Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches

Volume: 86, Pages: 104646
Published: Feb 1, 2020
Abstract
null null In this study, we examine systemic risk and dependence between oil and stock market indices of G7 economies between January 2003 and November 2017. Coincidentally, this timeframe covers different distress periods in financial and energy markets. We use several time-constant, time-varying and time-varying Markov-copula models to examine the dependence. Further, we use the delta conditional value-at-risk (ΔCoVaR) of Adrian and...
Paper Details
Title
Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches
Published Date
Feb 1, 2020
Volume
86
Pages
104646
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