Abstract
AbstractWe document the risk spillovers from oil to BRICS stock markets using a relatively novel long‐memory Copula‐CoVaR‐MODWT method from the time and frequency domain. Overall, the empirical results show that there are significant risk spillovers with time‐varying and heterogeneous characteristics. More importantly, we find that the heterogeneity among countries depends on the degree of oil dependence, energy policy and risk management strategy. Furthermore, we reveal there exist significant long‐ and short‐term risk spillovers and that the long‐term spillover effects are generally lower than the short‐term ones. Finally, we confirm that downside and upside risk spillovers are asymmetric.
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