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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

Diebold, Francis X.; Yılmaz, Kamil - 2011

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...

Persistent link: https://www.econbiz.de/10010500191

Multivariate density forecast evaluation and calibration in financial risk management : high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - In: The review of economics and statistics 81 (1999) 4, pp. 661-673

Persistent link: https://www.econbiz.de/10001437391

Exchange rate returns standardized by realized volatility are (nearly) Gaussian

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000

Persistent link: https://www.econbiz.de/10001440693

Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - 1999

Persistent link: https://www.econbiz.de/10001426216

The distribution of stock return volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000

Persistent link: https://www.econbiz.de/10001476423

Exchange rate returns standardized by realized volatility are (nearly) Gaussian

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000

Persistent link: https://www.econbiz.de/10001477784

Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - 1998

Persistent link: https://www.econbiz.de/10000998139

Evaluating density forecasts with applications to financial risk management

Diebold, Francis X. - In: International economic review 39 (1998) 4, pp. 863-883

Persistent link: https://www.econbiz.de/10001338810

A no-arbitrage approach to range-based estimation of return covariances and correlations

Brandt, Michael W.; Diebold, Francis X. - 2003

Persistent link: https://www.econbiz.de/10001756564

Forecasting the term structure of government bond yields

Diebold, Francis X.; Li, Canlin - 2003

Persistent link: https://www.econbiz.de/10001816437

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