Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks

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JournalManagement Science
DateAccepted/In press - 12 Nov 2020
Original languageEnglish

    Research areas

  • Network Modelling, Quantile Vector Autoregression with Common Factors, Quantile Connectedness, Financial{Sovereign Credit Risk Transmission, Tail-Dependence

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