Dependence dynamics among exchange rates, commodities and the Brazilian stock market using the R-vine SCAR model
Daniel Henrique Salgado and Osvaldo Candido
| Year of publication: |
December 2018
|
|---|---|
| Authors: | Salgado, Daniel Henrique ; Candido, Osvaldo |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 21.2018/2019, 2, p. 37-62
|
| Subject: | regular vine copulas | dependence dynamics | financial markets | multivariate analysis | Wechselkurs | Exchange rate | Multivariate Verteilung | Multivariate distribution | Brasilien | Brazil | Aktienmarkt | Stock market | Multivariate Analyse | Multivariate analysis | Finanzmarkt | Financial market | ARCH-Modell | ARCH model | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2018.397 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011981418