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On the network topology of variance decompositions : measuring the connectedness of financial firms

Author: Francis X Diebold; Kamil Yılmaz; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2011.
Series: Working paper series (National Bureau of Economic Research), no. 17490.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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.  Read more...
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Additional Physical Format: Print version:
Diebold, Francis X., 1959-
On the network topology of variance decompositions.
Cambridge, Mass. : National Bureau of Economic Research, ©2011
(DLC) 2011657375
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Francis X Diebold; Kamil Yılmaz; National Bureau of Economic Research.
OCLC Number: 756504386
Notes: Title from http://www.nber.org/papers/17490 viewed Oct. 10, 2011.
"October 2011."
Description: 1 online resource (36 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 17490.
Responsibility: Francis X. Diebold, Kamil Yilmaz.

Abstract:

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.

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