Financial and macroeconomic connectedness: a network approach to measurement and monitoring
Auteur :
Diebold, Francis X. / Yilmaz, Kamil
Éditeur :
Oxford University Press Inc
ISBN :
9780199338306
Date de publication :
2 avr. 2015
Dimensions :
23,1 x 15,5 x 1,5 cm
Poids :
408 g
Langue :
Anglais
Pays d'origine :
USA
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.