DEPENDENCE ANALYSIS OF ETHANOL, SUGAR, OIL, BRL/USD EXCHANGE RATE AND BOVESPA: A VINE COPULA APPROACH

Economia Aplicada

Anderson Gomes Resende¹  Osvaldo Candido¹ 

关键词: Commodities;    Biofuels;    Multivariate dependence;    Regular-vine Copulas;    Commodities;    Bio-combustíveis;    Dependência multivariada;    R-Vine cópulas;   

DOI  :  10.1590/1413-8050/ea130174

来源: SciELO

【 摘 要 】

AbstractThe 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.

【 授权许可】

CC BY-NC   
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