Assessing Market Risk in BRICS and Oil Markets: An Application of Markov Switching and Vine Copula
This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purpose, we employ a combination of novel statisti...
| 出版年: | International Journal of Financial Studies |
|---|---|
| 主要な著者: | , |
| フォーマット: | 論文 |
| 言語: | 英語 |
| 出版事項: |
MDPI AG
2021-05-01
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| 主題: | |
| オンライン･アクセス: | https://www.mdpi.com/2227-7072/9/2/30 |