Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006
Let y
t
and x
t
denote two different random variables. Let q
Y
θt
be the time tθ-quantile
of the conditional distribution … of y
t
. Analogously, for x
t
,wedefine q
X
θt
. Our basic
5
Similarly to equity markets,.conditional correlations of … probability p
t
(θ) ≡ Pr(y
t
≤ q
Y
θt
| x
t
≤ q
X
θt
).For
any given quantile, it gives the probability of observing a joint tail …