Filho, Osvaldo C. Silva; Ziegelmann, Flavio A.; Dueker, … - In: Quantitative Finance 14 (2014) 12, pp. 2155-2170
We analyse the dynamic dependence structure between broad stock market indexes from the United States (S&P500), Britain (FTSE100), Brazil (BOVESPA) and Mexico (PCMX). We employ Patton's [<italic>Int. Econ. Rev</italic>., 2006, <bold>2</bold>, 527-556] conditional copula setting and additionally observe the impact of...
