Teng Ma

Quantile Connectedness and Extreme Risk Spillovers in the Capital Markets of Caribbean Rim Countries from a QVAR Approach

This study examines systemic connectedness and risk spillovers in the capital markets of Caribbean Rim countries using a Quantile Vector Autoregression (QVAR) framework and weekly equity returns from five economies (the U.S., Mexico, Jamaica, Colombia, and Venezuela) over 2019–2025. Unlike mean-based models, QVAR effec...