Modelling dependence and systemic risk between oil prices and BSE sectoral indices using stochastic copula and CoVar, ΔCoVar and MES approaches
Aviral Kumar Tiwari, Rajesh Pathak, Ranjan DasGupta and Perry Sadorsky
| Year of publication: |
2021
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|---|---|
| Authors: | Tiwari, Aviral Kumar ; Pathak, Rajesh ; DasGupta, Ranjan ; Sadorsky, Perry A. |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 53.2021, 58, p. 6770-6788
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| Subject: | CoVar | Oil prices | SCAR copula | stock prices | systemic risk | Ölpreis | Oil price | Multivariate Verteilung | Multivariate distribution | Systemrisiko | Systemic risk | Börsenkurs | Share price | Risikomaß | Risk measure | Aktienindex | Stock index |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2021.1949430 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012697968