On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness
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- Francis X. Diebold & Kamil Yilmaz, 2022. "On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness," Papers 2211.04184, arXiv.org, revised Jan 2023.
References listed on IDEAS
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More about this item
Keywords
Contagion; Spillovers; Financial markets; Vector autoregressions; Variance decompositions.;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-NET-2022-12-05 (Network Economics)
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