This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance …, system-wide connectedness averages out the information embedded in the covariance matrix in aggregating pairwise directional … model is estimated for different shock sizes. It is shown, in contrast to the DYCI model, the dynamic quantile estimation of …

We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top … 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and dynamic network … connectedness using rolling-window estimation. Statistically, we find that global banking connectedness is clearly linked to bank …

Tantrum of mid-2013 and the ECB’s policy convergence to other major central banks in 2015, the long-term return connectedness … across countries increased, overtaking the short-term connectedness and lowering the dispersion of connectedness measures … across maturities. Over the same period, net connectedness from short- to long-term maturities weakens, while net …