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Refined Measures of Dynamic Connectedness based on TVP-VAR

Antonakakis, Nikolaos and Gabauer, David (2017): Refined Measures of Dynamic Connectedness based on TVP-VAR.

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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.

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