Decoding systemic risks across commodities and emerging market stock markets

Decoding systemic risks across commodities and emerging market stock markets

Abstract This study explores correlations and risk spillovers, essential concepts for financial risk management, among commodities (crude oil, gold, and a global commodities index) and emerging stock markets. Using the Asymmetric Dynamic Conditional Correlation–Conditional Value-at-Risk (ADCC-CoVaR)...

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Bibliographic Details
Main Authors: Fahmi Ghallabi, Ahmed Ghorbel, Sitara Karim
Format: Article
Language:English
Published: SpringerOpen 2025-01-01
Series:Financial Innovation
Subjects:
ADCC-CoVaR
Emerging stock markets
Oil
Gold
Global commodity
Online Access:https://doi.org/10.1186/s40854-024-00732-1
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