Modelling dependency structures of crude oil prices and stock markets of developed and developing countries: A C-vine copula approach
© 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-...
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| Main Authors: | , , , |
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| Format: | Conference Proceeding |
| Published: |
2020
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85074901128&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/68096 |
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| Institution: | Chiang Mai University |