dependencia estructural en los mercados bursátiles de colombia y estados unidos, una aproximación usando cópulas
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ID: 185839
2012
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Abstract
<div>Para determinar la dependencia estructural entre los mercados bursátiles colombiano y </div><div>estadounidense, se usaron las pérdidas de los índices Col20, Dow Jones y Standard & </div><div>Poors 500 como variables. La metodología desarrollada siguió los lineamientos de los </div><div>modelos de dinámica multivariados, basados en la cópula y propuestos por Chen y Fan </div><div>(2006). Se encontró que los dos mercados presentan una moderada dependencia y que, </div><div>de acuerdo con el modelo CAPM, el riesgo</div><div>sistemático que comparten es bajo y ofrecen posibilidades de diversificación. Además, se </div><div>encontró que es baja la probabilidad de que ambos mercados experimenten pérdidas </div><div>extremas conjuntamente.</div>
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| Reference Key |
daiver2012cuadernosdependencia
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| Authors | ;Cardona Salgado Daiver |
| Journal | microbiome |
| Year | 2012 |
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