Oil and foreign exchange market tail dependence and risk spillovers for MENA, emerging and developed countries: VMD decomposition based copulas
Walid Mensi, Shawkat Hammoudeh, Syed Jawad Hussain Shahzad, Khamis Hamed Al-Yahyaee, Muhammad Shahbaz
| Year of publication: |
September 2017
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| Authors: | Mensi, Walid ; Hammoudeh, Shawkat ; Shahzad, Syed Jawad Hussain ; Al-Yahyaee, Khamis Hamed ; Shahbaz, Muhammad |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 67.2017, p. 476-495
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| Subject: | Oil prices | Currency markets | Conditional Value at Risk | Copula | Multiresolution approach | Multivariate Verteilung | Multivariate distribution | Devisenmarkt | Foreign exchange market | Risikomaß | Risk measure | Volatilität | Volatility | Ölpreis | Oil price | Wechselkurs | Exchange rate | Ölmarkt | Oil market | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2017.08.036 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011897955