Extreme risk spillover of the oil, exchange rate to Chinese stock market : evidence from implied volatility indexes
Lin Chen, Fenghua Wen, Wanyang Li, Hua Yin, Lili Zhao
| Year of publication: |
2022
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|---|---|
| Authors: | Chen, Lin ; Wen, Fenghua ; Li, Wanyang ; Yin, Hua ; Zhao, Lili |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 107.2022, p. 1-11
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| Subject: | Chinese stock market | Copula-CoVaR | Extreme risk spillover | Implied volatility index | Volatilität | Volatility | China | Aktienmarkt | Stock market | Spillover-Effekt | Spillover effect | Wechselkurs | Exchange rate | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2022.105857 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013202630