The dependence and risk spillover between economic uncertainties and the crude oil market: new evidence from a Copula-CoVaR approach incorporating the decomposition technique
Author:
Publisher
Springer Science and Business Media LLC
Subject
Health, Toxicology and Mutagenesis,Pollution,Environmental Chemistry,General Medicine
Link
https://link.springer.com/content/pdf/10.1007/s11356-023-29624-0.pdf
Reference42 articles.
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2. Adrian T, Brummermeier MK (2016) CoVaR. Am Econ Rev 7:1705–1741
3. Aloui R, Gupta R, Miller SM (2016) Uncertainty and crude oil returns. Energy Econ 55:92e100
4. Antonakakis N, Chatziantoniou I, Filis G (2014) Dynamic spillovers of oil price shocks and economic policy uncertainty. Energy Econ 44:433–447
5. Bakas D, Triantafyllou A (2018) The impact of uncertainty shocks on the volatility of commodity prices. J Int Money Financ 87:96–111
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