Dependencia en mercados financieros latinoamericanos: enfoque basado en cópulas vine

Este estudio aplica una metodología de cópulas vine regulares para evaluar el nivel de dependencia entre los mercados financieros de seis países latinoamericanos (Argentina, Brasil, Chile, Colombia, México y Perú) de enero de 2006 a septiembre de 2013. Se parte la muestra en tres periodos: antes, durante y después de la crisis de 2008. El comportamiento de las distribuciones marginales se describe mediante modelos AR(1)-TGARCH que resultan modelos adecuados para describir el comportamiento de los rendimientos y su volatilidad. Encontramos que los mercados de valores latinoamericanos presentan una mayor probabilidad de pérdidas extremas que de ganancias extremas y que la estructura de dependencia entre ellos se fortalece más en los periodos de crisis.

cópulas vine, TGARCH, dependencia

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