Investigating the risk spillover from crude oil market to BRICS stock markets based on Copula-POT-CoVaR models
Ke Liu, Changqing Luo and Zhao Li
| Year of publication: |
2019
|
|---|---|
| Authors: | Liu, Ke ; Changqing, Luo ; Li, Zhao |
| Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 3.2019, 4, p. 754-771
|
| Subject: | spillover effect | crude oil market | BRICS stock markets | Copula-POT-CoVaR | Aktienmarkt | Stock market | Spillover-Effekt | Spillover effect | BRICS-Staaten | BRICS countries | Ölmarkt | Oil market | Volatilität | Volatility | Ölpreis | Oil price | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3934/QFE.2019.4.754 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012176689