Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method
Walid Mensi, Shawkat Hammoudeh, Syed Jawad Hussain Shahzad,Muhammad Shahbaz
| Year of publication: |
February 2017
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| Authors: | Mensi, Walid ; Hammoudeh, Shawkat ; Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 75.2017, p. 258-279
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| Subject: | Oil prices | Stock markets | Risk spillovers | Copula | Variational mode decomposition | Delta CoVaR | Ölpreis | Oil price | Multivariate Verteilung | Multivariate distribution | Börsenkurs | Share price | Aktienmarkt | Stock market | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Risiko | Risk | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2016.11.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011742164