Open AccessMultivariate Distribution in the Stock Markets of Brazil, Russia, India, and China
Author(s) -
Leovardo Mata Mata,
José Antonio Núñez Mora,
Ramona Serrano Bautista
Publication year - 2021
Publication title -
sage open
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.357
H-Index - 32
ISSN - 2158-2440
DOI - 10.1177/21582440211009509
Subject(s) - bric , heteroscedasticity , multivariate statistics , econometrics , estimator , autoregressive model , china , value at risk , stock (firearms) , multivariate normal distribution , multivariate t distribution , economics , mathematics , statistics , financial economics , geography , emerging markets , finance , risk management , archaeology
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.