Financial and macroeconomic connectedness : a network approach to measurement and monitoring

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 amo...

Ausführliche Beschreibung

Gespeichert in:
1. Verfasser:
Diebold, Francis X.
Weitere Verfasser:
Yılmaz, Kamil (Economist) (MitwirkendeR)
Format:
Elektronisch E-Book
Sprache:
Englisch
Veröffentlicht:
New York : Oxford University Press, 2015.
Zusammenfassung:
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).
Umfang:
1 online resource : illustrations (black and white)
Anmerkungen:
Bibliographic Level Mode of Issuance: Monograph
Anmerkungen:
English
Bibliografie:
Includes bibliographical references and index.
ISBN:
0-19-022383-9
Schlagworte:
Finance > Econometric models.
Finance > Mathematical models.
Finance
Business & Economics
Finance - General
Bezugswerke:
Links: