Publication: On the network topology of variance decompositions: measuring the connectedness of financial firms
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KU-Authors
KU Authors
Co-Authors
Diebold, Francis X.
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Type
Embargo Status
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Volume Title
Alternative Title
Abstract
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.
Source
Publisher
Elsevier Science Sa
Subject
Economics, Mathematics, Business, economics, Social science
Citation
Has Part
Source
Journal of Econometrics
Book Series Title
Edition
DOI
10.1016/j.jeconom.2014.04.012