Dependencia Estructural en los mercados Bursátiles de Colombia y Estados Unidos, una aproximación usando cópulas

dc.creatorCardona-Salgado, Daiver
dc.date.accessioned2020-02-12T16:09:56Z
dc.date.available2020-02-12T16:09:56Z
dc.date.created2020-02-12T16:09:56Z
dc.date.issued2012
dc.identifierISSN electrónico 2248-4337
dc.identifierISSN impreso 0121-4772
dc.identifierhttp://red.uao.edu.co//handle/10614/11862
dc.description.abstractPara determinar la dependencia estructural entre los mercados bursátiles colombiano y estadounidense, se usaron las pérdidas de los índices Col20, Dow Jones y Standard & Poors 500 como variables. La metodología desarrollada siguió los lineamientos de los modelos de dinámica multivariados, basados en la cópula y propuestos por Chen y Fan (2006). Se encontró que los dos mercados presentan una moderada dependencia y que, de acuerdo con el modelo CAPM, el riesgosistemático que comparten es bajo y ofrecen posibilidades de diversificación. Además, se encontró que es baja la probabilidad de que ambos mercados experimenten pérdidas extremas conjuntamente
dc.languagespa
dc.publisherUniversidad Nacional de Colombia
dc.relation57
dc.relation31
dc.relationCardona Salgado, D. (2012). Dependencia Estructural en los mercados Bursátiles de Colombia y Estados Unidos, una aproximación usando cópulas. Cuadernos De Economía, 31(57), 147–178. http://red.uao.edu.co//handle/10614/11862
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dc.relationCuadernos de Economía. Volumen 31, número 57, (2012) páginas 147 - 178
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dc.rightsinfo:eu-repo/semantics/openAccess
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dc.titleDependencia Estructural en los mercados Bursátiles de Colombia y Estados Unidos, una aproximación usando cópulas
dc.typeArtículo de revista


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