Financial and macroeconomic connectedness : a network approach to measurement and monitoring
Diebold, Francis XAuthor
Y¸lmaz, Kamil.Contributor
Yilmaz, KamilContributor
A simple framework is proposed based on variance decompositions from approximating vector autoregressions to define, measure and monitor network connectedness, and these methods are applied in financial and macroeconomic contexts. In financial markets, for example, the interest is in connections among different assets, asset classes, or portfolios, as well as the stocks of individual institutions, and the objects connected are typically returns or return volatilities. Similarly, in macroeconomics the interest is in cross-country real output connections (that is, the global business cycle).
Bibliographic Level Mode of Issuance: Monograph
Includes bibliographical references and index.
A simple framework is proposed based on variance decompositions from approximating vector autoregressions to define, measure and monitor network connectedness, and these methods are applied in financial and macroeconomic contexts. In financial markets, for example, the interest is in connections among different assets, asset classes, or portfolios, as well as the stocks of individual institutions, and the objects connected are typically returns or return volatilities. Similarly, in macroeconomics the interest is in cross-country real output connections (that is, the global business cycle).
Description based on online resource; title from home page (viewed on January 20, 2015).
Finance
Finance
Finance
Business & Economics
Finance - General