Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?
Kunliang Jiang, Wuyi Ye
| Year of publication: |
2022
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|---|---|
| Authors: | Jiang, Kunliang ; Ye, Wuyi |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 117.2022, p. 1-16
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| Subject: | Asymmetric dependence volatility | Asymmetric score-driven model | BRICS stock markets | Crude oil market | Dynamic mixture copul | Risk spillover | Volatilität | Volatility | Aktienmarkt | Stock market | Spillover-Effekt | Spillover effect | BRICS-Staaten | BRICS countries | Ölmarkt | Oil market | ARCH-Modell | ARCH model | Welt | World | Ölpreis | Oil price | Erdöl | Petroleum |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2022.106046 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014229176