Dynamic risk spillovers from oil to stock markets: Fresh evidence from GARCH copula quantile regression-based CoVaR model-Reference-Cited by-同舟云学术

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Dynamic risk spillovers from oil to stock markets: Fresh evidence from GARCH copula quantile regression-based CoVaR model

Published:2022-11 Issue: Volume:115 Page:106341
ISSN:0140-9883
Container-title:Energy Economics
language:en
Short-container-title:Energy Economics

Author:

Tian Maoxi,Alshater Muneer M.,Yoon Seong-Min

Funder

Ministry of Education of the People's Republic of China

Ministry of Education

National Research Foundation of Korea

Chinese Universities Scientific Fund

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference99 articles.

1. Bootstrap tests for distributional treatment effects in instrumental variable models;Abadie;J. Am. Stat. Assoc.,2002

2. Capital shortfall: a new approach to ranking and regulating systemic risks;Acharya;Am. Econ. Rev.,2012

3. CoVaR;Adrian;Am. Econ. Rev.,2016

4. Volatility transmissions across international oil market, commodity futures and stock markets: empirical evidence from China;Ahmed;Energy Econ.,2021

5. The nexus between oil price and stock market: evidence from South Asia;Alamgir;Energy Rep.,2021

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