Dependence dynamics among exchange rates, commodities and the Brazilian stock market using the R-vine SCAR model
Abstract
The objective of this paper is to assess the dependence dynamics among Brazilian real exchange rates, commodity prices and the Brazilian stock market using a regular vine copula combined with the stochastic autoregressive copula model. The results suggest that the Brazilian financial markets are strongly dependent on the US dollar (USD), Petrobras stock prices and oil prices, and the dependence dynamics of the variables that comprise these...
Paper Details
Title
Dependence dynamics among exchange rates, commodities and the Brazilian stock market using the R-vine SCAR model
Published Date
Jan 1, 2018
Journal
Volume
21
Issue
2
Pages
37 - 62
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