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Evaluación del grado de integración de los principales mercados de capital europeos con un modelo Cópula-GARCH

Author

Listed:
  • Santillán-Salgado, Roberto J.

    (EGADE Bussiness School)

  • Gurrola Ríos, César

    (Universidad Juarez del Estado de Durango)

  • López-Herrera, Francisco

    (Universidad Nacional Autónoma de México)

Abstract

El enfoque metodológico que se sigue en este trabajo para estudiar el co-movimiento de los cinco principales mercados de capital europeos es el de Cópula-GARCH, ajustando primero modelos GARCH para estimar las distribuciones marginales de los rendimientos de cada uno de dichos mercados. Con base en las distribuciones marginales estimadas, se procede a llevar a cabo el modelado de la distribución conjunta de los rendimientos mediante la estimación de un modelo canónico de viña de copulas (vine copula). / The Copula-GARCH model is used to assess the simultaneous movement of the main five European Capital Markets. First, the returns marginal distributions were estimated with GARCH models, with these estimations, the returns joint distributions modeling was carried out using a canonic vine copula model.

Suggested Citation

  • Santillán-Salgado, Roberto J. & Gurrola Ríos, César & López-Herrera, Francisco, 2016. "Evaluación del grado de integración de los principales mercados de capital europeos con un modelo Cópula-GARCH," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 6(1), pages 9-36, enero-jun.
    • Handle: RePEc:sfr:efruam:v:6:y:2016:i:1:p:9-36
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    More about this item

    Keywords

    GARCH-Cópula; C-Vine cópula; viñas de cópulas; integración financiera europea; mercados financieros europeos; C-Vine copula; European financial integration; European financial markets.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools

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