American financial markets dependencies: a vine copula approach
by Arturo Lorenzo-Valdes
International Journal of Computational Economics and Econometrics (IJCEE), Vol. 14, No. 1, 2024

Abstract: Regular vine copulas are used to evaluate the dependence between American financial markets (Argentina, Brazil, Canada, Chile, Colombia, Mexico, Peru, and the USA) from August 16, 2011, to April 21, 2022. The behaviour of marginal distributions is described by AR(1)-TGARCH models with errors distributed as an asymmetric skewed Student's t, which are adequate to model returns and their volatility. The conditional dependency between pairwise countries is estimated for the covid period, and three subperiods are analysed, pre-covid, covid, and post-covid. It is found that the contagion routes between the different American countries have the USA as the root node.

Online publication date: Wed, 20-Dec-2023

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