Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS
Qiang Ji, Bing-Yue Liu, Wan-Li Zhao, Ying Fan
| Year of publication: |
2020
|
|---|---|
| Authors: | Ji, Qiang ; Liu, Bing-Yue ; Zhao, Wan-Li ; Fan, Ying |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 68.2020, p. 1-12
|
| Subject: | Oil price shocks | Dynamic dependence | Risk spillover | Copula-based CoVaR | BRICS | Ölpreis | Oil price | Spillover-Effekt | Spillover effect | BRICS-Staaten | BRICS countries | Volatilität | Volatility | Risiko | Risk | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2018.08.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012301045