Dependence in the Banking Sector of the United States and Mexico: A Copula Approach

The objective of this work is to estimate the patterns dependence between yields stock prices main banks United States (US) and Mexico. We absolute tail through copulas Archimedean family use rolling windows 245 days. data employed come from daily share at closing January 2, 2015, December 31, 2020, for seven banks. Our results show that: i) there are high among in US, ii) very low US Mexico, iii) These have several implications, them that high-dependency obtained major limit joint selection these bank equity assets an investment portfolio. Although paper focuses on a small sample banks, they represent important portion banking sector both countries. Given limited literature subject our contributes expanding with novel approach.