Measuring Dynamic Connectedness with Large Bayesian VAR Models

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. Based on that model we extract a connectedness index in the spirit of Diebold and Yilmaz (2014) (DYCI). We show that the conne...

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Bibliographic details
Main Author: Korobilis, Dimitris mname
Yilmaz, Kamil mname
Format: Journal Article
Language: English
Place of publication: Istanbul: Koç University-TÜSİAD Economic Research Forum (ERF) 01.01.2018
published in: SSRN Electronic Journal
Data of publication: 2018-01-01
ISSN: 1556-5068
1556-5068
EISSN: 1556-5068
Dewey Decimal Classification: 330
Discipline: Economics
Subjects:
Online Access: available in Bonn?
Database: CrossRef
OpenAIRE (Open Access)
OpenAIRE
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