Quantile connectedness amongst BRICS equity markets during the COVID-19 pandemic and Russia–Ukraine war
AbstractOur study uses the quantile vector autoregressive (QVAR) network approach to compare the median-based and tail connectedness in BRICS equity markets using daily time series spanning from 3rd March 2020 to 9th September 2022. The study is conducted on both returns and volatility series, and t...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2023-10-01
|
| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2023.2251300 |