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https://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/82931Registro completo de metadatos
| Campo DC | Valor | Lengua/Idioma |
|---|---|---|
| dc.creator | Arturo Lorenzo Valdés | - |
| dc.creator | Ricardo Massa Roldán | - |
| dc.date | 2013 | - |
| dc.date.accessioned | 2022-03-22T16:07:58Z | - |
| dc.date.available | 2022-03-22T16:07:58Z | - |
| dc.identifier | http://www.redalyc.org/articulo.oa?id=32329969004 | - |
| dc.identifier.uri | http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/82931 | - |
| dc.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. | - |
| dc.format | application/pdf | - |
| dc.language | en | - |
| dc.publisher | Centro de Investigación y Docencia Económicas, A.C. | - |
| dc.relation | http://www.redalyc.org/revista.oa?id=323 | - |
| dc.rights | Economía Mexicana. Nueva Época | - |
| dc.source | Economía Mexicana. Nueva Época (México) Num.2 Vol.XXII | - |
| dc.subject | Economía y Finanzas | - |
| dc.subject | Keywords | - |
| dc.subject | financial crises | - |
| dc.subject | dependence | - |
| dc.subject | copulas | - |
| dc.title | Measuring Dependence in Financial Crisis A Copula Approach for Mexico and Brazil | - |
| dc.type | artículo científico | - |
| Aparece en las colecciones: | Centro de Investigación y Docencia Económicas A.C. - CIDE - Cosecha | |
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