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Dependencia Estructural en los mercados Bursátiles de Colombia y Estados Unidos, una aproximación usando cópulas

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  • Daiver Cardona Salgado

    ()

Abstract

Para determinar la dependencia estructural entre los mercados bursátiles colombiano y estadounidense, se usaron las pérdidas de los índices Col20, Dow Jones y Standard & Poors 500 como variables. La metodología desarrollada siguió los lineamientos de los modelos de dinámica multivariados, basados en la cópula y propuestos por Chen y Fan (2006). Se encontró que los dos mercados presentan una moderada dependencia y que, de acuerdo con el modelo CAPM, el riesgosistemático que comparten es bajo y ofrecen posibilidades de diversificación. Además, se encontró que es baja la probabilidad de que ambos mercados experimenten pérdidas extremas conjuntamente.

Suggested Citation

  • Daiver Cardona Salgado, 2012. "Dependencia Estructural en los mercados Bursátiles de Colombia y Estados Unidos, una aproximación usando cópulas," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, August.
  • Handle: RePEc:col:000093:010246
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    More about this item

    Keywords

    AR-GARCH; medidas de concordancia; dependencia en colas.;

    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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