NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
loading...

On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

Francis X. Diebold, Kamil Yilmaz

NBER Working Paper No. 17490
Issued in October 2011

---- Acknowledgments ----

For helpful comments we thank seminar/conference participants at UCSD, the Federal Reserve Board, the Federal Reserve Bank of Philadelphia, the University of Pennsylvania, NBER Summer Institute, the European Central Bank, Goethe University Frankfurt, Rice University, the Federal Reserve Bank of Kansas City, the International Monetary Fund, the Commodity Futures Trading Commission, the Pew Charitable Trusts, and the Federal Reserve Bank of Cleveland. Special thanks go to Celso Brunetti, Andy Lo, and Mila Getmansky Sherman. For financial support, Diebold thanks the U.S. National Science Foundation and Yilmaz thanks TUBITAK, the Scientific and Technological Research Council of Turkey. The views expressed herein are those of the authors and do not necessarily reflect the views of NSF, TUBITAK or the National Bureau of Economic Research.

return to bibliography page

 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us