3 papers
econ.EM2026
Simultaneous Clustered Orthogonalization
Bastien Buchwalter, Francis X. Diebold, Kamil Yilmaz
Identification in vector autoregressions involves two distinct choices: how extensively to orthogonalize shocks and whether orthogonality is imposed sequentially or simultaneously.…
econ.EM2026
Scalable Clustered Network Connectedness with Control Variables: Theory and Application to Global Banking
Bastien Buchwalter, Francis X. Diebold, Kamil Yilmaz
We extend the clustered connectedness framework of Buchwalter, Diebold and Yilmaz (2026) in two complementary directions that improve the robustness and interpretability of cross-c…
econ.EM2025
Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets
Bastien Buchwalter, Francis X. Diebold, Kamil Yilmaz
Network connections, both across and within markets, are central in countless economic contexts. In recent decades, a large literature has developed and applied flexible methods fo…