Maya, Rubén Albeiro Loaiza; Gómez-González, José Eduardo - Banco de la Republica de Colombia - 2012
measure contagion in terms of tail dependence coefficients, following Fratzscher’s (1999) definition of contagion as … dependence and significant lower tail dependence. These results imply that there exists contagion in Latin American exchange … most of the Latin American exchange rate pairs exhibit asymmetric behaviors characterized by non-significant upper tail …