Dynamic return-volatility dependence and risk measure of CoVaR in the oil market : a time-varying mixed copula model
Bing-Yue Liu, Qiang Ji, Ying Fan
| Year of publication: |
October 2017
|
|---|---|
| Authors: | Liu, Bing-Yue ; Ji, Qiang ; Fan, Ying |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 68.2017, p. 53-65
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| Subject: | Return-volatility dependence | Implied volatility index | Oil market | Risk spillover | Time-varying mixed copula model | Volatilität | Volatility | Ölmarkt | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Ölpreis | Oil price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2017.09.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011904999