期刊
JOURNAL OF ECONOMETRICS
卷 182, 期 1, 页码 119-134出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2014.04.012
关键词
Risk measurement; Risk management; Portfolio allocation; Market risk; Credit risk; Systemic risk; Asset markets; Degree distribution
资金
- US National Science Foundation
- Turkish Scientific and Technological Research Council (TUBITAK)
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.
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