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