"An Application of the Forbes & Rigobon and Fry, Martin & Tang Methodologies for Assessing Financial Contagion, [Uma Aplicação das Metodologias de Forbes & Rigobon e Fry, Marting e Tang para Avaliação de Contagio Financeiro], [Una Aplicación de las Metodologías de Forbes & Rigobon y Fry, Martin & Tang para la Evaluación del Contagio Financiero]"

Abstract

"The objective was to analyze how the health crisis caused by Covid-19 affected financial contagion between Brazil and its main trading partners. For the analysis, two complementary methodologies were employed: the covolatility test and the coskewness test, developed by Forbes & Rigobon (2002) and Fry, Martin & Tang (2010). The study reinforces the importance of considering not only correlations but also co-skewness for a deeper understanding of market dynamics. The application of the complementary methodology proposed by Fry, Martin & Tang proved to be essential for more comprehensively capturing the effects of financial contagion. © (2026), (Georgetown University). All right reserved."