Structural change in the link between oil and the European stock market: implications for risk management

DOI10.1515/DEMO-2019-0004MaRDI QIDQ2178931zbMATH OpenOpenAlexWikidataFDO

Authors Javier Ojea Ferreiro

Publication date 12 May 2020

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2019-0004

zbMATH Keywords

conditional measurescopulaEuropean industriesoil pricesspilloverstress testswitching Markov regime

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15) Statistical methods; risk measures (91G70)

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Cites work

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• Energy shocks and financial markets: nonlinear linkages
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• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
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• Modelling total tail dependence along diagonals
• Multivariate distributions from mixtures of max-infinitely divisible distributions
• Pair-copula constructions of multiple dependence
• Regression and time series model selection in small samples
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• The bivariate normal copula
• The t Copula and Related Copulas
• Theory and inference for a Markov switching GARCH model

Cited in

(2)

• Oil price risk exposure of BRIC stock markets and hedging effectiveness
• Multivariate tail dependence: further insights with an application to the Spanish banking sector

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