 Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?Kunliang Jiang and Wuyi Ye Economic Modelling, 2022, vol. 117, issue C Abstract: Earlier studies have confirmed the asymmetry as a key feature of return volatility and risk spillovers. However, little research has explored the impact of asymmetric dependence volatility on risk spillovers. In this paper, we propose the asymmetric generalized autoregressive score-time-varying mixture model to analyze this issue. Using a dataset covering the crude oil market and BRICS stock markets from January 11, 2000 to June 11, 2021, we find the tail dependence of these markets is falling faster than it is rising, and this feature is more significant in upper tail dependence. Also, the capture of asymmetric dependence volatility is beneficial for the estimation of risk spillovers. Moreover, the risk from the crude oil market amplifies the downside risks in BRICS stock markets. In addition, downside risk spillovers between these markets are significant during the COVID-19 pandemic. Keywords: Asymmetric score-driven model; Risk spillover; Asymmetric dependence volatility; Dynamic mixture copul; Crude oil market; BRICS stock markets (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:117:y:2022:i:c:s0264999322002838 DOI: 10.1016/j.econmod.2022.106046 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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