Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas

• Published in: The North American journal of economics and finance Vol. 45; pp. 83 - 100
• Main Authors: de Oliveira, Felipe A., Maia, Sinézio F., de Jesus, Diego P., Besarria, Cássio da N.
• Format: Journal Article
• Language: English
• Published: Elsevier Inc 01.07.2018
• Subjects: DCC; GARCH-BEKK; Market risk; Spillover; t-Copulas; C32; Spillover; G31; F42; DCC; GARCH-BEKK; t-Copulas; Market risk

Among a political disorder, there are additional difficulties to predict sources of risk. The objective of this article was to analyze the spillover effects and channels of volatility from and to Brazilian stock market (Bovespa) in the period that goes from 2014 to 2016. In this period, is marked as...