New evidence of extreme risk transmission between financial stress and international crude oil markets
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DOI: 10.1016/j.ribaf.2022.101853
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More about this item
Keywords
Crude oil; Financial stress index; Granger causality test; Extreme shocks; Time and frequency domains;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F39 - International Economics - - International Finance - - - Other
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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