2018-10-182018-10-18185166710.1016/j.inveco.2015.06.001http://hdl.handle.net/11285/630470This paper studies the integration of the Mexican Stock Exchange (MSE) into the World Capital Market (WCM). We detect a long-run equilibrium relationship, despite the effects of structural breaks associated to different financial crises during our period of analysis (1987-2012). The analytical approach begins with the estimation of a bivariate VECM in the mean, including several dummy variables that capture the main crisis episodes that took place during the estimation period. Next, we specify a VARMA-GARCH model with Dynamic Conditional Correlation, and, finally, we fit a Clayton copula to returns, conditional on two volatility regimes (low and high), in order to further understand the nature of their dependence structure. © 2015 .info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-nd/4.07 INGENIERÍA Y TECNOLOGÍAArtículo742936997