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

DOI10.1016/J.JECONOM.2023.03.003MaRDI QIDQ2697965zbMATH OpenOpenAlexFDO

Authors 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

risk managementcredit risksystemic riskdegree distributionmarket riskrisk measurementportfolio allocationasset markets

Mathematics Subject Classification ID

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

Cites work

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Cited in

(1)

• Identifying systemically important financial institutions: a network approach

Describes a project that uses

Uses Software

• TETRAD

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