Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
Author:
Affiliation:
1. Melbourne Business School, Melbourne University, Carlton, Victoria, Australia;
2. Department of Economics, Columbia University, New York, NY;
3. School of Finance, Nankai University, Tianjin, China
Funder
University of Melbourne, Melbourne Business School
National Science Foundation
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/01621459.2018.1543598
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