Investigating the risk spillover from crude oil market to BRICS stock markets based on Copula-POT-CoVaR models

To investigate the risk spillover effect from crude oil market to BRICS stock markets, we extend the Copula-CoVaR models by introducing the Peak-over-Threshold and construct the Copula-POT-CoVaR model. By using the crude oil market and BRICS stock market data from 2006 to 2016 as the sample, the emp...

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Bibliographic Details
Main Authors: Ke Liu, Changqing Luo, Zhao Li
Format: Article
Language:English
Published: AIMS Press 2019-01-01
Series:Quantitative Finance and Economics
Subjects:
Online Access:https://www.aimspress.com/article/10.3934/QFE.2019.4.754/fulltext.html