Risk Dependence and Risk Spillovers Effect from Crude Oil on the Chinese Stock Market and Gold Market: Implications on Portfolio Management

Risk Dependence and Risk Spillovers Effect from Crude Oil on the Chinese Stock Market and Gold Market: Implications on Portfolio Management

We analyze crude oil’s dependence and the risk spillover effect on the Chinese stock market and the gold market. We compare both static and dynamic copula functions and calculate the average upward and downward spillover effect using the time-varying Copula model and the conditional value-at-risk ap...

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Bibliographic Details
Main Authors: Bin Mo, Juan Meng, Guannan Wang
Format: Article
Language:English
Published: MDPI AG 2023-02-01
Series:Energies
Subjects:
risk spillover effects
crude oil
stock market
gold market
portfolio implications
Online Access:https://www.mdpi.com/1996-1073/16/5/2141

Internet

https://www.mdpi.com/1996-1073/16/5/2141

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