DEPENDENCE ANALYSIS OF ETHANOL, SUGAR, OIL, BRL/USD EXCHANGE RATE AND BOVESPA: A VINE COPULA APPROACH
AbstractThe 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 const...
| Main Authors: | , |
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| Format: | Article |
| Language: | Portuguese |
| Published: |
Universidade de São Paulo
2015-09-01
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| Series: | Economia Aplicada |
| Subjects: | |
| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1413-80502015000300455&lng=en&tlng=en |