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Financial Innovation
Fig. 12 | Financial Innovation

Fig. 12

From: Salience theory value spillovers between China’s systemically important banks: evidence from quantile connectedness

Fig. 12

Robustness to the selections of rolling window lengths at different quantiles. Relative tail dependence is defined as the difference between the STV interconnectedness at the 95th quantile and the STV interconnectedness at the 5th quantile. Note: Results are based on 150-, 200-, and 250-days rolling-window QVAR models with lag length of order one (based on the AIC criterion) and a 10-step-ahead generalized forecast error variance decomposition

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