Table 9 Spillover contribution test of CoVaR for gold and oil returns.

From: Impact of global crisis events on the dependence and risk spillover between gold and crude oil: a regime-switching copula approach

 

Tranquil regime

Crisis regime

 

Gold

Crude oil

Gold

Crude oil

H0:CoVaRu=VaRu

[0.0000]

[0.0102]

[1.0000]

[1.0000]

H0:CoVaRd=VaRd

[1.0000]

[0.9958]

[0.0000]

[0.0000]

  1. Note: p values are in square brackets, and the original hypothesis is accepted when p > 0.05. “Gold” indicates the direction of risk spillover from the crude oil market to the gold market. “Crude oil” indicates the direction of risk spillover from the gold market to the crude oil market.
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