Muteba Mwamba, John; Mwambi, Sutene Mwambetania - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-22
This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the … leverage effects. Furthermore, our results based on the C-vine copula confirm the existence of two types of tail dependence …: symmetric tail dependence between South Africa and China, South Africa and Russia, and South Africa and India, and asymmetric …