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Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach.

Aviral Kumar TiwariSangram Keshari JenaSatish KumarErik Hille
Published in: Ann. Oper. Res. (2022)
Keyphrases
  • dependence structure
  • extreme events
  • information systems
  • data sets
  • empirical evidence
  • enterprise systems
  • south african
  • higher order statistics