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ArticleQuantile and asymmetric return connectedness among BRICS stock markets

Kingstone Nyakurukwa2023

Article2023

Quantile and asymmetric return connectedness among BRICS stock markets

Kingstone Nyakurukwa · Yudhvir Seetharam

29 citations·0/0 files stored·The Journal of Economic Asymmetries

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Efficient Tests for an Autoregressive Unit Root 1996Impulse response analysis in nonlinear multivariate models 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions 2020The Unprecedented Stock Market Reaction to COVID-19 2022Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks

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2024African stock markets’ connectedness: Quantile VAR approach

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Year2023

Typearticle

Published2023-04-18

VenueThe Journal of Economic Asymmetries

ISSN-L1703-4949

Languageen

Citations29

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeca.2023.e00303

openalex_workW4366254538

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