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Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets
(
Elsevier
, 2020 , Article)
This study examines portfolio management and risk spillovers between four major precious metals (gold, silver, palladium and platinum) and 20 important U.S. exchange markets. To this end, we employ the multivariate DECO-GARCH ...
Systemic risk for financial institutions in the major petroleum-based economies: The role of oil
(
International Association for Energy Economics
, 2020 , Article)
We examine the relationship between oil returns and systemic risk of financial institutions in major petroleum-based economies. By estimating ΔCoVaR, we observe the presence of remarkable increases in risk levels during ...