Sectoral dependence and contagion in the BRICS grouping: an application of the R-Vine copulas
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More about this item
Keywords
contagion; interdependence; R-Vine copula;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CIS-2020-09-07 (Confederation of Independent States)
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