Daniel Henrique Salgado

Independent

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Dependence Dynamics Among Exchange Rates, Commodities and the Brazilian Stock Market Using the R-Vine SCAR Model

Journal of Risk, Vol. 21, No. 2, 2018
Number of pages: 26 Posted: 14 Dec 2018
Daniel Henrique Salgado and Osvaldo Candido
Independent and Catholic University of Brazil (UCB)
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Abstract:

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regular vine copulas, dependence dynamics, financial markets, multivariate analysis.