Systemic Risk Spillover of Oil, Gold to China Financial Market: New Evidence From a Copula-CoVaR-MODWT Approach
Evaluation Review: A Journal of Applied Social Research
Published online on November 07, 2025
Abstract
Evaluation Review, Volume 50, Issue 3, Page 384-422, June 2026.
This paper investigates the systemic risk spillovers from the oil and gold markets to China financial market. Specifically, this paper uses wavelet analysis methods combined with time-varying copula models to calculate the CoVaR to explore the risk tail ...
This paper investigates the systemic risk spillovers from the oil and gold markets to China financial market. Specifically, this paper uses wavelet analysis methods combined with time-varying copula models to calculate the CoVaR to explore the risk tail ...