TY - JOUR

T1 - Análise de dependência entre mercados financeiros

T2 - uma abordagem do modelo Cópula-GARCH

AU - Lopes, Lucas

AU - Pessanha, Gabriel

PY - 2018/1/1

Y1 - 2018/1/1

N2 - 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 positiverelationship 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.

AB - 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 positiverelationship 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.

M3 - Journal article

VL - 5

SP - 18

EP - 38

JO - REVISTA DE FINANÇAS E CONTABILIDADE DA UNIMEP

JF - REVISTA DE FINANÇAS E CONTABILIDADE DA UNIMEP

SN - 2358-2693

IS - 1

ER -