Oil price risk exposure of BRIC stock markets and hedging effectiveness

We study the tail dependence between crude oil and BRIC stock markets using a time-varying optimal copula (TVOC) approach. We show evidence of multiple tail dependence regimes, suggesting that simple static or dynamic copula specifications do not fully characterize the extreme dependence between oil...

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Vydané v:	Annals of operations research Ročník 313; číslo 1; s. 145 - 170
Hlavní autori:	Shahzad, Syed Jawad Hussain, Bouri, Elie, Rehman, Mobeen Ur, Naeem, Muhammad Abubakr, Saeed, Tareq
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	New York Springer US 01.06.2022 Springer Springer Nature B.V
Predmet:	Analysis Business and Management Combinatorics Crude oil Crude oil prices Diversification Emerging markets Equity Exports Hedging Hedging (Finance) Influence Institutional investments Methods Operations research Operations Research/Decision Theory Original Research Petroleum Portfolio management Prices and rates Risk (Economics) Risk exposure Securities markets Stock exchanges Stock markets Theory of Computation Brazil China India Russia Q43 Crude oil BRIC G11 Hedging Diversification Time-varying optimal copula Q41
ISSN:	0254-5330, 1572-9338
On-line prístup:	Získať plný text
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