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Panorama económico (Ciudad de México)
Print version ISSN 1870-2171
Abstract
LORENZO-VALDES, Arturo. Latin American financial markets dependencies: a vine copula approach. Panor. econ. (Ciudad de México) [online]. 2020, vol.16, n.31, pp.111-137. Epub Feb 23, 2021. ISSN 1870-2171. https://doi.org/10.29201/pe-ipn.v16i31.232.
This study applies a methodology of regular vine copulas to evaluate the level of dependence between the financial markets of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) from January 2006 to September 2013. The sample is split into three periods: before, during and after 2008 crisis. The behavior of marginal distributions is described by AR(1)-TGARCH models, which are adequate to model returns and their volatility.
We find that Latin American stock markets have a probability of extreme losses greater than a probability of extreme profits and that the dependence measure increase in crisis periods.
Keywords : vine copulas; TGARCH; dependence.