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Full-Text Articles in Finance and Financial Management
Board Interlocking #2, Wesley Mendes-Da-Silva
Board Interlocking #2, Wesley Mendes-Da-Silva
Wesley Mendes-Da-Silva
No abstract provided.
Analysis Of Co-Movements Between The Capital Markets In Brazil And The United States, Daniel Reed Bergmann, Wesley Mendes-Da-Silva
Analysis Of Co-Movements Between The Capital Markets In Brazil And The United States, Daniel Reed Bergmann, Wesley Mendes-Da-Silva
Wesley Mendes-Da-Silva
In this article copula theory is used to analyze the co-movements between the Brazilian and American capital markets. To formulate an effective asset allocation strategy, it is important to understand extreme events – both positive (booms) and negative (crashes) – and their effects on markets. The market indexes used are the Ibovespa and the S&P 500, covering the period from March 2001 to April 2007. We tested the adherence to the log-returns of the main copulas found in the financial literature, using the following criteria: log-likelihood, Akaike information criterion and Bayesian information criterion. The results show that the symmetrized Joe-Clayton …