Assessing Market Risk in BRICS and Oil Markets: An Application of Markov Switching and Vine Copula
This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purpose, we employ a combination of novel statisti...
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| Principais autores: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado: |
MDPI AG
2021-05-01
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| Series: | International Journal of Financial Studies |
| Assuntos: | |
| Acceso en liña: | https://www.mdpi.com/2227-7072/9/2/30 |
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