Financial and Macroeconomic Connectedness
Francis X. Diebold, Kamil Yılmaz
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- Offers a new approach to the study of financial and macroeconomic connectedness using simple time series techniques to obtain static and dynamic measures of financial and macroeconomic connectedness
- Proposes a new framework that can be used to uncover and analyze underlying network formation by using daily data on asset returns and their volatilities to study how shocks spread among a group of assets and markets in time
- Examines the measurement of connectedness among financial markets and/or financial institutions on a global scale, which has been a concern of policy-makers since the global financial crisis in 2008
Yayınevi: Oxford University Press
Sayfa Sayısı: 288
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