Conditional dependence un NAFTA Block: GARCH model and Copula approach

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Miriam Sosa Castro
Christian Bucio Pacheco
Alejandra Cabello Rosales


Conditional Dependence, NAFTA, GARCH, Copula, Contagion Effect


This article aims to analyze conditional dependence between the Mexican, American and Canadian stock markets during the period 2003-2018. Archimedean and elliptical Copulas and GARCH and TARCH models are employed to estimate conditional dependence in three subperiods: pre-crisis, crisis and pos- global financial crisis. Results reveal a 38% rise in conditional dependence during the crisis period, in relation to the previous period. On the other hand, the conditional dependence parameter diminishes when asymmetry is included.


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