{"title":"基于R-Vine SCAR模型的汇率、大宗商品和巴西股市的依赖动态","authors":"Daniel Henrique Salgado, Osvaldo Candido","doi":"10.21314/JOR.2018.397","DOIUrl":null,"url":null,"abstract":"The objective of this paper is to assess the dependence dynamics among Brazilian real exchange rates, commodity prices and the Brazilian stock market using a regular vine copula combined with the stochastic autoregressive copula model. The results suggest that the Brazilian financial markets are strongly dependent on the US dollar (USD), Petrobras stock prices and oil prices, and the dependence dynamics of the variables that comprise these markets are volatile and persistent over time.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"137 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":"{\"title\":\"Dependence Dynamics Among Exchange Rates, Commodities and the Brazilian Stock Market Using the R-Vine SCAR Model\",\"authors\":\"Daniel Henrique Salgado, Osvaldo Candido\",\"doi\":\"10.21314/JOR.2018.397\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The objective of this paper is to assess the dependence dynamics among Brazilian real exchange rates, commodity prices and the Brazilian stock market using a regular vine copula combined with the stochastic autoregressive copula model. The results suggest that the Brazilian financial markets are strongly dependent on the US dollar (USD), Petrobras stock prices and oil prices, and the dependence dynamics of the variables that comprise these markets are volatile and persistent over time.\",\"PeriodicalId\":388404,\"journal\":{\"name\":\"ERN: Other Econometric Modeling: Commodity Markets (Topic)\",\"volume\":\"137 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2018-12-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"4\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Other Econometric Modeling: Commodity Markets (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.21314/JOR.2018.397\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21314/JOR.2018.397","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Dependence Dynamics Among Exchange Rates, Commodities and the Brazilian Stock Market Using the R-Vine SCAR Model
The objective of this paper is to assess the dependence dynamics among Brazilian real exchange rates, commodity prices and the Brazilian stock market using a regular vine copula combined with the stochastic autoregressive copula model. The results suggest that the Brazilian financial markets are strongly dependent on the US dollar (USD), Petrobras stock prices and oil prices, and the dependence dynamics of the variables that comprise these markets are volatile and persistent over time.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
