Model-free connectedness measures

被引：17

作者：

Gabauer, David ^{[1
]}

Chatziantoniou, Ioannis ^{[2
]}

Stenfors, Alexis ^{[3
]}

机构：

[1] Software Competence Ctr Hagenberg, Data Anal Syst, Hagenberg, Austria

[2] Hellen Mediterranean Univ, Dept Accounting & Finance, Lab Accounting & Financial Management LAFIM, Iraklion, Greece

[3] Univ Portsmouth, Sch Accounting Econ & Finance, Portland St, Portsmouth PO1 3DE, Hampshire, England

来源：

FINANCE RESEARCH LETTERS | 2023年 / 54卷

关键词：

Dynamic connectedness; Unconditional connectedness; Model-free; Contemporaneous connectedness; IMPULSE-RESPONSE ANALYSIS; UNCERTAINTY; SPILLOVERS;

D O I：

10.1016/j.frl.2023.103804

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper introduces a model-free connectedness approach by constraining the model-based connectedness approach of Diebold and Yilmaz (2012). By doing so, we demonstrate how the adoption of this benchmark model is relevant for statistical, theoretical, and practical purposes as well as illuminate analytical relations that have previously been observed only empirically. Moreover, we investigate eight publicly available connectedness datasets and illustrate the differences between model-free and model-based connectedness measures. Finally, robust unconditional connectedness measures are provided.

引用

页数：10

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