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Model-free Connectedness Measures by David Gabauer; Ioannis Chatziantoniou; Alexis Stenfors is a Economics, Econometrics and Finance article available to read on EtoBox.

What is Model-free Connectedness Measures about?

This paper introduces a model-free connectedness approach by constraining the model-based connectedness approach of Diebold and Yilmaz (2012). By doing so, we demonstrate how the adoption of this benchmark model is relevant for statistical, theoretical, and practical purposes as well as illuminate analytical relations that have previously been observed only empirically. Moreover, we investigate eight publicly available connectedness datasets and illustrate the differences between model-free and model-based connectedness measures. Finally, robust unconditional connectedness measures are provided.

Who reads Model-free Connectedness Measures?

Author

David Gabauer; Ioannis Chatziantoniou; Alexis Stenfors

Publisher

Elsevier BV

Published

2023

Language

EN

Field

Economics, Econometrics and Finance (Social Sciences)