Browsing by Subject "Cópulas (Estatística matemática)"

Now showing items 1-4 of 4

    • Analysis of co-movements between the capital markets in Brazil and the United States 

      Bergmann, Daniel Reed; Savoia, José Roberto Ferreira; Silva, Wesley Mendes da; Oliveira, Mauri Aparecido de; Nakamura, Wilson Toshiro
      2011
      In this article copula theory is used to analyze the co-movements between the Brazilian and American capital markets. To formulate an effective asset allocation strategy, it is important to understand extreme events – both ...

    • Cópulas: uma alternativa para a estimação de modelos de risco multivariados 

      Pereira, Pedro L. Valls
      2009-01-26
      The biggest challenge in portfolio’s risk measures is to find the best way to aggregate risks. This aggregation should be done in the way where we can identify the diversification effect recognized in either asset position ...

    • Modelando contágio financeiro através de cópulas 

      Santos, Ricardo Pires de Souza; Pereira, Pedro L. Valls
      2011-06-02
      This article aims to test the hypothesis of contagion between the indices of nancial markets from the United States to Brazil, Japan and England for the period 2000 to 2009. Time varying copulas were used to capture the ...

    • Modelando contágio financeiro através de cópulas 

      Santos, Ricardo Pires de Souza
      2010-06-21
      O presente artigo tem por objetivo testar a hipótese de contágio entre os índices dos mercados financeiros dos Estados Unidos, Brasil, Japão e Inglaterra para o período de 2000 a 2009. Cópulas variantes no tempo foram ...