Contagio financiero: una metodología para su evaluación mediante coeficientes de dependencia asintótica

Contagio financiero: una metodología para su evaluación mediante coeficientes de dependencia asintótica

A recently developed methodology, based on asymptotic dependence coefficients, is proposed to detect financial market contagion. The approach, while remaining within the theoretical limits of the problem, is robust when compared against common statistical approximation criteria such as Pearson coeff...

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Bibliographic Details
Main Author: Jorge Mario Uribe Gil
Format: Article
Language:English
Published: Universidad de Antioquia 2011-12-01
Series:Lecturas de Economía
Subjects:
Financial contagion
copulas
MGARCH
extreme dependence
financial markets
Colombia.
Online Access:http://aprendeenlinea.udea.edu.co/revistas/index.php/lecturasdeeconomia/article/view/11475/10471
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spelling doaj-156d8e7161154e77b338e93c456c23662020-11-25T04:09:07ZengUniversidad de AntioquiaLecturas de Economía0120-25962011-12-0175752957Contagio financiero: una metodología para su evaluación mediante coeficientes de dependencia asintóticaJorge Mario Uribe GilA recently developed methodology, based on asymptotic dependence coefficients, is proposed to detect financial market contagion. The approach, while remaining within the theoretical limits of the problem, is robust when compared against common statistical approximation criteria such as Pearson coefficients and vector autoregressions. The technique is applied to evaluate the historical performance of the main financial markets in Colombia, namely public bonds, stocks, money and the exchange rate. In broad terms, no signs of financial contagion were detected even after the world financial crisis of 2007-2009.http://aprendeenlinea.udea.edu.co/revistas/index.php/lecturasdeeconomia/article/view/11475/10471Financial contagioncopulasMGARCHextreme dependencefinancial marketsColombia.
collection DOAJ
language English
format Article
sources DOAJ
author Jorge Mario Uribe Gil
spellingShingle Jorge Mario Uribe Gil
Contagio financiero: una metodología para su evaluación mediante coeficientes de dependencia asintótica
Lecturas de Economía
Financial contagion
copulas
MGARCH
extreme dependence
financial markets
Colombia.
author_facet Jorge Mario Uribe Gil
author_sort Jorge Mario Uribe Gil
title Contagio financiero: una metodología para su evaluación mediante coeficientes de dependencia asintótica
title_short Contagio financiero: una metodología para su evaluación mediante coeficientes de dependencia asintótica
title_full Contagio financiero: una metodología para su evaluación mediante coeficientes de dependencia asintótica
title_fullStr Contagio financiero: una metodología para su evaluación mediante coeficientes de dependencia asintótica
title_full_unstemmed Contagio financiero: una metodología para su evaluación mediante coeficientes de dependencia asintótica
title_sort contagio financiero: una metodología para su evaluación mediante coeficientes de dependencia asintótica
publisher Universidad de Antioquia
series Lecturas de Economía
issn 0120-2596
publishDate 2011-12-01
description A recently developed methodology, based on asymptotic dependence coefficients, is proposed to detect financial market contagion. The approach, while remaining within the theoretical limits of the problem, is robust when compared against common statistical approximation criteria such as Pearson coefficients and vector autoregressions. The technique is applied to evaluate the historical performance of the main financial markets in Colombia, namely public bonds, stocks, money and the exchange rate. In broad terms, no signs of financial contagion were detected even after the world financial crisis of 2007-2009.
topic Financial contagion
copulas
MGARCH
extreme dependence
financial markets
Colombia.
url http://aprendeenlinea.udea.edu.co/revistas/index.php/lecturasdeeconomia/article/view/11475/10471
work_keys_str_mv AT jorgemariouribegil contagiofinancierounametodologiaparasuevaluacionmediantecoeficientesdedependenciaasintotica
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