Dependence and spillover among oil market, China's stock market and exchange rate: new evidence from the Vine-Copula-CoVaR and VAR-BEKK-GARCH frameworks

Dependence and spillover among oil market, China's stock market and exchange rate: new evidence from the Vine-Copula-CoVaR and VAR-BEKK-GARCH frameworks

We first employ the method of multivariate GARCH models and Vine-Copula-CoVaR to analyse relationships between dependence, systematic risk spillover, and volatility spillover between the USD/CNY exchange rate and the returns on WTI crude oil futures and the Chinese stock market since China's 20...

Full description

Bibliographic Details
Main Authors: Hongjun Zeng, Abdullahi D. Ahmed, Ran Lu, Ningjing Dai
Format: Article
Language:English
Published: Elsevier 2022-11-01
Series:Heliyon
Subjects:
Chinese stock market
Exchange rate
Crude oil
Vine-Copula-CoVaR
Multivariate GARCH
Online Access:http://www.sciencedirect.com/science/article/pii/S2405844022030250

Internet

http://www.sciencedirect.com/science/article/pii/S2405844022030250

Similar Items