Un enfoque Cópula-TGARCH de la dependencia condicional entre el precio del petróleo y el índice del mercado de valores: el caso de México

This study applied the Clayton and Gumbel copulas using the TGARCH model for marginal distribution of returns in order to describe the tail dependence between oil prices and the Mexican stock market index (IPC, Index of Prices and Quotations) on a weekly basis, from 2010 to 2014. We found that each...

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Bibliographic Details

Main Authors:	Lorenzo Valdés, Arturo, Armenta Fraire, Leticia, Durán Vázquez, Rocío
Format:	Online
Language:	English
Editor:	El Colegio de México, A.C. 2016
Subjects:	cópulas rendimientos del petroleo rendimientos de acciones G32 G15 G11 C52 TGARCH oil returns stock returns
Online Access:	https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/12
Journal:	Estudios Económicos