Systemic risk spillovers between crude oil and stock index returns of G7 economies : conditional value-at-risk and marginal expected shortfall approaches
Aviral Kumar Tiwari, Nader Trabelsi, Faisal Alqahtani, Ibrahim D. Raheem
| Year of publication: |
2020
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|---|---|
| Authors: | Tiwari, Aviral Kumar ; Trabelsi, Nader ; Alqahtani, Faisal ; Raheem, Ibrahim D. |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 86.2020, p. 1-27
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| Subject: | G7 | Oil prices | CoVaR | MES | Stock markets | Systemic risk | Risikomaß | Risk measure | Ölpreis | Oil price | Systemrisiko | Volatilität | Volatility | Kapitaleinkommen | Capital income | Aktienindex | Stock index | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Finanzkrise | Financial crisis | Schätzung | Estimation | Welt | World | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2019.104646 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012512191