The Impact of the 2008 Crisis on BM&FBovespa’s Term Structure of Conditional Correlations
This article uses a BEKK-MGARCH model to identify the historical behavior of the term structure of covariance of the Brazilian BM&FBovespa stock exchange when compared to other exchanges in the American continent. The purpose of this research is to analyze the impact of the 2008 crisis...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Fundação Escola de Comércio Álvares Penteado
2014-05-01
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| Series: | Revista Brasileira de Gestão De Negócios |
| Subjects: | |
| Online Access: | http://rbgn.fecap.br/RBGN/article/view/1534 |