Volatility, correlation and risk spillover effect between freight rates in BCI and BPI markets: Evidence from static and dynamic GARCH-Copula and dynamic CoVaR models

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Main Authors: Yuye ZOU, Jing XU, Yanhui CHEN
Format: Article
Language:English
Published: Public Library of Science (PLoS) 2025-01-01
Series:PLoS ONE
Online Access:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC11737719/?tool=EBI
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author Yuye ZOU
Jing XU
Yanhui CHEN
author_facet Yuye ZOU
Jing XU
Yanhui CHEN
author_sort Yuye ZOU
collection DOAJ
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institution Kabale University
issn 1932-6203
language English
publishDate 2025-01-01
publisher Public Library of Science (PLoS)
record_format Article
series PLoS ONE
spelling doaj-art-eee36c38849b47a9bcc38575cc4488cf2025-01-21T05:31:36ZengPublic Library of Science (PLoS)PLoS ONE1932-62032025-01-01201Volatility, correlation and risk spillover effect between freight rates in BCI and BPI markets: Evidence from static and dynamic GARCH-Copula and dynamic CoVaR modelsYuye ZOUJing XUYanhui CHENhttps://www.ncbi.nlm.nih.gov/pmc/articles/PMC11737719/?tool=EBI
spellingShingle Yuye ZOU
Jing XU
Yanhui CHEN
Volatility, correlation and risk spillover effect between freight rates in BCI and BPI markets: Evidence from static and dynamic GARCH-Copula and dynamic CoVaR models
PLoS ONE
title Volatility, correlation and risk spillover effect between freight rates in BCI and BPI markets: Evidence from static and dynamic GARCH-Copula and dynamic CoVaR models
title_full Volatility, correlation and risk spillover effect between freight rates in BCI and BPI markets: Evidence from static and dynamic GARCH-Copula and dynamic CoVaR models
title_fullStr Volatility, correlation and risk spillover effect between freight rates in BCI and BPI markets: Evidence from static and dynamic GARCH-Copula and dynamic CoVaR models
title_full_unstemmed Volatility, correlation and risk spillover effect between freight rates in BCI and BPI markets: Evidence from static and dynamic GARCH-Copula and dynamic CoVaR models
title_short Volatility, correlation and risk spillover effect between freight rates in BCI and BPI markets: Evidence from static and dynamic GARCH-Copula and dynamic CoVaR models
title_sort volatility correlation and risk spillover effect between freight rates in bci and bpi markets evidence from static and dynamic garch copula and dynamic covar models
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC11737719/?tool=EBI
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AT jingxu volatilitycorrelationandriskspillovereffectbetweenfreightratesinbciandbpimarketsevidencefromstaticanddynamicgarchcopulaanddynamiccovarmodels
AT yanhuichen volatilitycorrelationandriskspillovereffectbetweenfreightratesinbciandbpimarketsevidencefromstaticanddynamicgarchcopulaanddynamiccovarmodels