Fig. 13

Cross-quantilograms correlation. Note: The figure plots the directional predictability from each predictor variable to total tail risk connectedness index estimated at 5% CAViaRs. The graph depicts the directional predictability at lag k = 1, 2, …, 60 over the lower quantile (α = 0.05), middle (α = 0.5), and extreme upper (α = 0.95) quantiles.  The 95% bootstrap confidence intervals are indicated by the red dotted lines