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

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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.
URI :	http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/82931
Otros identificadores :	http://www.redalyc.org/articulo.oa?id=32329969004
Aparece en las colecciones:	Centro de Investigación y Docencia Económicas A.C. - CIDE - Cosecha

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