco, ChristianCabello Rosales, AlejandraG15C58D53Conditional DependenceNAFTAGARCH CopulaContagion EffectDependencia CondicionalTLCANGARCH CópulaEfecto ContagioThis 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 seriesUniversidad EAFITUniversidad Autónoma Metropolitana2018-06-272019-12-12T19:33:54Z2018-06-272019-12-12T19:33:54Zarticleinfo:eu-repo/semantics/articlepublishedVersioninfo:eu-repo/semantics/publishedVersionArtículoapplication/pdfapplication/pdftext/html2462-81071657-4206http://hdl.handle.net/10784/1535210.17230/ecos.2018.47.4Ecos de Economía, Vol 22, No 47 (2018)reponame:Repositorio EAFITinstname:Universidad EAFITinstacron:Universidad EAFITspaEcos 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/5779/4530Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degreesCopyright (c) 2018 Miriam Sosa Castro,Christian Bucio Pacheco,Alejandra Cabello Rosalesinfo:eu-repo/semantics/openAccessAcceso abierto2020-03-18T16:46:08Z
dc.title.none.fl_str_mv Conditional dependence un NAFTA Block: GARCH model and Copula approach
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
Sosa Castro ,Miriam
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.none.fl_str_mv Sosa Castro ,Miriam
Bucio Pacheco, Christian
Cabello Rosales, Alejandra
author Sosa Castro ,Miriam
author_facet Sosa Castro ,Miriam
Bucio Pacheco, Christian
Cabello Rosales, Alejandra
author_role author
author2 Bucio Pacheco, Christian
Cabello Rosales, Alejandra
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Autónoma Metropolitana
dc.subject.none.fl_str_mv G15
C58
D53
Conditional Dependence
NAFTA
GARCH Copula
Contagion Effect
Dependencia Condicional
TLCAN
GARCH Cópula
Efecto Contagio
topic G15
C58
D53
Conditional Dependence
NAFTA
GARCH Copula
Contagion Effect
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.none.fl_str_mv 2018-06-27
2018-06-27
2019-12-12T19:33:54Z
2019-12-12T19:33:54Z
dc.type.none.fl_str_mv article
info:eu-repo/semantics/article
publishedVersion
info:eu-repo/semantics/publishedVersion
Artículo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv 2462-8107
1657-4206
http://hdl.handle.net/10784/15352
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.none.fl_str_mv spa
language spa
dc.relation.none.fl_str_mv Ecos de Economía, Vol 22, No 47 (2018)
http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/5779/4530
http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/5779/4530
dc.rights.none.fl_str_mv Copyright (c) 2018 Miriam Sosa Castro,Christian Bucio Pacheco,Alejandra Cabello Rosales
info:eu-repo/semantics/openAccess
Acceso abierto
rights_invalid_str_mv Copyright (c) 2018 Miriam Sosa Castro,Christian Bucio Pacheco,Alejandra Cabello Rosales
Acceso abierto
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
text/html
dc.coverage.none.fl_str_mv 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
dc.publisher.none.fl_str_mv Universidad EAFIT
publisher.none.fl_str_mv Universidad EAFIT
dc.source.none.fl_str_mv Ecos de Economía, Vol 22, No 47 (2018)
reponame:Repositorio EAFIT
instname:Universidad EAFIT
instacron:Universidad EAFIT
instname_str Universidad EAFIT
instacron_str Universidad EAFIT
institution Universidad EAFIT
reponame_str Repositorio EAFIT
collection Repositorio EAFIT
_version_ 1825051049778479104
score 15,811543

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