We investigate whether there is a pattern regarding the quality of several models and methods in expected shortfall (ES) estimation, considering distinct asset classes, estimation windows and significance levels. We use unconditional, conditional and quantile/expectile regression-based models....

Knowledge of dependence pattern in stock market has paramount importance for both theoretical and practical in financial markets. Their usefulness is wide, can be used in portfolio predictability (of portfolio) and risk management. The aim of this paper is to investigate the autoregressive...

We present in this paper a dynamic hedging strategy for futures based exclusively on copula functions. We develop an algorithm based on numerical simulations from estimated copula and marginal probability function to obtain innovations. We illustrate our approach through an empirical example...

In this paper we estimated pair copula constructions (PCC) for three sets of markets: developed, Latin emerging and Asia-Pacific emerging. To that, we used daily prices from January 2003 to November 2011, totaling 1872 observations. After, we estimated the lower and upper tail dependence for...

This paper aims to determine which extreme value copula is best suited to the bivariate relationships between shocks of U.S market with Brazilian, Argentine and Mexican markets. We used prices of S&P500, Ibovespa, Merval and IPC from January, 3, 2009 to December, 31, 2010, totaling 483...

This paper aims to determine if during the recent European financial crisis European markets are efficient in the weak form, as well to introduce an approach to properly predict daily risk of portfolios composed by these market assets, considering their dependence structure. We use daily data...

In this note we present an algorithm for portfolio ES estimation through Pair Copula Construction. The advantages of this method are the flexibility in what dependence structure is determined, as well as the simplicity of simulation procedures. We illustrate our approach with a brief empirical...

In this paper we analyze intraday data on a 10-minute interval and compared the major market index in South America, the Ibovespa and sync up with the S&P500 in New York. The main target is to determine differences of volatility, in the Brazilian index, before and after the opening bell in New...

In this paper, we identify the bid-ask spread components in the Brazilian market at intraday high frequency. To do so, we use data from all stocks that compose the Ibovespa in 10-minute frequencies from January to March of 2013. We use the model of Huang and Stoll (1997). Preliminary results...