Volatility Spillover in the Turkish Financial Market: A QVAR Analysis
Hüseyin Özdemir
Abstract:Purpose –The volatility spillover is crucial matter for policy makers and portfolio managers to understand risk transmission between financial markets to understand where potential loss and risk comes from. In this research, it is aimed to investigate the tail risk spilloveramong the BIST-100 stock index, TR 10-year bonds, USD-TL exchange rate, gold futures, and Brent petroleum in Türkiye.Design/Methodology/Approach –The quantile vector autoregressive(QVAR) model, recommended by Ando et al., (2022),is used in … Show more
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