On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness

DOI10.1016/J.JECONOM.2023.01.021OpenAlexW4318818934MaRDI QIDQ2697971

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://arxiv.org/abs/2211.04184

zbMATH Keywords

spilloversfinancial marketsvariance decompositionsvector autoregressionscontagion

Mathematics Subject Classification ID

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

Uses Software

• Gephi
• ForceAtlas2

Cites Work

• Unnamed Item
• Impulse response analysis in nonlinear multivariate models
• Generalized impulse response analysis in linear multivariate models
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Short Run and Long Run Causality in Time Series: Theory
• Forecasting and conditional projection using realistic prior distributions
• Networks

This page was built for publication: On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness