Fig. 13

Robustness to the selections of forecasting horizons 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 a 200-days rolling-window QVAR models with lag length of order 1 (based on the AIC criterion) and 5-, 10-, and 15-step-ahead generalized forecast error variance decompositions