We use the conditional autoregressive value at risk (CAViaR) model in combination with the time-varying parameter vector autoregressive (TVP-VAR) based connectedness approach to study the systematic tail risk transmission considering two types of crude oil (Brent and WTI) and also four refined...

In this paper we analyze the behavior of stock markets in six emerging countries. More specifically, we describe the bull and bear cycles of four Latin American and two Asian countries, comparing their characteristics during both phases and the degree of concordance of bullish periods. We divide...

In this paper we analyze the behavior of stock markets in six emerging countries. More specifically, we describe the bull and bear cycles of four Latin American and two Asian countries, comparing their characteristics during both phases and the degree of concordance of bullish periods. We divide...