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Measuring the Connectedness of the Global Economy · Study

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ArticleMeasuring the Connectedness of the Global Economy

Matthew Greenwood‐Nimmo2021

Article2021

Measuring the Connectedness of the Global Economy

Matthew Greenwood‐Nimmo · Viet Hoang Nguyen · Yongcheol Shin

73 citations·0/0 files stored·International Journal of Forecasting

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Market Dynamics and Volatility Global Financial Crisis and Policies Financial Risk and Volatility Modeling

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References

2004General Diagnostic Tests for Cross Section Dependence in Panels 1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach

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2024Spillover between investor sentiment and volatility: The role of social media

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Year2021

Typearticle

Published2021-01-01

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations73

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.ijforecast.2020.10.003

openalex_workW3121999587

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