Connectedness between G10 currencies: Searching for the causal structure
(2022)
Journal Article
Bettendorf, T., & Heinlein, R. (2023). Connectedness between G10 currencies: Searching for the causal structure. International Journal of Finance and Economics, 28(4), 3938-3959. https://doi.org/10.1002/ijfe.2629
This paper presents a new approach for modelling the connectedness between asset returns. We adapt the measure of Diebold and Yilmaz, which is based on the forecast error variance decomposition of a VAR model. However, their connectedness measure hin... Read More about Connectedness between G10 currencies: Searching for the causal structure.