Crude oil plays a significant role in economic developments in the world. Understanding the relationship between oil price changes and stock market returns helps to improve portfolio strategies and risk positions. Kilian (Am Econ Rev 99(3): 1053-1069, 2009) proposes to decompose the oil price into three types of oil price shocks by using a structural vector autoregression model. This paper investigates the dynamic, nonlinear dependence and risk spillover effects between BRICS stock returns and the different types of oil price shocks using an appropriate multivariate and dynamic copula model. Risk is measured using the conditional value at risk, conditioning on one or more simultaneous oil and stock market shocks. For this purpose, a D-vine-based quantile regression model and the GAS copula model are combined. Our results show, inter alia, that the early stages of the Covid-19 crisis lead to increasing risk levels in the BRICS stock markets except for the Chinese one, which has recovered quickly and therefore shows no changes in the risk level.

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股票市场回报和油价冲击：基于动态 vine copula 模型的 CoVaR 分析。

原油在世界经济发展中发挥着重要作用。了解油价变化与股市回报之间的关系有助于改进投资组合策略和风险头寸。Kilian (Am Econ Rev 99(3): 1053-1069, 2009) 提出使用结构向量自回归模型将油价分解为三种油价冲击。本文使用适当的多元动态 copula 模型研究了金砖国家股票收益与不同类型的油价冲击之间的动态、非线性依赖性和风险溢出效应。风险是使用条件风险值来衡量的，以一种或多种同时发生的石油和股票市场冲击为条件。为此，结合了基于 D-vine 的分位数回归模型和 GAS copula 模型。我们的结果显示，除其他外，