Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Economics Bulletin 32 (2012) 1, pp. 282-294
In this paper we estimated pair copula constructions (PCC) for three sets of markets: developed, Latin emerging and Asia-Pacific emerging. To that, we used daily prices from January 2003 to November 2011, totaling 1872 observations. The last 200 observations were separated for posterior...