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

DOI10.1016/j.jeconom.2023.03.003OpenAlexW4323823177MaRDI QIDQ2697965

Francis X. Diebold, Kamil Yilmaz

Publication date: 14 April 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.03.003

zbMATH Keywords

credit riskdegree distributionmarket riskrisk managementsystemic riskrisk measurementportfolio allocationasset markets

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Identifying systemically important financial institutions: a network approach

Uses Software

• TETRAD

Cites Work

• Impulse response analysis in nonlinear multivariate models
• Generalized impulse response analysis in linear multivariate models
• Causation, prediction, and search
• Short and long run causality measures: theory and inference
• The Oxford Handbook of Bayesian Econometrics
• Economic Networks: The New Challenges
• Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?
• Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
• Short Run and Long Run Causality in Time Series: Theory
• ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR
• Collective dynamics of ‘small-world’ networks
• Modeling and Forecasting Realized Volatility
• Networks
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