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Autor: Francis X. Diebold
ISBN-13: 9780199338306
Einband: Taschenbuch
Seiten: 288
Gewicht: 408 g
Format: 231x155x15 mm
Sprache: Englisch
Erscheinungsdatum: 03.03.2015

Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring

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In Financial and Macroeconomic Connectedness, Francis Diebold and Kamil Yilmaz propose several connectedness measures for financial and macroeconomic networks based on forecast error variance decompositions from approximating vector autoregressions.
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Chapter 1: Measuring and Monitoring Connectedness; Chapter 2: U.S. Asset Classes; Chapter 3: Major U.S. Financial Institutions; Chapter 4: Global Stock Markets; Chapter 5: Sovereign Bond Markets; Chapter 6: Foreign Exchange Markets; Chapter 7: Assets Across Countries; Chapter 8: Global Business Cycles
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In Financial and Macroeconomic Connectedness, Francis Diebold and Kamil Yilmaz propose several connectedness measures for financial and macroeconomic networks based on forecast error variance decompositions from approximating vector autoregressions.
Autor: Francis X. Diebold, Kamil Yilmaz
Francis X. Diebold is Paul F. and Warren S. Miller Professor of Economics, and Professor of Finance and Statistics, at the University of Pennsylvania and its Wharton School. He has published widely in econometrics, forecasting, finance, and macroeconomics, and he has served on the editorial boards of leading journals including Econometrica, Review of Economics and Statistics, Journal of Business and Economic Statistics, Journal of Applied Econometrics, and International Economic Review.; Kamil Yilmaz holds PhD (1992) and MA (1990) degrees in Economics from the University of Maryland, College Park, and a BA degree in Economics from Bogazici University, Istanbul, Turkey (1987). He has been a faculty member at Koc University, Istanbul, Turkey, since 1994. He was a visiting professor at the University of Pennsylvania in 2003-2004 and 2010-2011 academic years. He is the recipient of the 2003 Turkish Academy of Sciences (TUBA) Encouragement Award for Social Sciences; and a member of the American Economic Association, and the Econometric Society.

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Autor: Francis X. Diebold
ISBN-13:: 9780199338306
ISBN: 0199338302
Erscheinungsjahr: 03.03.2015
Verlag: OXFORD UNIV PR
Gewicht: 408g
Seiten: 288
Sprache: Englisch
Sonstiges: Taschenbuch, 231x155x15 mm