Bidirectional Risk Spillovers between Exchange Rate of Emerging Market Countries and International Crude Oil Price–Based on Time-varing Copula-CoVaR
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DOI: 10.1007/s10614-021-10160-3
Abstract: This paper discusses the bidirectional risk spillover effect between the exchange rate of emerging market countries and International crude oil price. Firstly, the IFM two-step method is adopted to determine the marginal distribution and the… read more here.
Keywords: risk; oil price; risk spillovers; crude oil ... See more keywords