Journal
JOURNAL OF ECONOMETRICS
Volume 182, Issue 1, Pages 119-134Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2014.04.012
Keywords
Risk measurement; Risk management; Portfolio allocation; Market risk; Credit risk; Systemic risk; Asset markets; Degree distribution
Categories
Funding
- US National Science Foundation
- Turkish Scientific and Technological Research Council (TUBITAK)
Ask authors/readers for more resources
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. (C) 2014 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available