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

Economia Aplicada

关键词: Commodities;    Biofuels;    Multivariate dependence;    Regular-vine Copulas.;   

DOI  :  

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown