Financial and macroeconomic connectedness: a network approach to measurement and monitoring
Auteur :
Diebold, Francis X.
Éditeur :
Diebold, Francis X.Yilmaz, Kamil,
ISBN :
9780199338290
Date de publication :
2 avr. 2015
Dimensions :
23,5 x 16,2 x 2,0 cm
Poids :
544 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
In Financial and Macroeconomic Connectedness, Francis Diebold and Kamil Yilmaz propose several connectedness measures for financial and macroeconomic networks based on forecast error variance decompositions from approximating vector autoregressions.