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

Francis X. Diebold () and Kamil Yilmaz
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Francis X. Diebold: University of Pennsylvania
Kamil Yilmaz: Koc University

Koç University-TUSIAD Economic Research Forum Working Papers from Koc University-TUSIAD Economic Research Forum

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.

Keywords: Contagion; Spillovers; Financial markets; Vector autoregressions; Variance decompositions. (search for similar items in EconPapers)
JEL-codes: C1 C3 G1 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2022-11
New Economics Papers: this item is included in nep-net
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Persistent link: https://EconPapers.repec.org/RePEc:koc:wpaper:2207

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