Modelando contágio financeiro através de cópulas
This article aims to test the hypothesis of contagion between the in- dices 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 mar- kets. 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 con- tagion 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
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