Medindo a Influência do Mercado dos EUA sobre as Interdependências Observadas na América Latina

The modeling of the extremal dependence structure can be made throughparametric models classified in two families: Logistic and Mixed, whichcontain the symmetric and asymmetric models. The bivariate models are veryuseful in practical applications on the extreme value theory, in particularin a financial area. Considering the strong influence of the North Americanmarket on other financial markets, we investigate how does the dependencestructure among the Latin American markets change after filtering theinfluence of the North American market. To remove that influence, we carryon a polynomial regression with GARCH (1,1) errors, and fit the bivariateextreme value models to the pairs of monthly maxima and minima of thestandardized regression residuals.