Modelando contágio financeiro através de cópulas

Abstract

This article aims to test the hypothesis of contagion between the in-dices of nancial markets from the United States to Brazil, Japan andEngland for the period 2000 to 2009. Time varying copulas were used tocapture the impact of Sub-prime crisis in the dependence between mar-kets. The implemented model was a ARMA(1,0) st-ARCH(1,2) to themarginal distributions and Normal and Joe- Clayton (SJC) copulas forthe joint distribution. The results obtained allow to conclude that bothfor the gaussiana copula and for the SJC copula there is evidence of con-tagion between the American market and the Brazilian market. For theother two markets Londoner and Japanese, the evidence of the presenceof contagion between these markets and the American has not been suf- ciently clear in both copula