A huge literature on modeling cross-sectional dependence in panels has been developed using interactive effects (IE). One area of contention is the hypothesis concerned with whether the regressors …
We propose a dynamic network quantile regression model to investigate the quantile connectedness using a predetermined network information. We extend the existing network quantile autoregression mo…
We develop a new technique to estimate vector autoregressions with a common factor error structure by quantile regression. We apply our technique to study credit risk spillovers among a group of 17…