Modelling dependence and systemic risk between oil prices and BSE sectoral indices using stochastic copula and CoVar, ΔCoVar and MES approaches-Reference-Cited by-同舟云学术

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Modelling dependence and systemic risk between oil prices and BSE sectoral indices using stochastic copula and CoVar, ΔCoVar and MES approaches

Published:2021-07-27 Issue:58 Volume:53 Page:6770-6788
ISSN:0003-6846
Container-title:Applied Economics
language:en
Short-container-title:Applied Economics

Author:

Tiwari Aviral Kumar¹^ORCID,Pathak Rajesh²,DasGupta Ranjan³,Sadorsky Perry⁴

Affiliation:

1. Department of Finance and Economics, Rajagiri Business School, Kochi, India

2. Department of Accounting and Finance, Indian Institute of Management, Raipur, India

3. Department of Accounting and Finance, Goa Institute of Management, Goa, India

4. Schulich School of Business, York University, Toronto, Canada

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036846.2021.1949430

Reference38 articles.

1. Measuring Systemic Risk

2. Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks

4. A time-varying copula approach to oil and stock market dependence: The case of transition economies

5. Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade

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1. Decomposition of oil price shock, changes in market conditions and systemic risk transmission – an analysis from the Chinese perspective;Applied Economics;2024-08-07

2. Volatility spillover among the sectors of emerging and developed markets: a hedging perspective;Cogent Economics & Finance;2024-02-20

3. Tail risk contagion across electricity markets in crisis periods;Energy Economics;2023-11

4. Unveiling Asymmetric Return Spillovers with Portfolio Implications Among Indian Stock Sectors During Covid-19 Pandemic;2023

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