Por favor utiliza este link para citar o compartir este documento: http://repositoriodigital.academica.mx/jspui/handle/987654321/425867
Título: Measuring Dependence in Financial Crisis A Copula Approach for Mexico and Brazil
Palabras clave: Economía y Finanzas
Keywords
financial crises
dependence
copulas
Editorial: Centro de Investigación y Docencia Económicas, A.C.
Descripción: This paper studies the dependence in Mexican and Brazilian financial markets trough a method that has proved to obtain better results along with the characterization of non-linearity and asymptotic dependence than the use of simple correlation analysis: the copula approach. Using weekly returns of the ip y c and ibov from January 1975 to November 2010 we compared the results of numerical methods that solved for the Kendalls tau in three types of copulas: the two-dimensional Gaussian copula, the bivariate Gumbel copula, and the bivariate Clayton copula. Also, we used different study periods in order to find evidence of changing dependence structures during finan - cial turmoils, like the one that occurred in 2008. This paper points out that the dependence structure between the above mentioned markets strengthened after the financial crisis of 2008.
Other Identifiers: http://www.redalyc.org/articulo.oa?id=32329969004
Aparece en las Colecciones:Economía Mexicana. Nueva Época

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