The airline you ended up flying into your final destination is responsible for handling luggage claims and delivery of delayed baggage regardless of who originally checked your baggage. That's standard industry practice. End of story. So, if you arrived on Continental they are 100% responsible for your luggage claim. As for Continental telling you they have no ticket and/or baggage agreement with Frontier is an outright lie. I know for a fact they do, and always have had.
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