Modelling systemic risk and dependence structure between the prices of crude oil and exchange rates in BRICS economies : evidence using quantile coherency and NGCoVaR approaches
Aviral Kumar Tiwari, Nader Trabelsi, Faisal Alqahtani, Lance Bachmeier
| Year of publication: |
2019
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|---|---|
| Authors: | Tiwari, Aviral Kumar ; Trabelsi, Nader ; Alqahtani, Faisal ; Bachmeier, Lance J. |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 81.2019, p. 1011-1028
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| Subject: | Exchange rate | Crude oil | BRICS | Quantile coherency | Systematic risk | BRICS-Staaten | BRICS countries | Wechselkurs | Ölpreis | Oil price | Erdöl | Petroleum | Volatilität | Volatility | Welt | World | Schätzung | Estimation | Ölmarkt | Oil market | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2019.06.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012173042