Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method
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More about this item
KeywordsOil prices; Stock markets; Risk spillovers; Copula; Variational mode decomposition; Delta CoVaR;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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