Francis X Diebold, Kamil Yilmaz

Financial and Macroeconomic Connectedness

A Network Approach to Measurement and Monitoring

• Broschiertes Buch

Produktbeschreibung

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.

Produktdetails

• Verlag: Oxford University Press, USA
• Seitenzahl: 288
• Erscheinungstermin: 3. März 2015
• Englisch
• Abmessung: 231mm x 154mm x 15mm
• Gewicht: 404g
• ISBN-13: 9780199338306
• ISBN-10: 0199338302
• Artikelnr.: 47867657

Autorenporträt

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 Bogaziçi University, Istanbul, Turkey (1987). He has been a faculty member at Koç 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 (TÜBA) Encouragement Award for Social Sciences; and a member of the American Economic Association, and the Econometric Society.

Inhaltsangabe

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