Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Economic Modelling 35 (2013) C, pp. 199-206
In this paper we estimate the dependence structure between economic sectors in the Brazilian financial market through … structure. BB1, BB7, BB8, Frank and Joe copulas also fit into some relationships. Regarding dependence, tail measures obtain … relevant values in most relationships. Lower tail dependence exceeds absolute, measured by Kendall's Tau, and upper tail in …