Risk Spillover Effect from Oil to Chinese New-Energy-Related Stock Markets: An R-vine Copula-Based CoVaR Approach

Risk Spillover Effect from Oil to Chinese New-Energy-Related Stock Markets: An R-vine Copula-Based CoVaR Approach

In this article, an R-vine copula model is proposed to detect the nonlinear interrelationships between the oil market and five Chinese new-energy-related stock markets from 2017 to 2022, i.e., photovoltaic, new energy vehicles, energy storage, wind power, and nuclear power industries. Firstly, the t...

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Bibliographic Details
Main Authors: Kongsheng Zhang, Xiaorui Xu, Mingtao Zhao
Format: Article
Language:English
Published: MDPI AG 2025-06-01
Series:Mathematics
Subjects:
risk spillover effect
oil market
stock markets
R-vine copula
CoVaR
Online Access:https://www.mdpi.com/2227-7390/13/12/1934
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