This paper introduces a model-free connectedness approach by constraining the model-based connectedness approach of Diebold and Yilmaz (2012). By doing so, we demonstrate how the adoption of this benchmark model is relevant for statistical, theoretical, and practical purposes as well as illuminate analytical relations that have previously been observed only empirically. Moreover, we investigate eight publicly available connectedness datasets and illustrate the differences between model-free and model-based connectedness measures. Finally, robust unconditional connectedness measures are provided.

中文翻译：

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无模型连通性测量


本文通过限制 Diebold 和 Yilmaz (2012) 基于模型的连通性方法，引入了无模型连通性方法。通过这样做，我们展示了该基准模型的采用如何与统计、理论和实践目的相关，并阐明了以前仅凭经验观察到的分析关系。此外，我们研究了八个公开可用的连通性数据集，并说明了无模型和基于模型的连通性度量之间的差异。最后，提供了稳健的无条件连通性度量。