Measuring Dependence in Financial Crisis A Copula Approach for Mexico and Brazil
This paper studies the dependence in Mexican and Brazilian financial markets trough a method that has proved to obtain better results —along with the characterization of non-linearity and asymptotic dependence— than the use of simple correlation analysis: the copula approach. Using weekly returns of...
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| Publicado no: | Economía Mexicana. Nueva Época |
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| Principais autores: | , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Centro de Investigación y Docencia Económicas, A.C.
2013
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| Assuntos: | |
| Acesso em linha: | https://www.redalyc.org/articulo.oa?id=32329969004 |
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