Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096013 | Journal of Econometrics | 2014 | 16 Pages |
Abstract
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness. We also show that variance decompositions define weighted, directed networks, so that our connectedness measures are intimately related to key measures of connectedness used in the network literature. Building on these insights, we track daily time-varying connectedness of major US financial institutions' stock return volatilities in recent years, with emphasis on the financial crisis of 2007-2008.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Francis X. Diebold, Kamil Yılmaz,