Is there dependence and systemic risk between oil and renewable energy stock prices?
JC Reboredo - Energy Economics, 2015 - Elsevier
We study systemic risk and dependence between oil and renewable energy markets using
copulas to characterize the dependence structure and to compute the conditional value-at …
copulas to characterize the dependence structure and to compute the conditional value-at …
Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach
In this paper, we explore the impact of uncertainties on energy prices by measuring four
types of Delta Conditional Value-at-Risk (∆ CoVaR) using six time-varying copulas. Three …
types of Delta Conditional Value-at-Risk (∆ CoVaR) using six time-varying copulas. Three …
Linking the gas and oil markets with the stock market: Investigating the US relationship
H Gatfaoui - Energy Economics, 2016 - Elsevier
Energy markets can represent a strategic advantage when they are supporting each other,
and specifically when energy segments are complementary enough to support economic …
and specifically when energy segments are complementary enough to support economic …
Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches
In this study, we examine systemic risk and dependence between oil and stock market
indices of G7 economies between January 2003 and November 2017. Coincidentally, this …
indices of G7 economies between January 2003 and November 2017. Coincidentally, this …
Measuring persistence of dependence between crude oil prices and GCC stock markets: A copula approach
K Mokni, M Youssef - The Quarterly Review of Economics and Finance, 2019 - Elsevier
In this paper, we investigate the degree of persistence of dependence between crude oil
prices and stock markets in the Gulf Cooperation Council (GCC) countries in order to verify …
prices and stock markets in the Gulf Cooperation Council (GCC) countries in order to verify …
How do crude oil prices co-move?: A copula approach
JC Reboredo - Energy Economics, 2011 - Elsevier
This paper examines the dependence structure between crude oil benchmark prices using
copulas. By considering several copula models with different conditional dependence …
copulas. By considering several copula models with different conditional dependence …
Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method
This study combines the variational mode decomposition (VMD) method and static and time-
varying symmetric and asymmetric copula functions to examine the dependence structure …
varying symmetric and asymmetric copula functions to examine the dependence structure …
Dynamic risk spillovers from oil to stock markets: Fresh evidence from GARCH copula quantile regression-based CoVaR model
M Tian, MM Alshater, SM Yoon - Energy Economics, 2022 - Elsevier
This study proposes a GARCH copula quantile regression model to capture the downside
and upside tail dependence between oil price change and stock market returns at different …
and upside tail dependence between oil price change and stock market returns at different …
Risk connectedness between energy and stock markets: Evidence from oil importing and exporting countries
The surmounted environmental and energy challenges have motivated this study to explore
the connectedness nexus between oil/renewable energy and stock markets for oil-exporting …
the connectedness nexus between oil/renewable energy and stock markets for oil-exporting …
Uncertainty and crude oil returns
We use a copula approach to investigate the effect of uncertainty on crude-oil returns. Using
copulas to construct multivariate distributions of time-series data permit the calculation of the …
copulas to construct multivariate distributions of time-series data permit the calculation of the …