Work

Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model

Year: 2017

Type: article

Source: Energy Economics

DOI: 10.1016/j.eneco.2017.09.011

Authors: Bing-Yue Liu, Qiang Ji, Ying Fan

Institutions: University of Science and Technology of China, Chinese Academy of Sciences, Institutes of Science and Development, University of Chinese Academy of Sciences, Beihang University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: National Natural Science Foundation of China, Youth Innovation Promotion Association of the Chinese Academy of Sciences

Awards: G2247353731, G3646312757, 国际石油市场微观-宏观行为规律与复杂机理研究, G8717914572

OpenAlex ID: W2760206166

FWCI: 14.71

Cites: 43

Cited by: 96

Related to: 10