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Tail dependence between oil and stocks of major oil-exporting countries using the CoVaR approach
Journal article   Open access  Peer reviewed

Tail dependence between oil and stocks of major oil-exporting countries using the CoVaR approach

Nader Trabelsi
Borsa Istanbul Review, Vol.17(4), pp.228-237
12/2017
DOI: https://doi.org/10.1016/j.bir.2017.07.001

Abstract

Conditional VaR Oil price shocks Oil-exporting countries
This paper investigates the negative tail risk dependence between oil shocks and stock indices (at aggregated and desegregated levels) for Saudi Arabia (KSA), United Arab Emirates (UAE) and Russia, over the period between 2007 and 2016. DCC-MGARCH approach and CoVaR measure are employed to assess the oil shock exposure. The results show that the tail dependence is significant and depends on the origin of the oil shocks, with intensity that varies across countries and sectors.
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https://doi.org/10.1016/j.bir.2017.07.001View
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