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Estimating Global Bank Network Connectedness
Demirer, Mert - 2017
dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a … the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and … Debt Crisis, and with movements coming mostly from changes in cross-country as opposed to within-country bank linkages …
Persistent link: https://www.econbiz.de/10012455541
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Estimating Global Bank Network Connectedness
Demirer, Mert - 2017
dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a … the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and … Debt Crisis, and with movements coming mostly from changes in cross-country as opposed to within-country bank linkages …
Persistent link: https://www.econbiz.de/10012963187
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On the Network Topology of Variance Decompositions : Measuring the Connectedness of Financial Firms
Diebold, Francis X. - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10012461167
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On the Network Topology of Variance Decompositions : Measuring the Connectedness of Financial Firms
Diebold, Francis X. - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10013119773
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Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
Diebold, Francis X. - 2008
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10012464836
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Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
Diebold, Francis X. - 2010
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10012759516
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Machine Learning for Regularized Survey Forecast Combination : Partially-Egalitarian Lasso and its Derivatives
Diebold, Francis X. - 2018
Bank Survey of Professional Forecasters, our procedures outperform simple average and median forecasts – indeed they …
Persistent link: https://www.econbiz.de/10012911728
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Machine Learning for Regularized Survey Forecast Combination : Partially-Egalitarian Lasso and its Derivatives
Diebold, Francis X. - 2018
Bank Survey of Professional Forecasters, our procedures outperform simple average and median forecasts - indeed they …
Persistent link: https://www.econbiz.de/10012480620
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On the Aggregation of Probability Assessments : Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - National Bureau of Economic Research - 2022
regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts …
Persistent link: https://www.econbiz.de/10012814410
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Ratings migration and the business cycle, with application to credit portfolio stress testing
Bangia, Anil; Diebold, Francis X.; Kronimus, André; … - In: Journal of banking & finance 26 (2002) 2/3, pp. 445-474
Persistent link: https://www.econbiz.de/10001654345