Model-free connectedness measures

David Gabauer, Ioannis Chatziantoniou, Alexis Stenfors*

*Corresponding author for this work

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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.

Original languageEnglish
Article number103804
Number of pages10
JournalFinance Research Letters
Early online date13 Apr 2023
Publication statusPublished - 1 Jun 2023


  • Contemporaneous connectedness
  • Dynamic connectedness
  • Model-free
  • Unconditional connectedness

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