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Claim

On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness

On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness
descriptionPublicationkeyboard_double_arrow_right Article , Preprint , Research , Other literature type 01 Jan 2022Embargo end date: 01 Nov 2022 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068, Copyright policy )
Authors: Diebold, Francis X.; Yilmaz, Kamil;

doi: 10.2139/ssrn.4280588 , 10.1016/j.jeconom.2023.01.021 , 10.48550/arxiv.2211.04184

arXiv: 2211.04184

handle: 10419/296910

On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness

Abstract

We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized.

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Keywords

Contagion, ddc:330, Financial markets, Statistics, Game theory, economics, finance, and other social and behavioral sciences, Econometrics (econ.EM), Variance decompositions, Spillovers, Vector autoregressions, FOS: Economics and business, C1, vector autoregressions, contagion, G1, spillovers, financial markets, variance decompositions, C3, Quantitative Finance - General Finance, General Finance (q-fin.GN), Economics - Econometrics

  • BIP!
    Impact byBIP!
    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 80
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 1%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Top 10%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Top 1%
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
80
Top 1%
Top 10%
Top 1%
Green