On the network topology of variance decompositions: Measuring the connectedness of financial firms

Journal of Econometrics

Volumn 182, Issue 1, 2014, Pages 119-134

  Diebold, Francis X ^a   Yilmaz, Kamil ^b  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b KOÇ UNIVERSITY   (Turkey)

Author keywords

Asset markets; Credit risk; Degree distribution; Market risk; Portfolio allocation; Risk management; Risk measurement; Systemic risk

Indexed keywords

COMMERCE; ELECTRIC NETWORK TOPOLOGY; INVESTMENTS; RISK MANAGEMENT;

ASSET MARKETS; CREDIT RISKS; DEGREE DISTRIBUTIONS; MARKET RISKS; PORTFOLIO ALLOCATION; RISK MEASUREMENT; SYSTEMIC RISKS;

RISK ASSESSMENT;

EID: 84901841234     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2014.04.012     Document Type: Conference Paper

References (39)

1. D. Acemoglu, A. Ozdaglar, and A. Tahbaz-Salehi Cascades in Networks and Aggregate Volatility 2010 MIT Manuscript
2. V.V. Acharya, R. Engle, and M. Richardson Capital shortfall: a new approach to ranking and regulating systemic risks American Economic Review Papers and Proceedings 102 May 2012 59 64
3. Acharya, V., Pedersen, L., Philippe, T., Richardson, M., 2010. Measuring systemic risk, Manuscript, Stern School, New York University.
4. Adamic, L., Brunetti, C., Harris, J., Kirilenko, A., 2010. Trading networks, Manuscript, University of Michigan.
5. Adrian, T., Brunnermeier, M., 2011. CoVaR, NBER Working Paper No. 17454.
6. F. Allen, A. Babus, and E. Carletti Asset commonality, debt maturity and systemic risk J. Financ. Econ. 104 2012 519 534
7. T.G. Andersen, T. Bollerslev, P.F. Christoffersen, and F.X. Diebold Financial risk measurement for financial risk management M. Harris, G. Constantinedes, R. Stulz, Handbook of the Economics of Finance, vol. 2, Part B 2013 Elsevier 1127 1220
8. T.G. Andersen, T. Bollerslev, and F.X. Diebold Parametric and nonparametric volatility measurement L.P. Hansen, Y. Aït-Sahalia, Handbook of Financial Econometrics 2010 Elsevier 67 138
9. T.G. Andersen, T. Bollerslev, F.X. Diebold, and P. Labys Modeling and forecasting realized volatility Econometrica 71 2003 579 625
10. M.L. Bech, and E. Atalay The topology of the federal funds market Physica A 389 2011 5223 5246
11. B.S. Bernanke Alternative explanations of the money income correlation Carnegie-Rochester Conference Series on Public Policy 25 1986 49 100
12. M. Billio, M. Getmansky, A.W. Lo, and L. Pelizzon Econometric measures of connectedness and systemic risk in the finance and insurance sectors J. Financ. Econ. 104 2012 535 559
13. Brownlees, C., Engle, R.F., 2011. Volatility, correlation and tails for systemic risk measurement. Manuscript, Stern School, New York University.
14. M. Del Negro, and F. Schorfheide Bayesian macroeconometrics J. Geweke, G. Koop, H. van Dijk, The Oxford Handbook of Bayesian Econometrics 2011 Oxford University Press 293 389
15. F.X. Diebold, and K. YIlmaz Measuring financial asset return and volatility spillovers, with application to global equity markets Economic J. 119 2009 158 171
16. F.X. Diebold, and K. YIlmaz Better to give than to receive: predictive directional measurement of volatility spillovers (with discussion) Int. J. Forecast. 28 2012 57 66
17. J.-M. Dufour, and E. Renault Short-run and long-run causality in time series: theory Econometrica 66 1998 1099 1125
18. J.-M. Dufour, and A. Taamouti Short and long run causality measures: theory and inference J. Econom. 154 2010 42 58
19. D. Easley, and J. Kleinberg Networks, Crowds and Markets 2010 Cambridge University Press
20. R.F. Engle, and B.T. Kelly Dynamic equicorrelation J. Bus. Econom. Statist. 30 2012 212 228
21. P. Erdos, and A. Rényi On random graphs Publ. Math. 6 1959 290 297
22. C. Glymour, R. Scheines, and P. Spirtes Causation, Prediction and Search 1993 Springer
23. C. Glymour, R. Scheines, P. Spirtes, and K. Kelly Discovering Causal Structure 1987 Academic Press
24. C.W.J. Granger Non-linear models: where do we go next - time varying parameter models? Stud. Nonlinear Dyn. E. 12 2008 1 9
25. P.R. Hansen, and A. Lunde Estimating the persistence and the autocorrelation function of a time series that is measured with error Econometric Theory 2014 in press
26. Hautsch, N., Schaumburg, J., Schienle, M., 2012. Financial network systemic risk contributions, Discussion Paper 2012-053, CRC 649, Humboldt-Universitt zu Berlin.
27. M.O. Jackson Social and Economic Networks 2008 Princeton University Press
28. W.T. Kelvin Popular Lectures and Addresses (three volumes) 1891 MacMillan and Company
29. G. Koop, M.H. Pesaran, and S.M. Potter Impulse response analysis in nonlinear multivariate models J. Econom. 74 1996 119 147
30. R. Lowenstein The End of Wall Street 2010 Penguin Press
31. M.E.J. Newman Networks: An Introduction 2010 Oxford University Press
32. J. Pearl Causality: Models, Reasoning, and Inference 2000 Cambridge University Press
33. H.H. Pesaran, and Y. Shin Generalized impulse response analysis in linear multivariate models Econom. Lett. 58 1998 17 29
34. F. Schweitzer, G. Fagiolo, D. Sornette, F. Vega-Redondo, A. Vespignani, and D.R. White Economic networks: the new challenges Science 325 2009 422 425
35. C.A. Sims Macroeconomics and reality Econometrica 48 1980 1 48
36. N.R. Swanson, and C.W.J. Granger Impulse response functions based on a causal approach to residual orthogonalization in vector autoregressions J. Amer. Statist. Assoc. 92 1997 357 367
37. D. Watts, and S. Strogatz Collective dynamics of small-world networks Nature 393 1998 440 442
38. H. White Estimation, Inference and Specification Analysis 1994 Cambridge University Press
39. H. White, and K. Chalak Settable systems: an extension of pearl's causal model with optimization, equilibrium, and learning J. Mach. Learn. Res. 10 2009 1759 1799