Antonakakis, Nikolaos; Chatziantoniou, Ioannis; … - In: Journal of risk and financial management : JRFM 13 (2020) 4/84, pp. 1-23
In this study, we enhance the dynamic connectedness measures originally introduced by Diebold and Yılmaz (2012, 2014) with a time-varying parameter vector autoregressive model (TVP-VAR) which predicates upon a time-varying variance-covariance structure. This framework allows to capture possible...
