Extreme risk spillover of the oil, exchange rate to Chinese stock market: Evidence from implied volatility indexes
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DOI: 10.1016/j.eneco.2022.105857
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- Bhaskar Bagchi & Biswajit Paul, 2023. "Effects of Crude Oil Price Shocks on Stock Markets and Currency Exchange Rates in the Context of Russia-Ukraine Conflict: Evidence from G7 Countries," JRFM, MDPI, vol. 16(2), pages 1-18, January.
- Wang, Lu & Guan, Li & Ding, Qian & Zhang, Hongwei, 2023. "Asymmetric impact of COVID-19 news on the connectedness of the green energy, dirty energy, and non-ferrous metal markets," Energy Economics, Elsevier, vol. 126(C).
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Keywords
Extreme risk spillover; Implied volatility index; Copula-CoVaR; Chinese stock market;All these keywords.
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