On the network topology of variance decompositions
Subtitle: measuring the connectedness of financial firms
By: Francis X. Diebold, Kamil Yilmaz
Contributors: Yılmaz, Kamil; National Bureau of Economic Research
Series: NBER working paper series -- working paper 17490; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 17490.
Publisher: National Bureau of Economic Research
Published: 2011
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 12/15/2011.

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