Analysing systemic risk and time-frequency quantile dependence between crude oil prices and BRICS equity markets indices: A new look

This paper examines the dependence structure and the systemic risk between the return series of oil prices and the BRICS equity market indices, using the newly developed methods of the quantile coherency of Baruník and Kley (2015) and the nonparametric conditional value-at-risk causality (NCoVaR) and the NCoVaR Granger causality tests (NCoVaR-Gc) of Diks and Wolski (2018) for the period 2001–2018. Further, the traditional tests of Hiemstra and...