This paper proposes a multivariate GARCH model with nonlinear conditional variances as a new approach to modeling contagion and interdependence between international financial markets. The conditional variances are allowed to change smoothly between two extreme regimes and the transition is...

The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe the distributions of returns standardized by volatilities is not...

The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe the distributions of returns standardized by volatilities is not...