Quantile dependencies across BRICS currency markets in time of crisis: Analysis of the Russia

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Quantile dependencies across BRICS currency markets in time of crisis: Analysis of the Russia–Ukraine war

Published:2023-09-12 Issue:4 Volume:52 Page:281-296
ISSN:1029-3523
Container-title:Investment Analysts Journal
language:en
Short-container-title:Investment Analysts Journal

Author:

Oyewole Oluwatomisin J.¹²,Fasanya Ismail O.³,Saleh Al-Faryan Mamdouh Abdulaziz⁴

Affiliation:

1. Department of Economics, Federal University of Agriculture, Abeokuta, Nigeria

2. The Centre for Social and Economic Data Analytics (CSEDA), Heriot-Watt University, Edinburgh, United Kingdom

3. School of Economics and Finance, University of the Witwatersrand, South Africa

4. School of Accounting, Economics and Finance, Faculty of Business and Law, University of Portsmouth, UK & Consultant in Economics and Finance, Riyadh, Saudi Arabia

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.1080/10293523.2023.2245246

Reference31 articles.

1. Abbassi W. Kumari V. & Pandey D. K. (2022). What makes firms vulnerable to the Russia-Ukraine crisis? The Journal of Risk Finance . Advance online publication. https://www.emerald.com/insight/content/doi/10.1108JRF-05-2022-0108/full/html

2. Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks

3. International Asset Allocation With Regime Shifts

4. Geopolitical risks and stock market dynamics of the BRICS

5. Do terror attacks affect the dollar-pound exchange rate? A nonparametric causality-in-quantiles analysis

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