U.S. subprime financial crisis contagion on BRIC and European Union stock markets

U.S. subprime financial crisis contagion on BRIC and European Union stock markets

ABSTRACT The Copula Theory was used to analyze contagion among the BRIC (Brazil, Russia, India and China) and European Union stock markets with the U.S. Equity Market. The market indexes used for the period between January 01, 2005 and February 27, 2010 are: MXBRIC (BRIC), MXEU (European Union) and...

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Bibliographic Details
Main Authors: Daniel Reed Bergmann, José Roberto Securato, José Roberto Ferreira Savoia, Eduardo Augusto do Rosário Contani
Format: Article
Language:English
Published: Universidade de São Paulo 2015-06-01
Series:RAUSP: Revista de Administração da Universidade de São Paulo
Subjects:
contagio
teoría de cópulas
correlación
crisis subprime de Estados Unidos
Online Access:http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0080-21072015000200229&lng=en&tlng=en

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http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0080-21072015000200229&lng=en&tlng=en

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