Julia Kielmann
Biographic Data
| ID | 9613623 |
|---|---|
| NAME | Julia Kielmann |
| GIVEN NAMES | Julia |
| FAMILY NAME | Kielmann |
| SIGNATURE | KIELMANN J |
| AFFILIATIONS | Technical University of Munich |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 1 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2022 |
| LATEST PUBLICATION YEAR | 2022 |
| H-INDEX | 0 |
Stock market returns and oil price shocks: A CoVaR analysis based on dynamic vine copula models
Crude oil plays a significant role in economic developments in the world. Understanding the relationship between oil price changes and stock market returns helps to improve portfolio strategies and risk positions. Kilian (Am Econ Rev 99(3): 1053–1069, 2009) proposes to decompose the oil price into three types of oil price shocks by using a structural vector autoregression model. This paper investigates the dynamic, nonlinear dependence and risk s…
No prominent works on this page.
Stock market returns and oil price shocks: A CoVaR analysis based on dynamic vine copula models
Crude oil plays a significant role in economic developments in the world. Understanding the relationship between oil price changes and stock market returns helps to improve portfolio strategies and risk positions. Kilian (Am Econ Rev 99(3): 1053–1069, 2009) proposes to decompose the oil price into three types of oil price shocks by using a structural vector autoregression model. This paper investigates the dynamic, nonlinear dependence and risk s…
Crude oil (1 works) · Downside risk (1 works) · Econometrics (1 works) · Economics (1 works) · Energy, Environment, Economic Growth (1 works) · Finance (1 works) · Financial economics (1 works) · Global Energy Security and Policy (1 works) · Macroeconomics (1 works) · Market Dynamics and Volatility (1 works)