Refined Measures of Dynamic Connectedness based on TVP-VAR

Nikolaos Antonakakis and David Gabauer

MPRA Paper from University Library of Munich, Germany

Abstract: In this study, we propose refined measures of dynamic connectedness based on a TVP-VAR approach, that overcomes certain shortcomings of the connectedness measures introduced originally by Diebold and Yilmaz (2009, 2012, 2014). We illustrate the advantages of the TVP-VAR-based connectedness approach with an empirical analysis on exchange rate volatility connectedness.

Keywords: Dynamic connectedness; TVP-VAR; Exchange rate volatility (search for similar items in EconPapers)
JEL-codes: C32 C50 F31 G15 (search for similar items in EconPapers)
Date: 2017-04-12
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (144)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:78282

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