Dynamic risk spillovers from oil to stock markets : fresh evidence from GARCH copula quantile regression-based CoVaR model
Maoxi Tian, Muneer M. Alshater, Seong-Min Yoon
| Year of publication: |
2022
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|---|---|
| Authors: | Tian, Maoxi ; Alshater, Muneer Maher ; Yoon, Seong-min |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 115.2022, p. 1-21
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| Subject: | Stock market | CoVaR | GARCH copula quantile regression | Oil market | Risk spillover | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | Volatilität | Volatility | Aktienmarkt | Spillover-Effekt | Spillover effect | Börsenkurs | Share price | Ölmarkt | Risikomaß | Risk measure | Regressionsanalyse | Regression analysis | Risiko | Risk | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2022.106341 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013541787