 A novel estimation of time-varying quantile correlation for financial contagion detectionWuyi Ye, Mingge Li and Yuehua Wu The North American Journal of Economics and Finance, 2022, vol. 63, issue C Abstract: A time-varying quantile correlation (TV-QCOR) measure is developed, and the local polynomial regression framework for its estimation and statistical inference is proposed. TV-QCOR measure can capture the dynamic interdependence between financial time series and thus detect contagion between financial markets. The expression of the TV-QCOR with copula functions is proved under the standard normal marginal distribution assumption. Simulation exercises highlight its capability to describe different dependence structures. In the empirical analyses, TV-QCORs between the United States Standard&Poor 500 index and stock market indices of eight countries and regions at different τth quantiles are estimated. A contagion detection test is proposed by contrasting the TV-QCOR during a crisis period with that during a normal period; it finds contagion effect during the Great Recession of 2007–2012 and observes quite different levels of spillover effect between the United States and other countries and regions. Keywords: Quantile correlation; Local polynomial estimation; Financial crisis; Contagion effect (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001334 DOI: 10.1016/j.najef.2022.101796 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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