Are generalized spillover indices overstating connectedness?
Thomas F.P. Wiesen,
Paul Beaumont (),
Stefan C. Norrbin and
Economics Letters, 2018, vol. 173, issue C, 131-134
Spillover indices computed from VAR models are intended to measure the connectedness between the variables in the system. The generalized spillover index (gSOI) computed using the generalized forecast error variance decomposition is often considerably larger than the conventional spillover index computed from specific Cholesky decompositions leading to the speculation that the gSOI produces an unreasonable measure of connectedness. We demonstrate that the gSOI does not produce unrealistic values.
Keywords: Connectedness; Contagion; Market integration; Market linkage; Variance decomposition (search for similar items in EconPapers)
JEL-codes: C4 C6 C32 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:173:y:2018:i:c:p:131-134
Access Statistics for this article
Economics Letters is currently edited by Economics Letters Editorial Office
More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().