Dependence in the Banking Sector of the United States and Mexico: A Copula Approach
The objective of this work is to estimate the patterns of dependence between the yields of the stock prices of the main banks of the United States (US) and Mexico. We estimate the patterns of absolute dependence and tail dependence through copulas of the Archimedean family and the use of rolling win...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Instituto Mexicano de Ejecutivos de Finanzas
2021-11-01
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| Series: | Revista Mexicana de Economía y Finanzas Nueva Época REMEF |
| Subjects: | |
| Online Access: | https://www.remef.org.mx/index.php/remef/article/view/705 |