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Investigating the risk spillover from crude oil market to BRICS stock markets based on Copula-POT-CoVaR models
Liu, Ke; Changqing, Luo; Li, Zhao - In: Quantitative finance and economics 3 (2019) 4, pp. 754-771
Persistent link: https://www.econbiz.de/10012176689
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Stock market volatility spillovers in G7 and BRIC
Zhang, Ping; Sha, Yezhou; Xu, Yifan - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 7, pp. 2107-2119
Persistent link: https://www.econbiz.de/10012549873
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A wavelet perspective of crisis contagion between advanced economies and the BRIC markets
Gurdgiev, Constantin; O'Riordan, Conor - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-29
and volatility. In addition to covering the periods of the dot.com crash, the 11 September 2001 events, the pre-2007 … financialization bubble period and the resulting Global Financial Crisis, we study volatility spillovers arising from the BRIC, U …
Persistent link: https://www.econbiz.de/10012794261
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Volatility spillover effect acrossbric nations : an empirical study
Rastogi, Shailesh - In: Paradigm : the journal of Institute of Management Technology 14 (2010) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10009304863
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Contagion, decoupling and the spillover effects of the US financial crisis : evidence from the BRIC markets
Bekiros, Stelios D. - In: International review of financial analysis 33 (2014), pp. 58-69
Persistent link: https://www.econbiz.de/10010520075
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Return dynamics and global integration of BRICS stock markets
Dania, Akash; Malhotra, Davinder Kumar - In: International journal of business and emerging markets … 5 (2013) 3, pp. 217-233
Persistent link: https://www.econbiz.de/10009747266
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Financial crises and the dynamics of the spillovers between the US and BRICS stock markets
McIver, Ron; Kang, Sang Hoon - In: Research in international business and finance 54 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012581346
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Directional spillover effects between BRICS stock markets and economic policy uncertainty
Ngo Thai Hung - In: Asia Pacific financial markets 28 (2021) 3, pp. 429-448
Persistent link: https://www.econbiz.de/10012599801
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Spillovers of stock markets among the BRICS : new evidence in time and frequency domains before the outbreak of COVID-19 pandemic
Shi, Kai - In: Journal of risk and financial management : JRFM 14 (2021) 3/112, pp. 1-37
volatility spillovers dominated by the low frequency band (above 1 quarter) part grew with the decline in frequencies; the … market and Russia’s stock market, respectively, played an influential role for return spillover and volatility spillover …
Persistent link: https://www.econbiz.de/10012485149
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A short note on information transmissions across US-BRIC equity markets : evidence from volatility spillover index
Amanjot Singh; Kaur, Parneet - In: Journal of quantitative economics 15 (2017) 1, pp. 197-208
Persistent link: https://www.econbiz.de/10012418274