Browsing by Subject "IMPULSE-RESPONSE ANALYSIS"

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How prone are emerging markets' sectoral indices to global uncertainties? Evidence from the quantile connectedness approach with portfolio implications

Khan, S; Rehman, MZ; Shahzad, MR; Khan, NU; Razak, LA (2023)

PurposeThere has been a burgeoning interest in exploring the impact of uncertainty factors on share returns. However, studies on the influence of global financial uncertainties on emerging market sectoral indices are scarce. ...
Resilience amidst turmoil: a multi-resolution analysis of portfolio diversification in emerging markets during global financial and health crises

Smolo, E; Nagayev, R; Jahangir, R; Tarazi, CSC (2023)

Using Wavelet Coherence, Frequency Interconnectedness and Spillover methodologies, this study investigates the dynamic comovements and spillover effects between emerging markets (BRICS and Turkiye) with a specific emphasis ...