| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089570 | Journal of Banking & Finance | 2013 | 13 Pages |
Abstract
⺠Decomposition of (conditional) dependence using quantile regression. ⺠Decomposition provides information about degree and structure of dependence. ⺠Empirical application shows substantial differences in dependence patterns. ⺠Structure of dependence is crucial to adequately assess contagion.
Related Topics
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Economics and Econometrics
Authors
Dirk G. Baur,