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Comparing the Risk Spillover from Oil and Gas to Investment Grade and High-yield Bonds through Optimal Copulas

Rahman, Md Lutfur; Shahzad, Syed Jawad Hussain; Uddin, Gazi Salah; Dutta, Anupam (International Association for Energy Economics, 01.02.2022)
article

This paper compares the tail dependence and risk spillovers from the oil and gas to high-yield (HY) and investment grade (IG) bond markets. We use time-varying optimal copula framework to examine the dependence and further ...