Financial and Macroeconomic Connectedness A Network Approach to Measurement and Monitoring |
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| Author:
| Diebold, Francis X.
Yilmaz, Kamil |
| ISBN: | 978-0-19-933830-6 |
| Publication Date: | Mar 2015 |
| Publisher: | Oxford University Press, Incorporated
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| Book Format: | Paperback |
| List Price: | USD $63.00 |
Book Description:
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In Financial and Macroeconomic Connectedness, Francis Diebold and Kamil Yilmaz propose several connectedness measures for financial and macroeconomic networks based on forecast error variance decompositions from approximating vector autoregressions.
In Financial and Macroeconomic Connectedness, Francis Diebold and Kamil Yilmaz propose several connectedness measures for financial and macroeconomic networks based on forecast error variance decompositions from approximating vector autoregressions.