Multivariate Distribution in the Stock Markets of Brazil, Russia, India, and China

Leovardo Mata Mata; Serrano Bautista, Ramona

doi:10.1177/21582440211009509

Multivariate Distribution in the Stock Markets of Brazil, Russia, India, and China

Journal

SAGE Open

ISSN

2158-2440

Date Issued

2021

Author(s)

Leovardo Mata Mata

Serrano Bautista, Ramona

Type

text::journal::journal article

DOI

10.1177/21582440211009509

URL

https://scripta.up.edu.mx/handle/20.500.12552/3363

Abstract

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.