We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...

Using a connectedness-measurement technology fundamentally grounded in modern network theory, we measure real output connectedness for a set of six developed countries, 1962-2010. We show that global connectedness is sizable and time-varying over the business cycle, and we study the nature of...

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...

Notwithstanding its impressive contributions to empirical financial economics, there remains a significant gap in the volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return volatility. We progress by analyzing a broad...

We propose and explore several related ways of reducing reliance of point forecast accuracy evaluation on expected loss, E(L(e)), where e is forecast error. Our central approach dispenses with the loss function entirely, instead using a \stochastic error divergence" (SED) accuracy measure based...

I investigate Big Data, the phenomenon, the term, and the discipline, with emphasis on origins of the term, in industry and academics, in computer science and statistics/econometrics. Big Data the phenomenon continues unabated, Big Data the term is now firmly entrenched, and Big Data the...

We propose point forecast accuracy measures based directly on distance of the forecast-error c.d.f. from the unit step function at 0 (\stochastic error distance," or SED). We provide a precise characterization of the relationship between SED and standard predictive loss functions, showing that...

I investigate the origins of the now-ubiquitous term ”Big Data," in industry and academics, in computer science and statistics/econometrics. Credit for coining the term must be shared. In particular, John Mashey and others at Silicon Graphics produced highly relevant (unpublished,...

A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that background, we assess the dynamics in realized betas,...

Engle’s footsteps range widely. His major contributions include early work on band-spectral regression, development and unification of the theory of model specification tests (particularly Lagrange multiplier tests), clarification of the meaning of econometric exogeneity and its relationship...