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Reprint of: on the network topology of variance decompositions: measuring the connectedness of financial firms

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dc.contributor.coauthorDiebold, F. X.
dc.contributor.departmentDepartment of Economics
dc.contributor.facultymemberYes
dc.contributor.kuauthorYılmaz, Kamil
dc.contributor.schoolcollegeinstituteCollege of Administrative Sciences and Economics
dc.date.accessioned2024-11-09T23:36:28Z
dc.date.issued2023
dc.description.abstractWe 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 U.S. financial institutions’ stock return volatilities in recent years, with emphasis on the financial crisis of 2007–2008.
dc.description.fulltextNo
dc.description.harvestedfromManual
dc.description.indexedbyScopus
dc.description.indexedbyWOS
dc.description.openaccessYES
dc.description.peerreviewstatusN/A
dc.description.publisherscopeInternational
dc.description.readpublishN/A
dc.description.sponsoredbyTubitakEuTÜBİTAK
dc.description.sponsorshipTurkiye Bilimsel ve Teknolojik Arastirma Kurumu (TUBITAK) National Science Foundation (NSF)
dc.description.studentonlypublicationNo
dc.description.studentpublicationNo
dc.description.versionN/A
dc.identifier.WoSQuartileQ1
dc.identifier.doi10.1016/j.jeconom.2023.03.003
dc.identifier.embargoN/A
dc.identifier.endpage90
dc.identifier.issn0304-4076
dc.identifier.scopus2-s2.0-85149885827
dc.identifier.startpage70
dc.identifier.urihttps://hdl.handle.net/20.500.14288/12661
dc.identifier.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85149885827&doi=10.1016%2fj.jeconom.2023.03.003&partnerID=40&md5=9b487702b912400ec86457dd257fd476
dc.identifier.volume234
dc.identifier.wos001170855300011
dc.keywordsAsset markets
dc.keywordsCredit risk
dc.keywordsDegree distribution
dc.keywordsMarket risk
dc.keywordsPortfolio allocation
dc.keywordsRisk management
dc.keywordsRisk measurement
dc.keywordsSystemic risk
dc.language.isoeng
dc.publisherElsevier Ltd
dc.relation.affiliationKoç University
dc.relation.collectionKoç University Institutional Repository
dc.relation.ispartofJournal of Econometrics
dc.relation.openaccessN/A
dc.rightsN/A
dc.subjectEconomics
dc.subjectMathematical methods
dc.subjectMathematics
dc.subjectSocial sciences
dc.titleReprint of: on the network topology of variance decompositions: measuring the connectedness of financial firms
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.kuauthorYılmaz, Kamil
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