Modeling Financial Contagion using Copula
This article aims to test the hypothesis of contagion between the indices of financial markets from the United States into Brazil, Japan and the UK for the 2000 to 2009 period. Time varying copulas were used to capture the impact of the sub-prime crisis in the dependence between markets. The impleme...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2011-09-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/2942 |
| _version_ | 1818313135902162944 |
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| author | Pedro Luiz Valls Pereira Ricardo Pires de Souza Santos |
| author_facet | Pedro Luiz Valls Pereira Ricardo Pires de Souza Santos |
| author_sort | Pedro Luiz Valls Pereira |
| collection | DOAJ |
| description | This article aims to test the hypothesis of contagion between the indices of financial markets from the United States into Brazil, Japan and the UK for the 2000 to 2009 period. Time varying copulas were used to capture the impact of the sub-prime crisis in the dependence between markets. The implemented model was an 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 gaussian copula and for the SJC copula there is evidence of contagion between the US market and the Brazilian market. For the other two markets, the UK and Japan, the evidence of the presence of contagion between these markets and the US has not been sufficiently clear in both copula. |
| first_indexed | 2024-12-13T08:28:56Z |
| format | Article |
| id | doaj.art-9ff2467416424d68a9156f72a8e7c2ea |
| institution | Directory Open Access Journal |
| issn | 1679-0731 1984-5146 |
| language | English |
| last_indexed | 2024-12-13T08:28:56Z |
| publishDate | 2011-09-01 |
| publisher | Brazilian Society of Finance |
| record_format | Article |
| series | Revista Brasileira de Finanças |
| spelling | doaj.art-9ff2467416424d68a9156f72a8e7c2ea2022-12-21T23:53:48ZengBrazilian Society of FinanceRevista Brasileira de Finanças1679-07311984-51462011-09-0193335363Modeling Financial Contagion using CopulaPedro Luiz Valls PereiraRicardo Pires de Souza SantosThis article aims to test the hypothesis of contagion between the indices of financial markets from the United States into Brazil, Japan and the UK for the 2000 to 2009 period. Time varying copulas were used to capture the impact of the sub-prime crisis in the dependence between markets. The implemented model was an 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 gaussian copula and for the SJC copula there is evidence of contagion between the US market and the Brazilian market. For the other two markets, the UK and Japan, the evidence of the presence of contagion between these markets and the US has not been sufficiently clear in both copula.http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/2942ContagionTime Varying Copula |
| spellingShingle | Pedro Luiz Valls Pereira Ricardo Pires de Souza Santos Modeling Financial Contagion using Copula Revista Brasileira de Finanças Contagion Time Varying Copula |
| title | Modeling Financial Contagion using Copula |
| title_full | Modeling Financial Contagion using Copula |
| title_fullStr | Modeling Financial Contagion using Copula |
| title_full_unstemmed | Modeling Financial Contagion using Copula |
| title_short | Modeling Financial Contagion using Copula |
| title_sort | modeling financial contagion using copula |
| topic | Contagion Time Varying Copula |
| url | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/2942 |
| work_keys_str_mv | AT pedroluizvallspereira modelingfinancialcontagionusingcopula AT ricardopiresdesouzasantos modelingfinancialcontagionusingcopula |