全球智库信息集成服务系统(G2TT): On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w17490
来源ID	Working Paper 17490
	On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
	Francis X. Diebold; Kamil Yilmaz
发表日期	2011-10-06
出版年	2011
语种	英语
摘要	We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. 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 both average and daily time-varying connectedness of major U.S. financial institutions' stock return volatilities in recent years, including during the financial crisis of 2007-2008.
主题	Econometrics ; Estimation Methods ; Financial Economics ; Financial Institutions
URL	https://www.nber.org/papers/w17490
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/575165
推荐引用方式 GB/T 7714	Francis X. Diebold,Kamil Yilmaz. On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms. 2011.