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On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness

Author

Listed:
  • Francis X. Diebold

    (University of Pennsylvania)

  • Kamil Yilmaz

    (Koc University)

Abstract

We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized.

Suggested Citation

  • Francis X. Diebold & Kamil Yilmaz, 2022. "On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness," Koç University-TUSIAD Economic Research Forum Working Papers 2207, Koc University-TUSIAD Economic Research Forum.
  • Handle: RePEc:koc:wpaper:2207
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    File URL: https://eaf.ku.edu.tr/wp-content/uploads/2022/11/erf_wp_2207.pdf
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    More about this item

    Keywords

    Contagion; Spillovers; Financial markets; Vector autoregressions; Variance decompositions.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • G1 - Financial Economics - - General Financial Markets

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