Financial and Macroeconomic Connectedness is important for a number of financial activities, including but not limited to, risk management, asset allocation, and investment. Since its introduction, the connectedness method proposed by Diebold and Yilmaz (2014) has become one of the most popular econometrics approaches to measuring the connectedness index among financial and macroeconomic variables. There have been a number of high-quality journal articles using this approach over the last five years. Luckily, you do not need to be an econometrician and programmer to use this method. This post gives you the information about two sources that you can exploit to perform the Diebold and Yilmaz method easily:
- Dr. David Gabauer establishes an online platform to run the method for the VAR and TVP-VAR model. You just need to upload the excel file of the data and the online platform will run all the steps and return the outputs. Link.
- If you are familiar with R, you can exploit the R packages for estimating the Diebold and Yilmaz connectedness. You can use the Frequency Connectedness R package for this task. Link