Antonakakis, Nikolaos and Gabauer, David (2017): Refined Measures of Dynamic Connectedness based on TVP-VAR.
Preview |
PDF
MPRA_paper_78282.pdf Download (2MB) | Preview |
Abstract
In this study, we propose refined measures of dynamic connectedness based on a TVP-VAR approach, that overcomes certain shortcomings of the connectedness measures introduced originally by Diebold and Yilmaz (2009, 2012, 2014). We illustrate the advantages of the TVP-VAR-based connectedness approach with an empirical analysis on exchange rate volatility connectedness.
Item Type: | MPRA Paper |
---|---|
Original Title: | Refined Measures of Dynamic Connectedness based on TVP-VAR |
Language: | English |
Keywords: | Dynamic connectedness; TVP-VAR; Exchange rate volatility |
Subjects: | C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General F - International Economics > F3 - International Finance > F31 - Foreign Exchange G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets |
Item ID: | 78282 |
Depositing User: | Nikolaos Antonakakis |
Date Deposited: | 19 Apr 2017 11:28 |
Last Modified: | 27 Sep 2019 08:04 |
References: | Antonakakis, N. (2012). Exchange Return Co-movements an Volatility Spillovers Before and After the Introduction of Euro. Journal of International Financial Markets, Institutions and Money, 22(5):1091-1109. Antonakakis, N. and Badinger, H. (2014). International business cycle spillovers since the 1870s. Applied Economics, 46(30):3682-3694. Antonakakis, N. and Vergos, K. (2013). Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis. Journal of International Financial Markets, Institutions and Money, 26:258-272. Barunik, J., Kocenda, E., and Vacha, L. (2016). Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers. Journal of Financial Markets, 27:55-78. Bostanci, G. and Yilmaz, K. (2015). How connected is the global sovereign credit risk network? Koc University-TUSIAD Economic Research Forum Working Papers 1515, Koc University- TUSIAD Economic Research Forum. Bubak, V., Kocenda, E., and Zikes, F. (2011). Volatility Transmission in Emerging European Foreign Exchange Markets. Journal of Banking & Finance, 35(11):2829-2841. Diebold, F. X. and Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534):158-171. Diebold, F. X. and Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1):57-66. Diebold, F. X. and Yilmaz, K. (2014). On the network topology of variance decompositions: Measuring the connectedness of �nancial �rms. Journal of Econometrics, 182(1):119-134. Diebold, F. X. and Yilmaz, K. (2015). Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring. Oxford University Press, USA. Diebold, F. X. and Yilmaz, K. (2015). Trans-Atlantic equity volatility connectedness: U.S. and European financial institutions, 2004-2014. Journal of Financial Econometrics, 14(1):81-127. Kalman, R. E. (1960). A new approach to linear filtering and prediction problems. Journal of Basic Engineering, 82(1):35-45. Koop, G. and Korobilis, D. (2014). A new index of financial conditions. European Economic Review, 71:101-116. Koop, G., Pesaran, M. H., and Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1):119-147. McMillan, D. G. and Speight, A. E. (2010). Return and volatility spillovers in three euro exchange rates. Journal of Economics and Business, 62(2):79-93. Narayan, P. K., Narayan, S., and K.P, P. (2014). Stock returns, mutual fund flows and spillover shocks. Pacific-Basin Finance Journal, 29(C):146-162. Pesaran, H. H. and Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1):17-29. Yilmaz, K. (2010). Return and volatility spillovers among the east Asian equity markets. Journal of Asian Economics, 21(3):304-313. Zhou, X., Zhang, W., and Zhang, J. (2012). Volatility Spillovers Between the Chinese and World Equity Markets. Pacific-Basin Finance Journal, 20(2):247-270. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/78282 |