Reprint of: On the network topology of variance decompositions: measuring the connectedness of financial firms

DOI10.1016/J.JECONOM.2023.03.003OpenAlexW4323823177MaRDI QIDQ2697965

Francis X. Diebold, Kamil Yilmaz

Publication date: 14 April 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.03.003

zbMATH Keywords

credit riskdegree distributionmarket riskrisk managementsystemic riskrisk measurementportfolio allocationasset markets

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Identifying systemically important financial institutions: a network approach

Uses Software

• TETRAD

Cites Work

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