High-dimensional CoVaR risk spillover network from oil market to global stock markets—Lessons from the Kyoto Protocol

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...

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Bibliographic Details
Main Authors: Jiliang Sheng, Juchao Li, Jun Yang, Yufan Wang, Jiayu Li
Format: Article
Language:English
Published: Frontiers Media S.A. 2023-01-01
Series:Frontiers in Environmental Science
Subjects:
Kyoto Protocol
risk spillover
crude oil market
time-varying copula-CoVaR model
generalized variance decomposition
Online Access:https://www.frontiersin.org/articles/10.3389/fenvs.2023.1103625/full

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