Jozef Barunik, Michael Ellington
arXiv 14 Jul 2020 · Econometrics · publishedEuropean Journal of Operational Research (2023) · 47 citations (OpenAlex)
arXiv:2007.07842 · PDF · DOI · OpenAlex · Extracted main text
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature. Our approach allows us to test for statistical differences in such dynamic links. We document substantial differences in transitory and persistent linkages among US financial industry volatilities, argue that they track heterogeneously persistent sources of systemic risk, and thus may serve as a useful tool for market participants.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Diebold, F. X. and K. Yilmaz (2014) On the network topology of variance decompositions: Measuring the connectedness of financial firms | 0.928 | 4 | 3 | 100% |
| 2 | Li, Y., X.-B. Liu, and J. Yu (2015) A Bayesian chi-squared test for hypothesis testing | 0.811 | 4 | 2 | 100% |
| 3 | Gabaix, X (2011) The granular origins of aggregate fluctuations | 0.737 | 3 | 2 | 100% |
| 4 | Herskovic, B., B. Kelly, H. Lustig, and S. Van Nieuwerburgh (2020) Firm volatility in granular networks | 0.737 | 3 | 2 | 100% |
| 5 | Petrova, K (2019) A quasi-Bayesian local likelihood approach to time varying parameter VAR models | 0.644 | 4 | 1 | 100% |
| 6 | Acemoglu, D., V. M. Carvalho, A. Ozdaglar, and A. Tahbaz-Salehi (2012) The network origins of aggregate fluctuations | 0.644 | 2 | 2 | 100% |
| 7 | Acemoglu, D., A. Ozdaglar, and A. Tahbaz-Salehi (2017) Microeconomic origins of macroeconomic tail risks | 0.644 | 2 | 2 | 100% |
| 8 | Acharya, V. V., L. H. Pedersen, T. Philippon, and M. Richardson (2017) Measuring systemic risk | 0.644 | 2 | 2 | 100% |
| 9 | Adrian, T. and M. K. Brunnermeier (2016) Covar | 0.644 | 2 | 2 | 100% |
| 10 | Atalay, E (2017) How important are sectoral shocks? | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 61 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Structural Analysis of Vector Autoregressive Models | 0.405 | 1 | 1 |