| bibtype |
J -
Journal Article
|
| ARLID |
0495171 |
| utime |
20240103220727.4 |
| mtime |
20181024235959.9 |
| SCOPUS |
85047926946 |
| WOS |
000430717500005 |
| DOI |
10.1093/jjfinec/nby001 |
| title
(primary) (eng) |
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk |
| specification |
| page_count |
26 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0344593 |
| ISSN |
1479-8409 |
| title
|
Journal of Financial Econometrics |
| volume_id |
16 |
| volume |
2 (2018) |
| page_num |
271-296 |
| publisher |
| name |
Oxford University Press |
|
|
| keyword |
connectedness |
| keyword |
frequency |
| keyword |
spectral analysis |
| keyword |
systemic risk |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| share |
50 |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| country |
CZ |
| garant |
K |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0327877 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| share |
50 |
| name1 |
Křehlík |
| name2 |
Tomáš |
| institution |
UTIA-B |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA16-14179S |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0350251 |
|
| abstract
(eng) |
We propose a new framework for measuring connectedness among financial variables that arise due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a framework based on the spectral representation of variance decompositions. In an empirical application, we document the rich time-frequency dynamics of volatility connectedness in U.S. financial institutions. Economically, periods in which connectedness is created at high frequencies are periods when stock markets seem to process information rapidly and calmly, and a shock to one asset in the system will have an impact mainly in the short term. When the connectedness is created at lower frequencies, it suggests that shocks are persistent and are being transmitted for longer periods. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2019 |
| num_of_auth |
2 |
| mrcbC52 |
4 A hod 4ah 20231122143508.5 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0288956 |
| mrcbC64 |
1 Department of Econometrics UTIA-B 50202 ECONOMICS |
| confidential |
S |
| mrcbC86 |
1* Article Business Finance|Economics |
| mrcbT16-e |
BUSINESSFINANCE|ECONOMICS |
| mrcbT16-j |
1.561 |
| mrcbT16-s |
2.282 |
| mrcbT16-B |
81.492 |
| mrcbT16-D |
Q1 |
| mrcbT16-E |
Q1 |
| arlyear |
2018 |
| mrcbTft |
\nSoubory v repozitáři: barunik-0495171.pdf |
| mrcbU14 |
85047926946 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000430717500005 WOS |
| mrcbU63 |
cav_un_epca*0344593 Journal of Financial Econometrics 1479-8409 1479-8417 Roč. 16 č. 2 2018 271 296 Oxford University Press |
|