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Análise de dependência entre mercados financeiros: uma abordagem do modelo Cópula-GARCH

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Published
<mark>Journal publication date</mark>1/01/2018
<mark>Journal</mark>REVISTA DE FINANÇAS E CONTABILIDADE DA UNIMEP
Issue number1
Volume5
Number of pages21
Pages (from-to)18-38
Publication StatusPublished
<mark>Original language</mark>Portuguese

Abstract

The aim of this work is study a relationship of dependence between a Brazilian economy and four major world economies, being: United States, Japan, Germany and England. the Thus, it is proposed to use the copula methodology of the elliptic and archimedian families to relate the degree of dependency in the period from 2006 to 2017. Applying ARMA-EGARCH models for marginal and copula Normal, t-student, Gumbel, Frank, Clayton and Joe for bivariate distributions. The results obtained from a positive assessment of positive
relationship between the markets and that the stronger relationship with the North American index. This methodology allows to make inference about the parameter of dependence respecting the modern theory of finance, where the main limitation is the non normality of the financial returns.