Uncertainties and extreme risk spillover in the energy markets : a time-varying copula-based CoVaR approach
Qiang Ji, Bing-Yue Liu, Henrik Nehler, Gazi Salah Uddin
| Year of publication: |
October 2018
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| Authors: | Ji, Qiang ; Liu, Bing-Yue ; Nehler, Henrik ; Uddin, Mohammed Gazi Salah |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 76.2018, p. 115-126
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| Subject: | CoVaR | Extreme risk | Time-varying copula | Uncertainty | Risiko | Risk | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Risikomanagement | Risk management | Volatilität | Volatility | Theorie | Theory | Energiemarkt | Energy market | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2018.10.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011976598