Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method

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Publisher: Elsevier B.V.
Document Type: Report
Length: 189 words

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To link to full-text access for this article, visit this link: Byline: Walid Mensi (a)(b), Shawkat Hammoudeh (c)(d), Syed Jawad Hussain Shahzad (d)(e), Muhammad Shahbaz (d) Abstract: * We investigate short- and long-run dependence between oil and four major regional stock markets. * We combine the VMD method with a battery of copulas to examine the dependence between them. * The VaRs, CoVaRs and aCoVaRs are used to quantify the short- and long-run up and down risk spillovers. * The dependence structure varies across market conditions and under investment horizons. * Risk spillovers are higher in the long than the short run investment horizon. Author Affiliation: (a) Department of Finance and Accounting, University of Tunis El Manar, Tunis, Tunisia (b) Department of Finance and Investment, College of Economics and Administrative Sciences, Al Imam Mohammad Ibn Saud Islamic University (IMSIU), P.O Box 5701 Riyadh, Saudi Arabia (c) Lebow College of Business, Drexel University, Philadelphia, United States (d) Energy and Sustainable Development (ESD), Montpellier Business School, Montpellier, France (e) COMSATS Institute of Information Technology, Islamabad, Pakistan Article History: Received 13 September 2016; Revised 14 November 2016; Accepted 20 November 2016

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Gale Document Number: GALE|A477036601