Conditional dependence un NAFTA Block: GARCH model and Copula approach
This article aims to analyze conditional dependence between the Mexican, American and Canadian stock markets during the period 2003-2018. Archimedean and elliptical Copulas and GARCH and TARCH models are employed to estimate conditional dependence in three subperiods: pre-crisis, crisis and pos- glo...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidad EAFIT
2018-06-01
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| Series: | Ecos de Economía |
| Subjects: | |
| Online Access: | http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/5779/4530 |