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
Replication Package for article "A Co-Jump Network Approach to Systemic Risk Measurement: Evidence from the U.S. Financial Market", includes readme file, R code and data folders. The data folder conta
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
