Quantile and asymmetric return connectedness among BRICS stock markets
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DOI: 10.1016/j.jeca.2023.e00303
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Citations
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Cited by:
- Armah, Mohammed & Amewu, Godfred, 2024. "Quantile dependence and asymmetric connectedness between global financial market stress and REIT returns: Evidence from the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
- Rehman, Mobeen Ur & Nautiyal, Neeraj & Vo, Xuan Vinh & Ghardallou, Wafa & Kang, Sang Hoon, 2023. "Is the impact of oil shocks more pronounced during extreme market conditions?," Resources Policy, Elsevier, vol. 85(PA).
- Qiang Liu & Chen Xu & Jane Xie, 2024. "Comparative Analysis of Spillover Effects in the Global Stock Market under Normal and Extreme Market Conditions," IJFS, MDPI, vol. 12(2), pages 1-20, May.
- Miklesh Yadav & Sabia Tabassum & Anas Ali AlQudah & Manaf Al-Okaily & Myriam Aloulou & Nikola Stakic & Marcos Santos, 2024. "Does COVID-19 Outbreak Push Saudi Crude Oil to Connect with Selected GCC Equity Market? Insight of Time Varying Linkage," Computational Economics, Springer;Society for Computational Economics, vol. 63(3), pages 1047-1070, March.
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More about this item
Keywords
Quantile connectedness; Return spillovers; BRICS; Emerging markets; Financial markets contagion; TVP-VAR;All these keywords.
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
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