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Abstract

In this study, we propose refined measures of dynamic connectedness based on a TVP-VAR approach, that overcomes certain shortcomings of the connectedness measures introduced originally by Diebold and Yilmaz 2009, 2012, 2014. We illustrate the advantages of the TVP-VAR-based connectedness approach with an empirical analysis on exchange rate volatility connectedness.



Item Type: MPRA Paper -

Original Title: Refined Measures of Dynamic Connectedness based on TVP-VAR-

Language: English-

Keywords: Dynamic connectedness; TVP-VAR; Exchange rate volatility-

Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space ModelsC - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - GeneralF - International Economics > F3 - International Finance > F31 - Foreign ExchangeG - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets-





Autor: Antonakakis, Nikolaos

Fuente: https://mpra.ub.uni-muenchen.de/78282/



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