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  • ContentsContents
  • Article InfoArticle Info
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  • Article title
  • Abstract
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  • 1. Introduction
  • 2. Literature review
    • 2.1. Uncertainty measures and financial stress
    • 2.2. Financial stress related spillover effects
  • 3. Method and materials
    • 3.1. Data description
    • 3.2 . Econometric estimation approaches
    • 3.2.1. Cross-quantilogram (CQ)
    • 3.2.2. Recursive cross-quantilogram (R-CQ)
    • 3.2.3. TVP-VAR frequency connectedness
  • 4. Results and discussion
    • 4.1. Descriptive statistics
    • 4.2. Quantile dependence based on cross-quantilogram
    • 4.2.1. Quantile dependence between TEU and RFSI
    • 4.2.2. Quantile dependence between GEPU and RFSI
    • 4.2.3. Quantile dependence between REPU and RFSI
    • 4.2.4. Quantile dependence between GGPR and RFSI
    • 4.2.5. Quantile dependence between RGPR and RFSI
    • 4.3. Recursive cross-quantilogram (R-CQ) based findings
    • 4.3.1. R-CQ between TEU and RFSI
    • 4.3.2. R-CQ between GEPU and RFSI
    • 4.3.3. R-CQ between REPU and RFSI
    • 4.3.4. R-CQ between GGPR and RFSI
    • 4.3.5. R-CQ between RGPR and RFSI
    • 4.4. TVP-VAR approach for dynamic connectedness
    • 4.5. Generalizability of the findings
  • 5. Conclusion and policy implications
  • Reference
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