It is a challenging task to understand the complex dependency structures in an ultra-high dimensional network …, especially when one concentrates on the tail dependency. To tackle this problem, we consider a network quantile autoregression …

the latter test is minimal. Both theoretical guarantees and the tuning-free feature stem from efficient multiple-network …

This paper studies the network structure and fragmentation of the Argentinean interbank market. The unsecured (CALL …) and secured (REPO) markets are examined, applying complex network analysis. Results indicate that although the secured …