Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Jiusheng Chen
| Year of publication: |
2023
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|---|---|
| Authors: | Chen, Jiusheng |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 25.2023, 3, p. 77-127
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| Subject: | crude oil | stock market | conditional value-at-risk (CoVaR) | risk spillover | Beta-skew-t-EGARCH | marginal expected shortfall (MES) | Risikomaß | Risk measure | Aktienmarkt | Stock market | Spillover-Effekt | Spillover effect | China | Börsenkurs | Share price | Risiko | Risk | Volatilität | Volatility | Ölpreis | Oil price | Risikomanagement | Risk management | Erdöl | Petroleum | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2022.047 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014283909