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ARTÍCULO
TITULO

Modeling Financial Contagion using Copula

Pedro Luiz Valls Pereira    
Ricardo Pires de Souza Santos    

Resumen

This article aims to test the hypothesis of contagion between the indices of financial markets from the United States into Brazil, Japan and the UK for the 2000 to 2009 period. Time varying copulas were used to capture the impact of the sub-prime crisis in the dependence between markets. The implemented model was an ARMA(1,0) st-ARCH(1,2) to the marginal distributions and Normal and Joe-Clayton (SJC) copulas for the joint distribution. The results obtained allow to conclude that both for the gaussian copula and for the SJC copula there is evidence of contagion between the US market and the Brazilian market. For the other two markets, the UK and Japan, the evidence of the presence of contagion between these markets and the US has not been sufficiently clear in both copula.

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