Dependence analysis of ethanol, suga, oil, BRL/USD exchange rate and Bovespa: a vine copula approach
The aim of this study is to assess the dependence relationship of the sugarcane sector (represented by Ethanol and Sugar), Oil, BRL/USD Exchange Rate and Brazilian stock market (represented by the BOVESPA – Bolsa de Valores de São Paulo – Index). Our methodology is based on paircopulas constructions...
| Main Authors: | , |
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| Format: | Article |
| Language: | Portuguese |
| Published: |
Universidade de São Paulo
2015-09-01
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| Series: | Economia Aplicada |
| Subjects: | |
| Online Access: | http://www.revistas.usp.br/ecoa/article/view/106043 |
| _version_ | 1818408545692942336 |
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| author | Anderson Gomes Resende Osvaldo Candido |
| author_facet | Anderson Gomes Resende Osvaldo Candido |
| author_sort | Anderson Gomes Resende |
| collection | DOAJ |
| description | The aim of this study is to assess the dependence relationship of the sugarcane sector (represented by Ethanol and Sugar), Oil, BRL/USD Exchange Rate and Brazilian stock market (represented by the BOVESPA – Bolsa de Valores de São Paulo – Index). Our methodology is based on paircopulas constructions, in which tree specification are compared: Regular Vine, more general, and two particular cases, Canonical vine (C-vine) and Drawable vine (D-vine). Primary results are shown to be aligned with the existing literature but they can change significantly when conditional dependence is taken into account. |
| first_indexed | 2024-12-14T09:45:26Z |
| format | Article |
| id | doaj.art-c7f0bfb9cdbd43dfa02aa8cfd5e754d3 |
| institution | Directory Open Access Journal |
| issn | 1413-8050 1980-5330 |
| language | Portuguese |
| last_indexed | 2024-12-14T09:45:26Z |
| publishDate | 2015-09-01 |
| publisher | Universidade de São Paulo |
| record_format | Article |
| series | Economia Aplicada |
| spelling | doaj.art-c7f0bfb9cdbd43dfa02aa8cfd5e754d32022-12-21T23:07:39ZporUniversidade de São PauloEconomia Aplicada1413-80501980-53302015-09-01193Dependence analysis of ethanol, suga, oil, BRL/USD exchange rate and Bovespa: a vine copula approachAnderson Gomes ResendeOsvaldo CandidoThe aim of this study is to assess the dependence relationship of the sugarcane sector (represented by Ethanol and Sugar), Oil, BRL/USD Exchange Rate and Brazilian stock market (represented by the BOVESPA – Bolsa de Valores de São Paulo – Index). Our methodology is based on paircopulas constructions, in which tree specification are compared: Regular Vine, more general, and two particular cases, Canonical vine (C-vine) and Drawable vine (D-vine). Primary results are shown to be aligned with the existing literature but they can change significantly when conditional dependence is taken into account.http://www.revistas.usp.br/ecoa/article/view/106043CommoditiesBiofuelsMultivariate dependenceRegular-vine Copulas. |
| spellingShingle | Anderson Gomes Resende Osvaldo Candido Dependence analysis of ethanol, suga, oil, BRL/USD exchange rate and Bovespa: a vine copula approach Economia Aplicada Commodities Biofuels Multivariate dependence Regular-vine Copulas. |
| title | Dependence analysis of ethanol, suga, oil, BRL/USD exchange rate and Bovespa: a vine copula approach |
| title_full | Dependence analysis of ethanol, suga, oil, BRL/USD exchange rate and Bovespa: a vine copula approach |
| title_fullStr | Dependence analysis of ethanol, suga, oil, BRL/USD exchange rate and Bovespa: a vine copula approach |
| title_full_unstemmed | Dependence analysis of ethanol, suga, oil, BRL/USD exchange rate and Bovespa: a vine copula approach |
| title_short | Dependence analysis of ethanol, suga, oil, BRL/USD exchange rate and Bovespa: a vine copula approach |
| title_sort | dependence analysis of ethanol suga oil brl usd exchange rate and bovespa a vine copula approach |
| topic | Commodities Biofuels Multivariate dependence Regular-vine Copulas. |
| url | http://www.revistas.usp.br/ecoa/article/view/106043 |
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