Maya, Rubén Albeiro Loaiza; Velandia, Luis Fernando Melo - BANCO DE LA REPÚBLICA - 2012
measure contagion in terms of tail dependence coefficients, following Fratzscher´s [1999] definition of contagion as … dependence and significant lower tail dependence. These results imply that there exists contagion in Latin American exchange … most of the Latin American exchange rate pairs exhibit asymmetric behaviors characterized by non-significant upper tail …