英文标题：
《Measuring the frequency dynamics of financial connectedness and systemic
risk》
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作者：
Jozef Barunik and Tomas Krehlik
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最新提交年份：
2017
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英文摘要：
We propose a new framework for measuring connectedness among financial variables that arises 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 US 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.
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中文摘要：
我们提出了一个新的框架，用于测量因对冲击的异质频率响应而产生的金融变量之间的连通性。为了估计短期、中期和长期金融周期的连通性，我们引入了一个基于方差分解谱表示的框架。在一个实证应用中，我们记录了美国金融机构波动关联性的丰富时频动态。从经济上讲，在高频率建立联系的时期，股票市场似乎能够快速而平静地处理信息，对系统中一项资产的冲击将主要在短期内产生影响。当连接在较低的频率下产生时，这表明冲击是持续的，并且传播的时间更长。
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分类信息：

一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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