Risk dependence of CoVaR and structural change between oil prices and exchange rates : a time-varying copula model
Qiang Ji, Bing-Yue Liu, Ying Fan
| Year of publication: |
2019
|
|---|---|
| Authors: | Ji, Qiang ; Liu, Bing-Yue ; Fan, Ying |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 77.2019, p. 80-92
|
| Subject: | CoVaR | Dynamic dependence | Exchange rate | Oil price | Structural change | Time-varying copula | Ölpreis | Wechselkurs | Multivariate Verteilung | Multivariate distribution | Strukturwandel | Welt | World | Volatilität | Volatility | Theorie | Theory | US-Dollar | US dollar |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal ; Konferenzbeitrag ; Conference paper |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2018.07.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012306349