Exchange rate and stock prices volatility connectedness and spillover during pandemic induced-crises: evidence from BRICS countries

DOI10.1007/S10690-023-09411-0zbMATH Open1542.91376MaRDI QIDQ6563707FDOQ6563707

Authors: Muntazir Hussain, Usman Bashir, Ramiz Ur Rehman 

Publication date: 27 June 2024

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

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zbMATH Keywords

exchange ratestock pricesvolatility spilloverpandemicvolatility connectedness

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Impulse response analysis in nonlinear multivariate models
• Financial network connectedness and systemic risk during the COVID-19 pandemic
• Directional spillover effects between BRICS stock markets and economic policy uncertainty
• The dynamic volatility connectedness of major environmental, social, and governance (ESG) stock indices: evidence based on DCC-GARCH model

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