@techreport{20.500.12134/5774, author = {Loaiza-Maya, Rubén Albeiro}, author = {Gómez-González, José Eduardo}, author = {Melo-Velandia, Luis Fernando}, year = {2012}, month = {8}, url = {https://repositorio.banrep.gov.co/handle/20.500.12134/5774}, abstract = {This study implements a regular vine copula methodology to evaluate the level of contagion among the exchange rates of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) from June 2005 to April 2012. We measure contagion in}, publisher = {Banco de la República}, booktitle = {Borradores de Economía}, volume = {Borradores de Economía; No. 729}, title = {Latin american exchange rate dependencies : a regular vine copula approach}, keywords = {Copula}, keywords = {Regular vine}, keywords = {Exchange rates}, keywords = {Tail dependence coefficients}, doi = {https://doi.org/10.32468/be.729}, }