Contagion; Expectile regression; Granger causality; Sup-Wald test
Systemic risk spillover, TENET, CoVaR, Energy companies
climate risk, Stock returns, Disaggregated sectoral stock markets, Panel quantile regression
TEDNQR model, systemic risk, RCEP, tail risk network
Oil volatility forecasting, stock volatility, Quantile autoregression
Asymmetric comovements, Contagion, Exchange rate, Nonparametric test
Quantile-on-quantile, gold, Stock market, safe haven, causality-in-quantiles.
Quantile autoregressive model, Crude oil volatility, Stock volatility, Out-of-sample performance, Forecast combination.
quantile-on-quantile, Causality in quantiles, Cross-quantile dependence, Economic Policy Uncertainty, stock returns
Contagion, Expectile regression, Granger causality, Sup-Wald test.
Systemic risk spillover, MODWT, TENET, CoVaR, Energy stocks
Volatility Spillover, Expectile regression, Granger causality, Sup-Wald test.
