文章基本信息

标题：Multivariate Distribution in the Stock Markets of Brazil, Russia, India, and China
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作者：Leovardo Mata Mata ; José Antonio Núñez Mora ; Ramona Serrano Bautista 等
期刊名称：SAGE Open
印刷版ISSN：2158-2440
电子版ISSN：2158-2440
出版年度：2021
卷号：11
期号：2
页码：1
DOI：10.1177/21582440211009509
出版社：SAGE Publications
摘要：The purpose of this article is to analyze the dependence between Brazil, Russia, India, and China (BRIC) stock markets, adjusting the multivariate Normal Inverse Gaussian probability distribution (NIG) in 2010–2019 on data yields. Using the estimated parameters, a robust estimator of the correlation matrix is calculated, and evidence is found of the degree of integration in BRIC financial markets during the period 2000–2019. In addition, it is found that the Value at Risk presents a better performance when using the NIG distribution versus multivariate generalized autoregressive conditional heteroscedastic models.
其他关键词：dependency ; BRIC ; multivariate normal inverse Gaussian distribution ; stock returns