{"id":"https://openalex.org/W3196588815","doi":"https://doi.org/10.1007/s10479-021-04218-6","title":"Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach","display_name":"Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach","publication_year":2021,"publication_date":"2021-08-29","ids":{"openalex":"https://openalex.org/W3196588815","doi":"https://doi.org/10.1007/s10479-021-04218-6","mag":"3196588815"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-021-04218-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-021-04218-6","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5062136150","display_name":"Aviral Kumar Tiwari","orcid":"https://orcid.org/0000-0002-1822-9263"},"institutions":[{"id":"https://openalex.org/I4210113677","display_name":"Rajagiri Hospital","ror":"https://ror.org/01zb5kv44","country_code":"IN","type":"healthcare","lineage":["https://openalex.org/I4210113677"]}],"countries":["IN"],"is_corresponding":false,"raw_author_name":"Aviral Kumar Tiwari","raw_affiliation_strings":["Rajagiri Business School, Kochi, India"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Rajagiri Business School, Kochi, India","institution_ids":["https://openalex.org/I4210113677"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5069088369","display_name":"Sangram Keshari Jena","orcid":"https://orcid.org/0000-0003-2802-7582"},"institutions":[{"id":"https://openalex.org/I158867519","display_name":"International Management Institute","ror":"https://ror.org/00jatyx22","country_code":"IN","type":"education","lineage":["https://openalex.org/I158867519"]}],"countries":["IN"],"is_corresponding":true,"raw_author_name":"Sangram Keshari Jena","raw_affiliation_strings":["International Management Institute, Bhubaneswar, India"],"raw_orcid":"https://orcid.org/0000-0003-2802-7582","affiliations":[{"raw_affiliation_string":"International Management Institute, Bhubaneswar, India","institution_ids":["https://openalex.org/I158867519"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5062651090","display_name":"Satish Kumar","orcid":"https://orcid.org/0000-0001-5625-8877"},"institutions":[{"id":"https://openalex.org/I4210138731","display_name":"ICFAI Foundation for Higher Education","ror":"https://ror.org/04p3pp808","country_code":"IN","type":"education","lineage":["https://openalex.org/I4210138731"]}],"countries":["IN"],"is_corresponding":false,"raw_author_name":"Satish Kumar","raw_affiliation_strings":["IBS Hyderabad (ICFAI Foundation for Higher Education), Hyderabad, India"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"IBS Hyderabad (ICFAI Foundation for Higher Education), Hyderabad, India","institution_ids":["https://openalex.org/I4210138731"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5047102484","display_name":"Erik Hille","orcid":"https://orcid.org/0000-0002-2134-406X"},"institutions":[{"id":"https://openalex.org/I27963644","display_name":"HHL Leipzig Graduate School of Management","ror":"https://ror.org/00vjd4k74","country_code":"DE","type":"education","lineage":["https://openalex.org/I27963644"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Erik Hille","raw_affiliation_strings":["HHL Leipzig Graduate School of Management, Leipzig, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"HHL Leipzig Graduate School of Management, Leipzig, Germany","institution_ids":["https://openalex.org/I27963644"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5069088369"],"corresponding_institution_ids":["https://openalex.org/I158867519"],"apc_list":{"value":2780,"currency":"USD","value_usd":2780},"apc_paid":null,"fwci":3.7635,"has_fulltext":false,"cited_by_count":20,"citation_normalized_percentile":{"value":0.94128923,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":"315","issue":"1","first_page":"429","last_page":"461"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12639","display_name":"Global Energy and Sustainability Research","score":0.9866999983787537,"subfield":{"id":"https://openalex.org/subfields/2105","display_name":"Renewable Energy, Sustainability and the Environment"},"field":{"id":"https://openalex.org/fields/21","display_name":"Energy"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9818999767303467,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/equity","display_name":"Equity (law)","score":0.7262394428253174},{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.6197540163993835},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.618457555770874},{"id":"https://openalex.org/keywords/monetary-economics","display_name":"Monetary economics","score":0.4905681014060974},{"id":"https://openalex.org/keywords/oil-price","display_name":"Oil price","score":0.4799261689186096},{"id":"https://openalex.org/keywords/equity-risk","display_name":"Equity risk","score":0.47569286823272705},{"id":"https://openalex.org/keywords/tail-dependence","display_name":"Tail dependence","score":0.47353002429008484},{"id":"https://openalex.org/keywords/systemic-risk","display_name":"Systemic risk","score":0.41700389981269836},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3828410804271698},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.32698628306388855},{"id":"https://openalex.org/keywords/financial-crisis","display_name":"Financial crisis","score":0.1978960931301117},{"id":"https://openalex.org/keywords/macroeconomics","display_name":"Macroeconomics","score":0.11467963457107544},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1045350432395935}],"concepts":[{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.7262394428253174},{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.6197540163993835},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.618457555770874},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.4905681014060974},{"id":"https://openalex.org/C2984556133","wikidata":"https://www.wikidata.org/wiki/Q297279","display_name":"Oil price","level":2,"score":0.4799261689186096},{"id":"https://openalex.org/C149866677","wikidata":"https://www.wikidata.org/wiki/Q5384698","display_name":"Equity risk","level":3,"score":0.47569286823272705},{"id":"https://openalex.org/C2777606061","wikidata":"https://www.wikidata.org/wiki/Q16991115","display_name":"Tail dependence","level":3,"score":0.47353002429008484},{"id":"https://openalex.org/C144587487","wikidata":"https://www.wikidata.org/wiki/Q1369234","display_name":"Systemic risk","level":3,"score":0.41700389981269836},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3828410804271698},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.32698628306388855},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.1978960931301117},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.11467963457107544},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1045350432395935},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.0},{"id":"https://openalex.org/C71110296","wikidata":"https://www.wikidata.org/wiki/Q476115","display_name":"Private equity","level":2,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10479-021-04218-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-021-04218-6","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:annopr:v:315:y:2022:i:1:d:10.1007_s10479-021-04218-6","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10479-021-04218-6","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals","score":0.5}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":74,"referenced_works":["https://openalex.org/W745447977","https://openalex.org/W1550926239","https://openalex.org/W1720380308","https://openalex.org/W1963929989","https://openalex.org/W1968914532","https://openalex.org/W1977206371","https://openalex.org/W1978021198","https://openalex.org/W1983489812","https://openalex.org/W1988283756","https://openalex.org/W1999029409","https://openalex.org/W2010136738","https://openalex.org/W2012180142","https://openalex.org/W2021821837","https://openalex.org/W2025306861","https://openalex.org/W2025810522","https://openalex.org/W2034704161","https://openalex.org/W2035611246","https://openalex.org/W2038472330","https://openalex.org/W2057457088","https://openalex.org/W2067622202","https://openalex.org/W2074548812","https://openalex.org/W2074988857","https://openalex.org/W2079127074","https://openalex.org/W2080984056","https://openalex.org/W2083902262","https://openalex.org/W2090051587","https://openalex.org/W2093534945","https://openalex.org/W2093637705","https://openalex.org/W2093728440","https://openalex.org/W2093917421","https://openalex.org/W2097068514","https://openalex.org/W2099057455","https://openalex.org/W2101958621","https://openalex.org/W2106372379","https://openalex.org/W2119286353","https://openalex.org/W2122549219","https://openalex.org/W2135851080","https://openalex.org/W2137200489","https://openalex.org/W2144065083","https://openalex.org/W2175351090","https://openalex.org/W2271146465","https://openalex.org/W2466533628","https://openalex.org/W2541656001","https://openalex.org/W2555262014","https://openalex.org/W2571412090","https://openalex.org/W2594470025","https://openalex.org/W2617644516","https://openalex.org/W2728863691","https://openalex.org/W2756118605","https://openalex.org/W2773744386","https://openalex.org/W2780288293","https://openalex.org/W2793646241","https://openalex.org/W2797781040","https://openalex.org/W2807136603","https://openalex.org/W2887862704","https://openalex.org/W2890698378","https://openalex.org/W2906681028","https://openalex.org/W2907233437","https://openalex.org/W3121758033","https://openalex.org/W3121823203","https://openalex.org/W3122843332","https://openalex.org/W3123974798","https://openalex.org/W3124238415","https://openalex.org/W3124536635","https://openalex.org/W3124585766","https://openalex.org/W3124906205","https://openalex.org/W3125172379","https://openalex.org/W3125349010","https://openalex.org/W3125455346","https://openalex.org/W3151909338","https://openalex.org/W4212877863","https://openalex.org/W4229714622","https://openalex.org/W4235102550","https://openalex.org/W4246715751"],"related_works":["https://openalex.org/W2586128247","https://openalex.org/W2362429250","https://openalex.org/W222700272","https://openalex.org/W2907698882","https://openalex.org/W2279180773","https://openalex.org/W1552518416","https://openalex.org/W3036914094","https://openalex.org/W1589570794","https://openalex.org/W2751745463","https://openalex.org/W3086340936"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":9},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":1}],"updated_date":"2026-08-28T12:50:07.497085","created_date":"2025-10-10T00:00:00"}