Model-free connectedness measures

David Gabauer, Ioannis Chatziantoniou and Alexis Stenfors

Finance Research Letters, 2023, vol. 54, issue C

Abstract: 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.

Keywords: Dynamic connectedness; Unconditional connectedness; Model-free; Contemporaneous connectedness (search for similar items in EconPapers)
JEL-codes: C50 F65 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001770

DOI: 10.1016/j.frl.2023.103804

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