Reinvestigating international crude oil market risk spillovers
Cuixia Jiang, Yuqian Li, Qifa Xu and Jun Wu
Year of publication: |
2021
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Authors: | Jiang, Cuixia ; Li, Yuqian ; Xu, Qifa ; Wu, Jun |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 24.2021, 1, p. 25-52
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Subject: | risk spillovers | oil market | financial market | conditional value-at-risk (CoVaR) | generalized copula autoregressive conditional heteroscedasticity mixed-data sampling (copula-GARCH-MIDAS) | Ölmarkt | Oil market | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Welt | World | Ölpreis | Oil price | Multivariate Verteilung | Multivariate distribution | Finanzmarkt | Financial market |
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