<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0185-1667</journal-id>
<journal-title><![CDATA[Investigación económica]]></journal-title>
<abbrev-journal-title><![CDATA[Inv. Econ]]></abbrev-journal-title>
<issn>0185-1667</issn>
<publisher>
<publisher-name><![CDATA[Universidad Nacional Autónoma de México, Facultad de Economía]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0185-16672015000300069</article-id>
<article-id pub-id-type="doi">10.1016/j.inveco.2015.06.001</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Volatility dependence structure between the Mexican Stock Exchange and the World Capital Market]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[López Herrera]]></surname>
<given-names><![CDATA[Francisco]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Santillán Salgado]]></surname>
<given-names><![CDATA[Roberto J.]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Cruz Ake]]></surname>
<given-names><![CDATA[Salvador]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Nacional Autónoma de México Faculty of Accounting and Administration Research Division]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>MX</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Tecnológico de Monterrey EGADE Business School ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>MX</country>
</aff>
<aff id="Af3">
<institution><![CDATA[,Instituto Politécnico Nacional Escuela Superior de Economía ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>MX</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>09</month>
<year>2015</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>09</month>
<year>2015</year>
</pub-date>
<volume>74</volume>
<numero>293</numero>
<fpage>69</fpage>
<lpage>97</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0185-16672015000300069&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0185-16672015000300069&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0185-16672015000300069&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[This paper studies the integration of the Mexican Stock Exchange (MSE) into the World Capital Market (WCM). We detect a long-run equilibrium relationship, despite the effects of structural breaks associated to different financial crises during our period of analysis (1987-2012). The analytical approach begins with the estimation of a bivariate VECM in the mean, including several dummy variables that capture the main crisis episodes that took place during the estimation period. Next, we specify a VARMA-GARCH model with Dynamic Conditional Correlation, and, finally, we fit a Clayton copula to returns, conditional on two volatility regimes (low and high), in order to further understand the nature of their dependence structure.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Este trabajo estudia la integración del mercado accionario mexicano al mercado mundial de capitales. Detectamos una relación de equilibrio de largo plazo, a pesar de los efectos de las rupturas estructurales asociadas con diferentes crisis financieras durante nuestro periodo de análisis (1987-2012). La aproximación analítica empieza con la estimación de un VECM bivariado en la media, incluyendo varias variables dummy que capturan los principales episodios de crisis que tuvieron lugar durante el periodo de la estimación. Enseguida, especificamos un modelo VARMA-GARCH con correlación dinámica condicional y, finalmente, ajustamos una cópula tipo Clayton a los rendimientos condicionados a dos regímenes de volatilidad (baja y alta), con el fin de avanzar en el entendimiento de la naturaleza de la estructura de su dependencia.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[volatility dependence]]></kwd>
<kwd lng="en"><![CDATA[Mexican Stock Exchange]]></kwd>
<kwd lng="en"><![CDATA[World Capital Market]]></kwd>
<kwd lng="en"><![CDATA[multivariate GARCH]]></kwd>
<kwd lng="en"><![CDATA[copula analysis]]></kwd>
<kwd lng="es"><![CDATA[dependencia de la volatilidad]]></kwd>
<kwd lng="es"><![CDATA[mercado accionario mexicano]]></kwd>
<kwd lng="es"><![CDATA[mercado mundial de capitales]]></kwd>
<kwd lng="es"><![CDATA[GARCH multivariado]]></kwd>
<kwd lng="es"><![CDATA[análisis de cópulas]]></kwd>
</kwd-group>
</article-meta>
</front><back>
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