منابع مشابه
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
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 ...
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ژورنال
عنوان ژورنال: Finance Research Letters
سال: 2021
ISSN: 1544-6123
DOI: 10.1016/j.frl.2020.101568