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
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
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 is the data file supporting the research in the following paper: W. Yan and E. van Tuyll, Forecasting Financial Extremes: A Network Degree Measure
