On the network topology of variance decompositions: Measuring the connectedness of financial firms

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On the network topology of variance decompositions: Measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil

Journal of econometrics, 09/2014, Letnik: 182, Številka: 1

Journal Article

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.

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Diebold, Francis X. | Yılmaz, Kamil

Dostop do baze podatkov JCR je dovoljen samo uporabnikom iz Slovenije. Vaš trenutni IP-naslov ni na seznamu dovoljenih za dostop, zato je potrebna avtentikacija z ustreznim računom AAI.

Leto	Faktor vpliva		Izdaja		Kategorija		Razvrstitev
Leto	JCR	SNIP	JCR	SNIP	JCR	SNIP	JCR	SNIP

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