Stock market returns and oil price shocks : a CoVaR analysis based on dynamic vine copula models
Julia Kielmann, Hans Manner, and Aleksey Min
| Year of publication: |
February 2021
|
|---|---|
| Authors: | Kielmann, Julia ; Manner, Hans ; Min, Aleksey |
| Publisher: |
Graz : Department of Economics, Department of Public Economics, University of Graz |
| Subject: | Oil prices | risk mananagement | time-varying copula | D-vine copula | CoVaR | Ölpreis | Oil price | Multivariate Verteilung | Multivariate distribution | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Volatilität | Volatility | Börsenkurs | Share price | Risiko | Risk | Aktienmarkt | Stock market |
| Extent: | 1 Online-Ressource (circa 38 Seiten) Illustrationen |
|---|---|
| Series: | Graz economics papers : GEP. - Graz, ZDB-ID 2677671-6. - Vol. GEP 2021, 01 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012503368