Dependence and spillover among oil market, China's stock market and exchange rate: new evidence from the Vine-Copula-CoVaR and VAR-BEKK-GARCH frameworks

We first employ the method of multivariate GARCH models and Vine-Copula-CoVaR to analyse relationships between dependence, systematic risk spillover, and volatility spillover between the USD/CNY exchange rate and the returns on WTI crude oil futures and the Chinese stock market since China's 20...

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Detalles Bibliográficos
Autores principales: Zeng, Hongjun, Ahmed, Abdullahi D., Lu, Ran, Dai, Ningjing
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2022
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9691924/
https://www.ncbi.nlm.nih.gov/pubmed/36439776
http://dx.doi.org/10.1016/j.heliyon.2022.e11737

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9691924/
https://www.ncbi.nlm.nih.gov/pubmed/36439776
http://dx.doi.org/10.1016/j.heliyon.2022.e11737

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