Modelling dependency structures of crude oil prices and stock markets of developed and developing countries: A C-vine copula approach

• Main Authors: Ruofan Liao, Petchaluck Boonyakunakorn, Jianxu Liu, Songsak Sriboonchitta
• 格式: Conference Proceeding
• 出版: 2020
• 主題: Physics and Astronomy
• 在線閱讀: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85074901128&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/68096

© 2019 IOP Publishing Ltd. All rights reserved. This paper aims to investigate the impact of oil price on the stock price of developed countries (represented by the Group of seven) and the stock price of developing countries (represented by BRICS) by using C-vine copula approach. A C-vine based GJR-...