Vasilyeva, Rogneda; Urazbaeva, Alina; Voytenkov, Valentin - In: Journal of Risk and Financial Management 15 (2022) 5, pp. 1-15
stage, we apply the Quantile-on-Quantile framework to measure the response of total and bilateral connectedness indices to … geopolitical risk (GPR). The findings affirm our proposition that GPR impedes TCI when it has a bullish state and a higher quantile …