Dependence analysis of ethanol, suga, oil, BRL/USD exchange rate and Bovespa: a vine copula approach
DOI:
https://doi.org/10.1590/1413-8050/ea130174Keywords:
Commodities, Biofuels, Multivariate dependence, Regular-vine Copulas.Abstract
The aim of this study is to assess the dependence relationship of the sugarcane sector (represented by Ethanol and Sugar), Oil, BRL/USD Exchange Rate and Brazilian stock market (represented by the BOVESPA – Bolsa de Valores de São Paulo – Index). Our methodology is based on paircopulas constructions, in which tree specification are compared: Regular Vine, more general, and two particular cases, Canonical vine (C-vine) and Drawable vine (D-vine). Primary results are shown to be aligned with the existing literature but they can change significantly when conditional dependence is taken into account.Downloads
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Published
2015-09-19
Issue
Section
Papers
How to Cite
Resende, A. G., & Candido, O. (2015). Dependence analysis of ethanol, suga, oil, BRL/USD exchange rate and Bovespa: a vine copula approach. Economia Aplicada, 19(3), 455-480. https://doi.org/10.1590/1413-8050/ea130174