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Analyzing the dependence structure of various sectors in the Brazilian market: A Pair Copula Construction approach

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Economic Modelling 35 (2013) C, pp. 199-206

structure. BB1, BB7, BB8, Frank and Joe copulas also fit into some relationships. Regarding dependence, tail measures obtain …In this paper we estimate the dependence structure between economic sectors in the Brazilian financial market through … relevant values in most relationships. Lower tail dependence exceeds absolute, measured by Kendall's Tau, and upper tail in …

Persistent link: https://www.econbiz.de/10010719397

Analyzing the dependence structure of various sectors in the Brazilian market : a Pair Copula Construction approach

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Economic modelling 35 (2013), pp. 199-206

Persistent link: https://www.econbiz.de/10010259465

Extreme values dependence of risk in Latin American markets

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Economics Bulletin 31 (2011) 4, pp. 2903-2914

(extreme-value - TEV) copulas. Results allow concluding that there is a strong dependence on the tails of the joint probability …

Persistent link: https://www.econbiz.de/10011278888

Numerical comparison of multivariate models to forecasting risk measures

Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 1, pp. 29-50

Persistent link: https://www.econbiz.de/10011859009

Global risk evolution and diversification : a Copula-DCC-GARCH model approach

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 10 (2012) 4, pp. 529-550

Persistent link: https://www.econbiz.de/10010412236

Comparison of Value at Risk (VaR) multivariate forecast models

Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Computational economics 63 (2024) 1, pp. 75-110

Persistent link: https://www.econbiz.de/10014471980