Assessing the extreme risk spillovers of international commodities on maritime markets: a GARCH-Copula-CoVaR approach
Year of publication: |
2020
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Authors: | Sun, Xiaolei ; Liu, Chang ; Wang, Jun ; Li, Jianping |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 68.2020, p. 1-16
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Subject: | GARCH-Copula-CoVaR | Conditional quantile | Spillover effect | Maritime market | Oil prices | Spillover-Effekt | Ölpreis | Oil price | Volatilität | Volatility | Welt | World |
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