Refined Measures of Dynamic Connectedness based on TVP-VAR

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.

MoreLess

Year of publication:	2017-04-12
Authors:	Antonakakis, Nikolaos ; Gabauer, David

More details

Type of publication:	Book / Working Paper
Language:	English
Notes:	Antonakakis, Nikolaos and Gabauer, David (2017): Refined Measures of Dynamic Connectedness based on TVP-VAR.
Classification:	C32 - Time-Series Models ; C50 - Econometric Modeling. General ; F31 - Foreign Exchange ; G15 - International Financial Markets
Source:	BASE

Persistent link: https://www.econbiz.de/10015255591