Measuring Dependence in Financial Crisis A Copula Approach for Mexico and Brazil

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 t...

Descripción completa

Guardado en:
Detalles Bibliográficos
Autores principales: Ricardo Massa Roldán, Arturo Lorenzo Valdés
Formato: Artículo científico
Publicado: Centro de Investigación y Docencia Económicas, A.C. 2013
Materias:
Economía y Finanzas
Keywords
financial crises
dependence
copulas
Acceso en línea:http://www.redalyc.org/articulo.oa?id=32329969004
http://biblioteca.clacso.edu.ar/gsdl/cgi-bin/library.cgi?a=d&c=mx/mx-010&d=32329969004oai
Aporte de:
Red de Bibliotecas Virtuales de Ciencias Sociales (CLACSO) de Consejo Latinoamericano de Ciencias Sociales
id I16-R122-32329969004oai
record_format dspace
institution Consejo Latinoamericano de Ciencias Sociales
institution_str I-16
repository_str R-122
collection Red de Bibliotecas Virtuales de Ciencias Sociales (CLACSO)
topic Economía y Finanzas
Keywords
financial crises
dependence
copulas
spellingShingle Economía y Finanzas
Keywords
financial crises
dependence
copulas
Ricardo Massa Roldán
Arturo Lorenzo Valdés
Measuring Dependence in Financial Crisis A Copula Approach for Mexico and Brazil
topic_facet Economía y Finanzas
Keywords
financial crises
dependence
copulas
description 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.
format Artículo científico
Artículo científico
author Ricardo Massa Roldán
Arturo Lorenzo Valdés
author_facet Ricardo Massa Roldán
Arturo Lorenzo Valdés
author_sort Ricardo Massa Roldán
title Measuring Dependence in Financial Crisis A Copula Approach for Mexico and Brazil
title_short Measuring Dependence in Financial Crisis A Copula Approach for Mexico and Brazil
title_full Measuring Dependence in Financial Crisis A Copula Approach for Mexico and Brazil
title_fullStr Measuring Dependence in Financial Crisis A Copula Approach for Mexico and Brazil
title_full_unstemmed Measuring Dependence in Financial Crisis A Copula Approach for Mexico and Brazil
title_sort measuring dependence in financial crisis a copula approach for mexico and brazil
publisher Centro de Investigación y Docencia Económicas, A.C.
publishDate 2013
url http://www.redalyc.org/articulo.oa?id=32329969004
http://biblioteca.clacso.edu.ar/gsdl/cgi-bin/library.cgi?a=d&c=mx/mx-010&d=32329969004oai
work_keys_str_mv AT ricardomassaroldan measuringdependenceinfinancialcrisisacopulaapproachformexicoandbrazil
AT arturolorenzovaldes measuringdependenceinfinancialcrisisacopulaapproachformexicoandbrazil
bdutipo_str Repositorios
_version_ 1764820422080069633

Ejemplares similares