Tail risk connectedness during geopolitical shocks: assessing the impact of Russian-Ukraine conflict on G7 stock markets
This study investigates the impact of the Russian-Ukraine war on the tail risk connectedness among G7 stock markets using a TVP-VAR frequency connectedness approach and several robustness testing procedures. Such work focuses on the dynamics of tail risk connectedness during and after the conflict....
| Main Authors: | , , , , |
|---|---|
| Format: | Journal Article |
| Published: |
Taylor & Francis
Group
2024
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| Online Access: | http://hdl.handle.net/20.500.11937/97487 |