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" Financial and macroeconomic connectedness : "
Francis X. Diebold and Kamil Yilmaz
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BL
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| Record Number
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581346
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| Doc. No
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b410565
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| Main Entry
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Diebold, Francis X.,1959-
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| Title & Author
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Financial and macroeconomic connectedness : : a network approach to measurement and monitoring /\ Francis X. Diebold and Kamil Yilmaz
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| Page. NO
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1 online resource (pages cm)
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| ISBN
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0199338310
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: 9780199338313
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0199338299
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0199338302
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9780199338290
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9780199338306
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| Bibliographies/Indexes
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Includes bibliographical references and index
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| Abstract
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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)
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Finance-- Econometric models
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Finance-- Mathematical models
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| Dewey Classification
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332.01/5195
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| LC Classification
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HG106.D54 2015
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| Added Entry
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Yılmaz, Kamil, (Economist)
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