Ghallabi, Fahmi; Ghorbel, Ahmed; Karim, Sitara - In: Financial innovation : FIN 11 (2025), pp. 1-23
This study explores correlations and risk spillovers, essential concepts for financial risk management, among commodities (crude oil, gold, and a global commodities index) and emerging stock markets. Using the Asymmetric Dynamic Conditional Correlation-Conditional Value-at-Risk (ADCC-CoVaR)...