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Keywords: Crude oil
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Journal Articles
International Journal of Emerging Markets (2024) 19 (11): 4155–4185.
Published: 28 February 2023
...Walid Mensi; Waqas Hanif; Elie Bouri; Xuan Vinh Vo Purpose This paper examines the extreme dependence and asymmetric risk spillovers between crude oil futures and ten US stock sector indices (consumer discretionary, consumer staples, energy, financials, health care, industrials, information...
Journal Articles
International Journal of Emerging Markets (2021) 16 (8): 1556–1582.
Published: 22 July 2020
...Yang Xiao Purpose The purpose of this paper is to investigate regime-switching and single-regime GARCH models for the extreme risk forecast of the developed and the emerging crude oil markets. Design/methodology/approach The regime-switching GARCH-type models and their single-regime...
