Browsing by Author "Costola, Michele"
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Systemic risk for financial institutions in the major petroleum-based economies: The role of oil
Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; Hammoudeh, Shawkat ( 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 ...