Balcilar, Mehmet; Bonato, Matteo; Demirer, Riza; Gupta, Rangan
(Elsevier, 2018-06)
This paper examines the effect of geopolitical uncertainty on return and volatility dynamics in the BRICS stock markets via nonparametric causality-in-quantiles tests. The effect of geopolitical risks (GPRs) is found to ...