We 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.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.