High-dimensional CoVaR risk spillover network from oil market to global stock markets—Lessons from the Kyoto Protocol
This paper explores the impact of the Kyoto Protocol by investigating the correlation and risk spillover between the crude oil market and the stock markets of 28 countries during its two commitment periods. Besides time-varying Copula-CoVaR models, the Adaptive Lasso-VAR model with oracle properties...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2023-01-01
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| Series: | Frontiers in Environmental Science |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fenvs.2023.1103625/full |