Table 6 Kendall’s tau correlation... | Emerald Publishing

Table 6

Kendall’s tau correlation coefficients for pairs of rankings for the whole study period and subperiods

	2007–2009	2010–2013	2014–2019	2020–2021	2022–2023	2007–2023
number of banks	17	18	20	20	18	20
E-ΔCoVaR vs. E-SRISK	0.989^***	0.989^***	0.968^***	0.926^***	1.000^***	0.979^***
E-ΔCoVaR vs. E-DSRI	1.000^***	0.989^***	0.989^***	1.000^***	1.000^***	0.989^***
E-SRISK vs. E-QLAR	0.989^***	1.000^***	0.989^***	0.989^***	1.000^***	0.916^***
E-ΔCoVaR vs. E-QLAR	0.989^***	0.989^***	0.968^***	0.926^***	1.000^***	0.979^***
E-SRISK vs. E-DSRI	1.000^***	0.989^***	0.989^***	1.000^***	1.000^***	0.989^***
E-DCC vs. E- QLAR	0.989^***	1.000^***	0.989^***	0.989^***	1.000^***	0.916^***
Average coefficient	0.988	0.995	0.982	0.946	1.000	0.946

	2007–2009	2010–2013	2014–2019	2020–2021	2022–2023	2007–2023
number of banks	17	18	20	20	18	20
E-ΔCoVaR vs. E-SRISK	0.989^***	0.989^***	0.968^***	0.926^***	1.000^***	0.979^***
E-ΔCoVaR vs. E-DSRI	1.000^***	0.989^***	0.989^***	1.000^***	1.000^***	0.989^***
E-SRISK vs. E-QLAR	0.989^***	1.000^***	0.989^***	0.989^***	1.000^***	0.916^***
E-ΔCoVaR vs. E-QLAR	0.989^***	0.989^***	0.968^***	0.926^***	1.000^***	0.979^***
E-SRISK vs. E-DSRI	1.000^***	0.989^***	0.989^***	1.000^***	1.000^***	0.989^***
E-DCC vs. E- QLAR	0.989^***	1.000^***	0.989^***	0.989^***	1.000^***	0.916^***
Average coefficient	0.988	0.995	0.982	0.946	1.000	0.946

Note(s): ^*** indicates statistical significance at the 0.05 significance level

Source(s): Own elaboration