Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Thomas F. P. Wiesen"'
Publikováno v:
Economic Modelling. 94:681-691
We propose an alternative measure of system-wide connectedness to the popular generalized spillover index, based on generalized forecast error variance decompositions, of Diebold and Yilmaz (2012, 2014). Our measure relies on joint conditional foreca
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::69e7bfd2c9ff438ff1485835b6bf19a3
https://doi.org/10.1016/j.econmod.2020.02.010
https://doi.org/10.1016/j.econmod.2020.02.010
Autor:
Lakshya Bharadwaj, Thomas F. P. Wiesen
Publikováno v:
SSRN Electronic Journal.
A growing literature has employed the existing generalized spillover measures of Diebold and Yilmaz (2012, 2014) to measure the connectedness—or market integration—of cryptocurrencies. This method, while useful, does not properly control for the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::81986040bda157e921974d4dfd208f59
https://doi.org/10.2139/ssrn.3894530
https://doi.org/10.2139/ssrn.3894530
Autor:
Beaumont Pm, Thomas F. P. Wiesen
Publikováno v:
SSRN Electronic Journal.
We introduce a joint impulse response function (jIRF) that is independent of the order of the variables and allows for simultaneous shocks from multiple variables in the VAR, rather than one at a time as in the generalized IRF. Many applications call
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fbc9306be07f0b717d0f7e0665880cdf
https://doi.org/10.2139/ssrn.3518133
https://doi.org/10.2139/ssrn.3518133