Assessing market risk in BRICS and oil markets: An application of Markov switching and vine copula
Year of publication: |
2021
|
---|---|
Authors: | Muteba Mwamba, John ; Mwambi, Sutene Mwambetania |
Published in: |
International Journal of Financial Studies. - Basel : MDPI, ISSN 2227-7072. - Vol. 9.2021, 2, p. 1-22
|
Publisher: |
Basel : MDPI |
Subject: | BRICS | conditional value-at-risk | GJR-GARCH | Markov-switching | tail dependence | vine copula |
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