Non-parametric quantile dependencies between volatility discontinuities and political risk
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DOI: 10.1016/j.frl.2018.12.022
Abstract: In this paper, we investigate the non-parametric relation between political risk and Mexican financial markets. We focus on stock, foreign exchange, financial institutions bond, corporate bond and sovereign bond markets. We apply a quantile correlation… read more here.
Keywords: non parametric; parametric quantile; political risk; risk ... See more keywords