The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks
Abstract
We develop a new technique to estimate vector autoregressions with a common factor error structure by quantile regression. We apply our technique to study credit risk spillovers among a group of 17 sovereigns and their respective financial sectors between January 2006 and December 2017. We show that idiosyncratic credit risk shocks propagate much more strongly in both tails than at the conditional mean or median. Furthermore, we develop a measure of the relative spillover intensity in the right and left tails of the conditional distribution that provides a timely aggregate measure of systemic financial fragility and that can be used for risk management and monitoring purposes. This paper was accepted by Gustavo Manso, finance.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Testing Weak Cross-Sectional Dependence in Large Panels
Pesaran, M. H. (2015) · Econometric Reviews · doi:10.1080/07474938.2014.956623 · Cited by 2,950
Cited by
Lorente, D. B., Mohammed, K. S., Cifuentes-Faura, J., & Shahzad, U. (2023) · Renewable Energy · doi:10.1016/j.renene.2022.12.085 · Cited by 258
Yousaf, I., & Yarovaya, L. (2022) · Finance Research Letters · doi:10.1016/j.frl.2022.103175 · Cited by 79
Metadata
- Authors
- Ando, T., Greenwood-Nimmo, M., & Shin, Y.
- Venue
- Management Science
- Published
- 2022-04
- Volume
- 68
- Issue
- 4
- Pages
- 2401-2431
- ISSN
- 0025-1909 (ISSN-L)
- 1526-5501
- OpenAlex
- W3159199231
- Cited by
- 822
- References
- 2
- FWCI
- 113.90
- Type
- journal article
- Language
- en
- Open access
- closed
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- Ando, T., Greenwood-Nimmo, M., & Shin, Y. (2022). Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks. Management Science. https://doi.org/10.1287/mnsc.2021.3984
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