Dependence analysis of ethanol, suga, oil, BRL/USD exchange rate and Bovespa: a vine copula approach

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...

Full description

Bibliographic Details
Main Authors: Anderson Gomes Resende, Osvaldo Candido
Format: Article
Language:Portuguese
Published: Universidade de São Paulo 2015-09-01
Series:Economia Aplicada
Subjects:
Commodities
Biofuels
Multivariate dependence
Regular-vine Copulas.
Online Access:http://www.revistas.usp.br/ecoa/article/view/106043

Similar Items

Similar Items