Comparing the risk spillover from oil and gas to investment grade and high-yield bonds through optimal copulas
Md Lutfur Rahman, Syed Jawad Hussain Shahzad, Gazi Salah Uddin, and Anupam Dutta
| Year of publication: |
2022
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|---|---|
| Authors: | Rahman, Md Lutfur ; Shahzad, Syed Jawad Hussain ; Uddin, Mohammed Gazi Salah ; Dutta, Anupam |
| Published in: |
The energy journal. - Boston, Mass. [u.a.] : Oelgeschlager, Gunn & Hain, ISSN 0195-6574, ZDB-ID 864319-2. - Vol. 43.2022, 1, p. 215-239
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| Subject: | Dynamic dependence | Risk spillover | Bond and energy market | Time-varying optimal copula | Conditional value-at-risk | Multivariate Verteilung | Multivariate distribution | Spillover-Effekt | Spillover effect | Risikomaß | Risk measure | Anleihe | Bond | Portfolio-Management | Portfolio selection | Energiemarkt | Energy market | Risikomanagement | Risk management | Risikoprämie | Risk premium | Gaswirtschaft | Gas industry | Volatilität | Volatility | Risiko | Risk | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.5547/01956574.43.1.mrah [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013187659