IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Measuring Dynamic Connectedness with Large Bayesian VAR Models

Listed author(s):
  • Dimitris Korobilis

    (University of Essex)

  • Kamil Yilmaz

    ()

    (Koc University)

Registered author(s):

    We estimate a large Bayesian time-varying parameter vector autoregressive (TVP-VAR) model of daily stock return volatilities for 35 U.S. and European financial institutions. Based on that model we extract a connectedness index in the spirit of Diebold and Yilmaz (2014) (DYCI). We show that the connectedness index from the TVP-VAR model captures abrupt turning points better than the one obtained from rolling-windows VAR estimates. As the TVP-VAR based DYCI shows more pronounced jumps during important crisis moments, it captures the intensification of tensions in financial markets more accurately and timely than the rolling-windows based DYCI. Finally, we show that the TVP-VAR based index performs better in forecasting systemic events in the American and European financial sectors as well.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://eaf.ku.edu.tr/sites/eaf.ku.edu.tr/files/erf_wp_1802.pdf
    Download Restriction: no

    Paper provided by Koc University-TUSIAD Economic Research Forum in its series Koç University-TUSIAD Economic Research Forum Working Papers with number 1802.

    as
    in new window

    Length: 31 pages
    Date of creation: Jan 2018
    Handle: RePEc:koc:wpaper:1802
    Contact details of provider: Postal:
    Rumelifeneri Yolu, Sarıyer, 34450 İstanbul

    Phone: (90+212)-338-1302
    Fax: (90+212)-338-1393
    Web page: http://erf.ku.edu.tr
    Email:


    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:koc:wpaper:1802. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sumru Oz)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.