Resumen

CARDONA SALGADO, Daiver. DEPENDENCIA ESTRUCTURAL EN LOS MERCADOS BURSÁTILES DE COLOMBIA Y ESTADOS UNIDOS: UNA APROXIMACIÓN USANDO CÓPULAS. Cuad. Econ. [online]. 2012, vol.31, n.spe57, pp.147-178. ISSN 0121-4772.

In order to determine the Colombian and U.S stock market's structural dependence, losses of Col20, Dow Jones, and Standard & Poors 500 were use as variables. Semiparametric Copula-basedMultivariate Dynamic (SCOMDY) proposed by Chen & Fan (2006) was used as methodology. It was found that the Colombian and U.S stock market have a low dependence, according to CAPM, the systematic risk is low and the possibilities of diversification are higher. Furthermore, the Colombian and U.S stock market have a low asymptotic dependence, e.g., the probability that both stock markets have extreme losses at the same time is very low.

Palabras clave : AR-GARCH; concordance measures; dependence in queues.

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