Tesi etd-11032021-174742
Link copiato negli appunti
Tipo di tesi
Corso Ordinario Secondo Livello
Autore
CALEMMA, CORRADO
URN
etd-11032021-174742
Titolo
On Higher Moments Identification for Financial VAR Models
Struttura
Cl. Sc. Sociali - Scienze Economiche
Corso di studi
SCIENZE ECONOMICHE E MANAGERIALI - SCIENZE ECONOMICHE E MANAGERIALI
Commissione
Relatore Prof. MONETA, ALESSIO
Tutor Prof. BOTTAZZI, GIULIO
Presidente Prof. BARONTINI, ROBERTO
Membro Prof. FREY, MARCO
Membro Prof. TURCHETTI, GIUSEPPE
Membro Prof. MOSCHELLA, DANIELE
Tutor Prof. BOTTAZZI, GIULIO
Presidente Prof. BARONTINI, ROBERTO
Membro Prof. FREY, MARCO
Membro Prof. TURCHETTI, GIUSEPPE
Membro Prof. MOSCHELLA, DANIELE
Parole chiave
- connectedness
- Financial VAR
- shock identification
Data inizio appello
02/12/2021;
Disponibilità
parziale
Riassunto analitico
Following recent literature about the caveats of using higher moments to identify financial VAR models – arguing that these techniques do not simply exploit more information in the data, but require stronger assumptions on the data generating process than conventional methods – we compare the results provided by a set of data-driven identification strategies employed within the structural version of the framework from Diebold and Yılmaz (2014) to measure financial spillovers among the US, the Eurozone, and selected emerging market economies. We provide economic identification by maximum shock contribution. While results obtained with daily financial data are almost all consistent with a recursive structure, spillover indices obtained with 5-day returns vary significantly across different methods when considering either total spillover indicators or country-specific ones, showing the need not only for strong identification of the models, but also for clear economic interpretations of the differences between similar identification methods1.
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