A critique of the inappropriate interpretation of the quantile connectedness approach by Ando et al. (2022)

Abhinava Tripathi, Ravi Raushan Jha and Charu Vadhava

Energy Economics, 2025, vol. 143, issue C

Abstract: Recently, there has been an exponential rise in the studies examining quantile connectedness across the conditional quantiles of volatility, following the seminal work of Ando et al. (2022). Our article conducts a literature review of several such studies from reputable journals that incorrectly interpret the results from volatility connectedness across the conditional quantiles. More specifically, these studies incorrectly relate lower quantiles of volatility to extreme adverse (or bearish) conditions and upper quantiles of volatility to upmarket (or bullish) conditions. Our literature review shows that, once the correct interpretation of conditional quantiles of volatility is imposed, many of these studies' novel and surprising results become consistent with the prior literature.

Keywords: Quantile connectedness; Volatility spillovers; Portfolio management; Risk contagion (search for similar items in EconPapers)
JEL-codes: C32 F36 G01 G10 G11 G12 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325001148

DOI: 10.1016/j.eneco.2025.108291

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