Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions

Quantile connectedness in agri-commodity markets: What has changed over past six decades?

“…We have found similar observation and consistency in stylized facts with another research work. This proves that network connectedness at the lower quantile is higher than that at the upper and median quantiles [ 55 ]. Chaos (inter-connectedness) inside the network came down substantially with higher to extreme quantiles.…”

Connectedness of Vietnamese bank stock returns under the impact of the COVID-19 pandemic

“…Rehman et al (2022) use partial correlation and minimum span tree with similar conclusions that scale expansion of international banks during the 21st century promotes transmission of shocks from the parent corporations headquartered in developed markets to their international branches located in emerging markets. With the same objectives to examine transmitter of shocks, Qian et al (2022) apply the partial cross-quantile (PCQ) method concentrating more on the correlation to varying quantiles between two-time series, and Diebold and Yilmaz (2014) employ the time varying parameters vector autoregressive (TVP-VAR) model to measures the spillover during the whole period rather than focusing on quantiles. Both PCQ and TVP-VAR have advantages over other traditional approaches because they improve capacity to accurately depict the interconnectedness of bank stock returns while fully accounting for the time-varying connection among various components of the return distributions.…”