Extreme risk spillover effects of international oil prices on the Chinese stock market: A GARCH-EVT-Copula-CoVaR approach

Author:

Zhao Jing,Cui LuansongORCID,Liu Weiguo,Zhang Qiwen

Publisher

Elsevier BV

Subject

Law,Management, Monitoring, Policy and Law,Economics and Econometrics,Sociology and Political Science

Reference99 articles.

1. Risk spillover from crude oil prices to GCC stock market returns: new evidence during the COVID-19 outbreak;Abuzayed;N. Am. J. Econ. Finance,2021

2. CoVaR

3. Modelling systemic risk of energy and non-energy commodity markets during the COVID-19 pandemic;Anwer;Ann. Oper. Res.,2022

4. Do structural oil-market shocks affect stock prices?;Apergis;Energy Econ.,2009

5. Oil prices and stock markets in gcc countries: empirical evidence from panel analysis;Arouri;Int. J. Finance Econ.,2012

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