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  • Search: subject:"Copula-based CoVaR"
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ARCH model 1 ARCH-Modell 1 Aktienmarkt 1 BRICS 1 BRICS countries 1 BRICS-Staaten 1 Capital income 1 Copula-based CoVaR 1 Dynamic dependence 1 Kapitaleinkommen 1 Multivariate Verteilung 1 Multivariate distribution 1 Oil price 1 Oil price shocks 1 Risiko 1 Risk 1 Risk spillover 1 Spillover effect 1 Spillover-Effekt 1 Stock market 1 Volatility 1 Volatilität 1 Ölpreis 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Fan, Ying 1 Ji, Qiang 1 Liu, Bing-Yue 1 Zhao, Wan-Li 1
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International review of financial analysis 1
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ECONIS (ZBW) 1
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Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS
Ji, Qiang; Liu, Bing-Yue; Zhao, Wan-Li; Fan, Ying - In: International review of financial analysis 68 (2020), pp. 1-12
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