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espanolEn este trabajo se estudia la dependencia condicional de los mercados accionarios de Mexico y Estados Unidos. Se emplea la copula de Joe- Clayton simetrica y se estiman las probabilidades condicionales de que existan incrementos (decrementos) en el indice accionario de Mexico, dado que hay incrementos (decrementos) en el indice accionario de Estados Unidos. Para las distribuciones marginales se proponen modelos ARTGARCH y AR-EGARCH con distribucion t de student estandarizada para las perturbaciones. Los resultados empiricos sugieren que existe alto grado de dependencia condicional en las colas, presentandose mayor volatilidad en la cola superior (derecha) a lo largo del periodo. EnglishIn this paper the conditional dependence of stock market in Mexico and the United States is studied. Symmetric Joe-Clayton copula is used and conditional probabilities of increases (decreases) in Mexico stock index when there are increases (decreases) in the U.S. stock index are estimated. For the marginal distributions, AR-TGARCH and AR-EGARCH models with a standardized Student’s t distribution for innovations are proposed. Empirical results suggest that there is a high degree of conditional dependence in the tails, presenting higher volatility on the upper (right) tail throughout the period.

Dependencia condicional entre los mercados bursátiles de México y Estados Unidos