Stock market returns and oil price shocks : a CoVaR analysis based on dynamic vine copula models
Julia Kielmann, Hans Manner, Aleksey Min
| Year of publication: |
2022
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| Authors: | Kielmann, Julia ; Manner, Hans ; Min, Aleksey |
| Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 62.2022, 4, p. 1543-1574
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| Subject: | CoVaR | D-vine copula | Oil prices | Risk management | Time-varying copula | Ölpreis | Oil price | Multivariate Verteilung | Multivariate distribution | Kapitaleinkommen | Capital income | Risikomanagement | Volatilität | Volatility | Risikomaß | Risk measure | Aktienmarkt | Stock market | Finanzkrise | Financial crisis | Welt | World | Theorie | Theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-021-02073-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013197238