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

By Walid Mensi, Shawkat Hammoudeh, Syed Jawad Hussain Shahzad, Muhammad Shahbaz. 2017

342 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/73a2f1e41a4619c8c951380e06b11ff2af9cdbbd

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Ahmet Sensoy
2. Sang Hoon Kang
3. K. Al-Yahyaee
4. Walid Mensi
5. Yawei Guo
6. Huiming Zhu
7. Wanhai You
8. Yong Tang

In Management Science and Operations Research

1. Walid Mensi
2. Huiming Zhu

In Renewable Energy, Sustainability and the Environment

1. K. Al-Yahyaee
2. Walid Mensi
3. Sang Hoon Kang
4. Huiming Zhu
5. Wanhai You
6. Yong Tang
7. Yawei Guo
8. Ahmet Sensoy

Citations in the corpus

• Energy, precious metals, and GCC stock markets: Is there any risk spillover? (2019, background): “Qt The equicorrelation is specified as (see Mensi et al., 2017): n n A R A n n n q q q n1 ( 1) ( ) 2 ( 1) , tDECO 1nn 1Jn RtcDCCJn 2nn 1i 1n 1j i 1nqij, t, qii, tqjj, t, t DECO n t cDCC n i n j i n ij t ii t jj t 1 1 1 , , , = = = = = + = = + (7) where qij, t = ρtDECO+ aDECO(ui, t−1uj, t−1 −…”
• Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression (2017, result): “Similar conclusions have been documented by Papapetrou (2001), Park and Ratti (2008), Cunado and de Gracia (2014), Filis and Chatziantoniou (2014), and Mensi et al. (2017).”