Valdés, Arturo Lorenzo; Roldán, Ricardo Massa - In: Economía Mexicana NUEVA ÉPOCA XXII (2013) 2, pp. 341-355
This paper studies the dependence in Mexican and Brazilian financial markets through a method that has proved to obtain better results —along with the characterization of non-linearity and asymptotic dependence— than the use of simple correlation analysis: the copula approach. Using weekly...