On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
收藏NBER2011-10-01 更新2025-01-04 收录
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https://www.nber.org/papers/w17490
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2011-10-01
