Results 11 to 20 of about 138,612 (280)
Measuring Dynamic Connectedness with Large Bayesian VAR Models [PDF]
SSRN Electronic Journal, 2018 We estimate a large Bayesian time-varying parameter vector autoregressive (TVP-VAR) model of daily stock return volatilities for 35 U.S. and European financial institutions.
Korobilis, D, Yilmaz, K
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Dynamic connectedness of UK regional property returns [PDF]
Urban Studies, 2018 In this study, we examine the network topology of UK regional property returns over the period 1973Q4–2014Q4 using a dynamic measure of connectedness developed by Diebold and Yilmaz (2014). Overall, our findings indicate that the transmission of inter-regional property returns shocks is an important source of regional property return fluctuations ...
Antonakakis, Nikos +3 more
core +3 more sources
Dynamic Connectedness of Asian Equity Markets [PDF]
IMF Working Papers, 2016 Understanding how markets are connected and shocks are transmitted is an important issue for policymakers and market participants. In this paper, we examine the connectedness of Asian equity markets within the region and vis-a-vis other major global markets.
Gee Hee Hong, Roberto Guimarães-Filho
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Dynamics of Connectedness in Clean Energy Stocks [PDF]
Energies, 2020 This paper examines the dynamics of connectedness among the realized volatility indices of 16 clean energy stocks belonging to the SPGCE and the implied volatility indices of two important stock markets—the S&P 500 and the STOXX50—and two commodities markets—the crude oil and gold markets.
Fernanda Fuentes, Rodrigo Herrera
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On the connectedness of homomorphisms in topological dynamics [PDF]
Transactions of the American Mathematical Society, 1976 Let (X, T) be a minimal transformation group with compact Hausdorff phase space. We show that if ϕ : ( X , T ) → ( Y , T ) \phi :(X,T) \to (Y,T) is a distal homomorphism and has a structure similar to the structure Furstenberg derived for distal ...
McMahon, D., Wu, T. S.
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Measuring the Dynamics of Global Business Cycle Connectedness [PDF]
SSRN Electronic Journal, 2013 AbstractUsing a connectedness measurement technology fundamentally grounded in modern network theory, the chapter measures real output connectedness for a set of six developed countries, from 1962 to 2010. It shows that global connectedness is sizable and time-varying over the business cycle, and it studies the nature of the time variation relative to ...
Francis X. Diebold, Kamil Yilmaz
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Anadolu Üniversitesi Sosyal Bilimler Dergisi, 2023 This study examines the time-varying connectedness among the realized volatilities of seven major cryptocurrencies between January 2020 and May 2022. To this end, we implement the time and frequency connectedness time-varying parameter vector autoregression (TVP-VAR) approaches. Our findings propose that (i) the COVID-19 pandemic significantly affected
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Resilience and Controllability of Dynamic Collective Behaviors [PDF]
, 2013 The network paradigm is used to gain insight into the structural root causes of the resilience of consensus in dynamic collective behaviors, and to analyze the controllability of the swarm dynamics.
Bouffanais, Roland, Komareji, Mohammad
core +3 more sources
Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis [PDF]
, 2015 This paper measures the connectedness in EMU sovereign market volatility between April 1999 and January 2014, in order to monitor stress transmission and to identify episodes of intensive spillovers from one country to the others.
Fernández Rodríguez, Fernando, 1954- +2 more
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Fear connectedness among asset classes [PDF]
, 2017 This study investigates the interconnection between five implied volatility indices representative of different financial markets during the period August 1, 2008-September 9, 2015.
Andrada-Félix, Julián +2 more
core +2 more sources