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Modelando contágio financeiro através de cópulas

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  • Santos, Ricardo Pires de Souza
  • Pereira, Pedro L. Valls

Abstract

This article aims to test the hypothesis of contagion between the indices of nancial markets from the United States to Brazil, Japan and England for the period 2000 to 2009. Time varying copulas were used to capture the impact of Sub-prime crisis in the dependence between markets. The implemented model was a ARMA(1,0) st-ARCH(1,2) to the marginal distributions and Normal and Joe Clayton (SJC) copulas for the joint distribution. The results obtained allow to conclude that both for the gaussiana copula and for the SJC copula there is evidence of contagion between the American market and the Brazilian market. For the other two markets Londoner and Japanese, the evidence of the presence of contagion between these markets and the American has not been suf ciently clear in both copula

Suggested Citation

  • Santos, Ricardo Pires de Souza & Pereira, Pedro L. Valls, 2011. "Modelando contágio financeiro através de cópulas," Textos para discussão 292, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    • Handle: RePEc:fgv:eesptd:292
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    Cited by:

    1. Rotta, Pedro Nielsen & Pereira, Pedro L. Valls, 2013. "Analysis of contagion from the constant conditional correlation model with Markov regime switching," Textos para discussão 340, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).

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