On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness

JOURNAL OF ECONOMETRICS（2023）

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摘要

We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized. (c) 2023 Elsevier B.V. All rights reserved.

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Contagion Spillovers Financial markets,Vector autoregressions,Variance decompositions

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