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Add to list Added to list Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring
Francis X. Diebold (Professor of Economics, Professor of Economics, University of Pennsylvania),Kamil Yilmaz (Professor of Economics, Professor of Economics, Kog University)
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.
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