Tail-spillover effects between African currencies, bitcoin, gold and oil during two recent black swan events
Author:
Affiliation:
1. Department of Economics, Faculty of Business and Economic Studies, Nelson Mandela University, Port Elizabeth, South Africa
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/23311975.2024.2343411
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1. Does oil connect differently with prominent assets during war? Analysis of intra-day data during the Russia-Ukraine saga
2. Shocks and volatility transmission between oil price and Nigeria’s exchange rate
3. Consequences of Russian invasion on Ukraine: evidence from foreign exchange rates
4. Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks
5. Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions
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