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Stock market returns and oil price shocks: A CoVaR analysis based on dynamic vine copula models
Crude oil plays a significant role in economic developments in the world. Understanding the relationship between oil price changes and stock market returns helps to improve portfolio strategies and risk positions. Kilian (Am Econ Rev 99(3): 1053–1069, 2009) proposes to decompose the oil price into t...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8169420/ https://www.ncbi.nlm.nih.gov/pubmed/34092906 http://dx.doi.org/10.1007/s00181-021-02073-9 |