UNIVERSITY OF SOUTHERN CALIFORNIA Center for Applied Financial Economics (CAFE) On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
UNIVERSITY OF SOUTHERN CALIFORNIA Center for Applied Financial Economics (CAFE) On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
复制标题
DOI：
--
复制
发表时间：
2011
期刊：
影响因子：
--
通讯作者：
F. Diebold;K. Yilmaz
中科院分区：
文献类型：
--
作者：
F. Diebold;K. Yilmaz
我们提出了几个基于方差分解的关联性度量，我们认为它们提供了金融资产收益和波动性之间的关联性的自然和有洞察力的度量。我们还表明，方差分解定义了加权的有向网络，因此我们的连通性度量与网络文献中使用的关键连通性度量密切相关。在这些洞察的基础上，我们跟踪了美国主要金融机构近年来股票回报波动性的平均和每日随时间变化的关联性，包括2007-2008年金融危机期间。
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so that our connectedness measures are intimately-related to key measures of connectedness used in the network literature. Building on these insights, we track both average and daily time-varying connectedness of major U.S. financial institutions’ stock return volatilities in recent years, including during the financial crisis of 2007-2008.