The extreme risk connectedness of the global financial system: G7 and BRICS evidence
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DOI: 10.1016/j.mulfin.2023.100812
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Keywords
Extreme risks; Spillover effect; Nonlinear Granger causality test; Multilayer network·;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F3 - International Economics - - International Finance
- F5 - International Economics - - International Relations, National Security, and International Political Economy
- O1 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development
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