Journal of Risk

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Dependence dynamics among exchange rates, commodities and the Brazilian stock market using the R-vine SCAR model

Daniel Henrique Salgado and Osvaldo Candido

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.

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