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Stock market returns and oil price shocks: A CoVaR analysis based on dynamic vine copula models
Crude oil plays a significant role in economic developments in the world. Understanding the relationship between oil price changes and stock market returns helps to improve portfolio strategies and risk positions. Kilian (Am Econ Rev 99(3): 1053–1069, 2009) proposes to decompose the oil price into t...
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| 發表在: | Empir Econ |
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| Main Authors: | , , |
| 格式: | Artigo |
| 語言: | Inglês |
| 出版: |
Springer Berlin Heidelberg
2021
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| 主題: | |
| 在線閱讀: | https://ncbi.nlm.nih.gov/pmc/articles/PMC8169420/ https://ncbi.nlm.nih.gov/pubmed/34092906 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1007/s00181-021-02073-9 |
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