Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring

By Francis X. Diebold, K. Yilmaz. 2015

249 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/acecf8fa0741fffcde8a8a82cb47e6a42d0c2e6b

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In Economics and Econometrics

Citations in the corpus

Measuring Dynamic Connectedness with Large Bayesian VAR Models (2018, unknown): “Our starting point is the Diebold-Yilmaz Connectedness Index (DYCI) framework; see Diebold and Yilmaz (2014, 2015) for more information.”
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 (2015, methodology): “Finally, with a value of 81.7%, the total connectedness among twenty-eight FI stocks is higher than the total connectedness measures obtained in other settings, such as the connectedness among different asset classes, or among international stock markets (see Diebold and Yilmaz (2015)).”
The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016, methodology): “Section 3 outlines the directional connectedness measures proposed by Diebold and Yilmaz (2015).”
Modeling systemic risk with Markov Switching Graphical SUR models (2019, background): “…(2005), Corsetti, Pericoli, and Sbracia (2011), Billio et al. (2012), Hautsch, Schaumburg, and Schienle (2015), Barigozzi and Brownlees (2014), Diebold and Yilmaz (2014),Timmermann, Blake, Tonks, and Rossi (2014), Brownlees, Nualart, and Sun (2014), and Diebold and Yilmaz (2015), among others.”
Refined Measures of Dynamic Connectedness based on TVP-VAR (2017, background): “…spillovers (see, inter alia, McMillan and Speight, 2010; Yilmaz, 2010; Bubák et al., 2011; Antonakakis, 2012; Zhou et al., 2012; Antonakakis and Vergos, 2013; Antonakakis and Badinger, 2014; Narayan et al., 2014; Bostanci and Yilmaz, 2015; Diebold and Yılmaz, 2015; Diebold and Yilmaz, 2015).”
Syndication, Interconnectedness, and Systemic Risk (2018, unknown): “…Another way of interpreting this result is that interconnectedness of banks – that builds up during normal times – is a 6 Other market-based measures (e.g., based on stock return volatility) are developed in Diebold and Yilmaz (2014, 2015), Billio et al. (2012) and Hautsch et al. (2015).”
How connected is the global sovereign credit risk network? (2020, methodology): “Fourth, as shown by Diebold and Yilmaz (2015), these measures closely relate to other popular risk measures such as CoVaR (Adrian and Brunnermeier (2008)) and marginal expected shortfall (Acharya et al. (2010)).”
NETS: Network estimation for time series (2019, unknown): “Thus, |T−1 ∑T t=1 yi t| satisfy the Bernstein-type exponential inequality in Theorem 1 by Doukhan and Neumann (2007) (see also Theorem 1.”