Citation: Ke Liu, Changqing Luo, Zhao Li. Investigating the risk spillover from crude oil market to BRICS stock markets based on Copula-POT-CoVaR models[J]. Quantitative Finance and Economics, 2019, 3(4): 754-771. doi: 10.3934/QFE.2019.4.754
[1] | Adrian T, Brunnermeier MK (2001) CoVaR. Princeton University Working Paper. |
[2] | Al-Yahyaee KH, Mensi W, Sensoy A, et al. (2019) Energy, precious metals, and GCC stock markets: Is there any risk spillover? Pac-Basin Financ J 56: 45-70. doi: 10.1016/j.pacfin.2019.05.006 |
[3] | Arouri MEH, Lahiani A, Nguyen DK (2011) Return and volatility transmission between world oil prices and stock markets of the GCC countries. Econ Model 28: 1815-1825. doi: 10.1016/j.econmod.2011.03.012 |
[4] | Avdulaj K, Barunik J (2015) Are benefits from oil-stocks diversification gone? new evidence from a dynamic copula and high frequency data. Energy Econ 51: 31-44. |
[5] | Beirlant J, Dierckx G, Goegebeur Y, et al. (1999) Tail index estimation and an exponential regression model. Extremes 2: 177-200. doi: 10.1023/A:1009975020370 |
[6] | Belhajjam A, Belbachir M, Ouardirhi E (2017) Robust multivairiate extreme value at risk allocation. Financ Res Lett 23: 1-11. doi: 10.1016/j.frl.2017.07.005 |
[7] | Bernardi M, Durante F, Jaworski P (2017) Covar of families of copulas. Stat Prob Lett 120: 8-17. doi: 10.1016/j.spl.2016.09.005 |
[8] | Bernardino ED, Fernández-Ponce JM, Palacios-Rodríguez F, et al. (2015) On multivariate extensions of the conditional value-at-risk measure. Insur Math Econ 61: 1-16. doi: 10.1016/j.insmatheco.2014.11.006 |
[9] | Bildirici EM, Badur MM (2018) The effects of oil prices on confidence and stock return in China, India and Russia. Quant Financ Econ 2: 884-903. doi: 10.3934/QFE.2018.4.884 |
[10] | Boubaker H, Raza SA (2017) A wavelet analysis of mean and volatility spillovers between oil and brics stock markets. Energy Econ 64: 105. doi: 10.1016/j.eneco.2017.01.026 |
[11] | Bouoiyour J, Selmi R (2016) How Differently does oil price influence BRICS Stock Markets? J Econ Integr 31: 547-568. doi: 10.11130/jei.2016.31.3.547 |
[12] | Bouri E (2015) Oil volatility shocks and the stock markets of oil-importing mena economies: a tale from the financial crisis. Energy Econ 51: 590-598. doi: 10.1016/j.eneco.2015.09.002 |
[13] | Chang CL, McAleer M, Tansuchat R (2013) Conditional correlations and volatility spillovers between crude oil and stock index returns. North Am J Econ Financ 25: 116-138. doi: 10.1016/j.najef.2012.06.002 |
[14] | Coles S (2001) An Introduction to Statistical Modeling of Extreme Values, Springer Verlag, London, UK. |
[15] | Dičpinigaitienė V, Novickytė L (2018) Application of systemic risk measurement methods: A systematic review and meta-analysis using a network approach. Quant Financ Econ 2: 798-820. doi: 10.3934/QFE.2018.4.798 |
[16] | Du LM, He YN (2015) Extreme risk spillovers between crude oil and stock markets. Energy Econ 51: 455-465. doi: 10.1016/j.eneco.2015.08.007 |
[17] | Ewing BT, Malik F (2016) Volatility spillovers between oil prices and the stock market under structural breaks. Global Financ J 29: 12-23. doi: 10.1016/j.gfj.2015.04.008 |
[18] | Ji Q, Liu BY, Fan Y (2019) Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model. Energy Econ 77: 80-92. doi: 10.1016/j.eneco.2018.07.012 |
[19] | Jones CM, Kaul G (1996) Oil and the stock markets. J Financ 51: 463-491. doi: 10.1111/j.1540-6261.1996.tb02691.x |
[20] | Khalfaoui R, Boutahar M, Boubaker H (2015) Analyzing volatility spillovers and hedging between oil and stock markets: evidence from wavelet analysis. Energy Econ 49: 540-549. doi: 10.1016/j.eneco.2015.03.023 |
[21] | Kling JL (1985) Oil price shocks and stock-market behavior. J Portf Manage 12: 34-9. doi: 10.3905/jpm.1985.409034 |
[22] | Kotz S, Nadarajah S (2000) Extreme value distributions: theory and applications, Imperial College Press London. |
[23] | Liu X, An H, Huang S, et al. (2017) The evolution of spillover effects between oil and stock markets across multi-scales using a wavelet-based garch-bekk model. Phys A 465: 374-383. doi: 10.1016/j.physa.2016.08.043 |
[24] | Liu XX, Duan B, Xie FZ (2011) Risk spillover effect of stock market: An analysis based on EVT-Copula-CoVaR model. World Econ 11: 145-159. |
[25] | Lourme A, Maurer F (2017) Testing the Gaussian and student's t copulas in a risk management framework. Econ Model 67: 203-214. doi: 10.1016/j.econmod.2016.12.014 |
[26] | Mensi W, Hammoudeh S, Shahzad SJH, et al. (2017) Modelling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method. J Bank Financ 75: 258-279. doi: 10.1016/j.jbankfin.2016.11.017 |
[27] | Miller JI, Ratti RA (2009) Crude oil and stock markets: stability, instability, and bubbles. Energy Econ 31: 559-568. doi: 10.1016/j.eneco.2009.01.009 |
[28] | Muela SB, Martín CL, Sanz RA (2017) An application of extreme value theory in estimating liquidity risk. Eur Res Manage Bus Econ 23: 157-164. doi: 10.1016/j.iedeen.2017.05.001 |
[29] | Reboredo JC, Ugolini A (2015) Systemic risk in European sovereign debt markets: a covar-copula approach. J Int Money Financ 51: 214-244. doi: 10.1016/j.jimonfin.2014.12.002 |
[30] | Sadorsky P (1999) Oil price shocks and stock market activity. Energy Econ 21: 449-469. doi: 10.1016/S0140-9883(99)00020-1 |
[31] | Sadorsky P (2012) Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies. Energy Econ 34: 248-255. doi: 10.1016/j.eneco.2011.03.006 |
[32] | Singh AK, Allen DE, Robert PJ (2013) Extreme market risk and extreme value theory. Math Comput Simul 94: 310-328. doi: 10.1016/j.matcom.2012.05.010 |
[33] | Wang GJ, Xie C, Jiang ZQ, et al. (2016) Extreme risk spillover effects in world gold markets and the global financial crisis. Int Rev Econ Financ 46: 55-77. doi: 10.1016/j.iref.2016.08.004 |
[34] | Wang L, Ma F, Niu TJ, et al. (2019) Crude oil and BRICS stock markets under extreme shocks: New evidence. Econ Model. doi.org/10.1016/j.econmod.2019.06.002 |
[35] | Xiao JH, Zhou M, Wen FM, et al. (2018) Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index. Energy Econ 74: 777-786. doi: 10.1016/j.eneco.2018.07.026 |
[36] | Yu WH, Yang K, Wei Y, et al. (2018) Measuring Value-at-Risk and Expected Shortfall of crude oil portfolio using extreme value theory and vine copula. Phys A 490: 1423-1433. doi: 10.1016/j.physa.2017.08.064 |
[37] | Zhou ZB, Jiang Y, Liu Y, et al. (2019) Does international oil volatility have directional predictability for stock returns? Evidence from BRICS countries based on cross-quantilogram analysis. Econ Model 80: 352-382. |