Journals Higher Education
Important OUP's Response to COVID-19 Learn more



Published: 03 March 2015

288 Pages

6-1/8 x 9-1/4 inches

ISBN: 9780199338306

Also Available As:


Also Available In:

Bookseller Code (06)

Financial and Macroeconomic Connectedness

A Network Approach to Measurement and Monitoring

Francis X. Diebold and Kamil Yilmaz

  • Offers a new approach to the study of financial and macroeconomic connectedness using simple time series techniques to obtain static and dynamic measures of financial and macroeconomic connectedness
  • Proposes a new framework that can be used to uncover and analyze underlying network formation by using daily data on asset returns and their volatilities to study how shocks spread among a group of assets and markets in time
  • Examines the measurement of connectedness among financial markets and/or financial institutions on a global scale, which has been a concern of policy-makers since the global financial crisis in 2008