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Contagio via copulas dinamicas en los mercados de capitales del TLCAN de 2000 a 2016

Author

Listed:
  • Christian Bucio Pacheco

    (Universidad Autonoma del Estado de Mexico)

  • Raul de Jesus Gutierrez

    (Universidad Autonoma del Estado de Mexico)

  • Magnolia Miriam Sosa Castro

    (Universidad Autonoma Metropolitana-Iztapalapa, Mexico)

Abstract
En este trabajo se estudian las relaciones de dependencia entre los mercados de capitales del bloque del TLCAN, indagando sobre la presencia de contagio. El estudio es realizado a traves de la metodologia de copulas con implementacion de ventanas moviles. El periodo de analisis es de 2000 a 2016; tomandose tres periodos de 15 anos, para los cuales se emplean ventanas moviles de diferente tamano a) 2000-2014 utilizando ventanas moviles de dos anos siete meses, b) 2001-2015 con ventanas de un ano siete meses y c) 2002-2016 con ventanas de siete meses; dichos periodos son seccionados en tres subperiodos de 5 anos cada uno pre-crisis, crisis y post-crisis. La evidencia empirica muestra notorio contagio durante el periodo de la Crisis Financiera Mundial del 2008 y su consecuente magnitud temporal.

Suggested Citation

  • Christian Bucio Pacheco & Raul de Jesus Gutierrez & Magnolia Miriam Sosa Castro, 2019. "Contagio via copulas dinamicas en los mercados de capitales del TLCAN de 2000 a 2016," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 16(2), pages 65-87, Julio-Dic.
    • Handle: RePEc:qua:journl:v:16:y:2019:i:2:p:65-87
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    More about this item

    Keywords

    Contagio; dependencia; copulas dinamicas.;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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