Serrano, Antonio Rubia; Sanchis-Marco, Lidia - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2015
In this paper we analyze the state-dependent risk-spillover in different economic areas. To this end, weapply the quantile regression-based methodology developed in Adams, Füss and Gropp (2014)approach to examine the spillover in conditional tails of daily returns of indices of the banking...