We propose a dynamic network quantile regression model to investigate the quantile connectedness using a predetermined network information. We extend the existing network quantile autoregression model
The first column is the node labels, the second the 15 currency areas, the third the names of the local currency exchange rates with USD and the fourth the stock indices. Notice that the first column
This work describes the design of a novel financial multiplex network composed of three layers obtained by applying the MST-based cross-correlation network, using the data from 465 companies listed on
This data set contains rolling conditional correlation networks estimated from stock returns and the volume synchronized probability of informed trading. Only the largest 104 financial firms are inclu
