%0 Journal Article
%T Contagio financiero: una metodolog¨ªa para su evaluaci¨®n mediante coeficientes de dependencia asint¨®tica
%A Uribe
%A Jorge
%J Lecturas de Econom¨ªa
%D 2011
%I Universidad de Antioquia
%X a recently developed methodology, based on asymptotic dependence coefficients, is proposed to detect financial market contagion. the approach, while remaining within the theoretical limits of the problem, is robust when compared against common statistical approximation criteria such as pearson coefficients and vector autoregressions. the technique is applied to evaluate the historical performance of the main financial markets in colombia, namely public bonds, stocks, money and the exchange rate. in broad terms, no signs of financial contagion were detected even after the world financial crisis of 2007-2009.
%K financial contagion
%K copulas
%K mgarch
%K extreme dependence
%K financial markets
%K colombia.
%U http://www.scielo.org.co/scielo.php?script=sci_abstract&pid=S0120-25962011000200003&lng=en&nrm=iso&tlng=en