MEDICIÓN DE CONTAGIO E INTERDEPENDENCIA FINANCIEROS MEDIANTE CÓPULAS Y EVENTOS EXTREMOS EN LOS PAÍSES DE LA AMÉRICA LATINA.

This paper measures the interdependency and transmission of shocks between a sample of financial markets in Latin American. Our results favor the use of copulas and extreme events theory for the computation of mutual (inter) dependence of markets. We show that these techniques provide more accurate measurements in portfolio diversification and Value-at-Risk calculations, vis-à-vis the use of correlation coefficients, which stand as the most popular instrument used in the literature [ABSTRACT FROM AUTHOR]