Modelling dependence and systemic risk between oil prices and BSE sectoral indices using stochastic copula and CoVar, ΔCoVar and MES approaches
Aviral Kumar Tiwari, Rajesh Pathak, Ranjan DasGupta and Perry Sadorsky
| Year of publication: |
2021
|
|---|---|
| Authors: | Tiwari, Aviral Kumar ; Pathak, Rajesh ; DasGupta, Ranjan ; Sadorsky, Perry A. |
| Subject: | CoVar | Oil prices | SCAR copula | stock prices | systemic risk | Ölpreis | Oil price | Multivariate Verteilung | Multivariate distribution | Börsenkurs | Share price | Systemrisiko | Systemic risk | Risikomaß | Risk measure | Finanzmarkt | Financial market | Finanzkrise | Financial crisis | Volatilität | Volatility | Aktienindex | Stock index | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2021.1949430 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012697968