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Quantile and asymmetric return connectedness among BRICS stock markets
16 references·1 citing·36 second hop
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,586 cited
  • 2020The Unprecedented Stock Market Reaction to COVID-191,514 cited
  • 2022Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks831 cited
  • 2012New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing453 cited
  • 2002Modelling Extremal Events for Insurance and Finance369 cited
  • 2020EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness291 cited
  • 2021Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?249 cited
  • 2017Refined Measures of Dynamic Connectedness based on TVP-VAR218 cited
  • 2021Corporate actions and the manipulation of retail investors in China: An analysis of stock splits

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184 cited
  • 2016The interactive relationship between the US economic policy uncertainty and BRIC stock markets182 cited
  • 2016Risk and return spillovers among the G10 currencies177 cited
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    • 2024African stock markets’ connectedness: Quantile VAR approach27 cited