文章基本信息

标题：Volatility dependence structure between the Mexican Stock Exchange and the World Capital Market
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作者：Francisco López Herrera ; Roberto J. Santillán Salgado ; Salvador Cruz Ake 等
期刊名称：Investigación Económica
印刷版ISSN：0185-1667
出版年度：2015
卷号：LXXIV
期号：293
页码：69-97
语种：English
出版社：Universidad Nacional Autónoma de México
摘要：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 analy-sis (1987-2012). The analytical approach begins with the estimation of a bivariate VECMin 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.
其他摘要：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 analy-sis (1987-2012). The analytical approach begins with the estimation of a bivariate VECMin 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.
关键词：Volatility dependence; Mexican Stock Exchange; World Capital Market; multivariate GARCH; copula analysis. Dendencia de la volatilidad; mercado accionario mex...
其他关键词：Volatility dependence; Mexican Stock Exchange; World Capital Market; multivariate GARCH; copula analysis.