Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model

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Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models (2020, background): “increasingly complicated and multi-dimensional, and early research has been unable to account for dependence and volatility together, to gain a more complete understanding of the nature of underlying risks (Reboredo, 2015; Bekiros and Uddin, 2017; Liu et al., 2017).”