Title:Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis Author(s):LABIDI, Chiaz; RAHMAN, Md Lutfur; HEDSTROEM, Axel; UDDIN, Gazi Salah; BEKIROS, Stelios D.Date:2018Citation:
- International review of financial analysis, Vol. 59, pp. 179-211
Type:ArticleAbstract:This paper examines the cross-quantile dependence between developed and emerging market stock returns and investigates its time-varying characteristics, using recursive sample estimations. The results based on cross-quantilogram ...