This paper investigates the extreme dependence between the Asia-Pacific stock markets and the international crude oil market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors obtain a more detailed result on the degree and...

This study empirically examines the robustness of impact of exchange rate exposure on cross-country sectors portfolios using the quantile regression approach. The parts of the return distribution in which the investors and risk managers are interested are at extreme outcomes in the tails, which...

The purpose of this paper is to examine the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using linear and non linear quantile regression approach. Our goal in this paper is to demonstrate that the relationship between the volatility...