Are generalized spillover indices overstating connectedness?

被引：35

作者：

Wiesen, Thomas F. P. ^{[1
]}

Beaumont, Paul M. ^{[2
]}

Norrbin, Stefan C. ^{[2
]}

Srivastava, Anuj ^{[3
]}

机构：

[1] Univ Georgia, Dept Econ, Athens, GA 30602 USA

[2] Florida State Univ, Dept Econ, Room 276 BEL,113 Collegiate Loop,POB 3062180, Tallahassee, FL 32306 USA

[3] Florida State Univ, Dept Stat, Tallahassee, FL 32306 USA

来源：

ECONOMICS LETTERS | 2018年 / 173卷

关键词：

Connectedness; Contagion; Market integration; Market linkage; Variance decomposition; IMPULSE-RESPONSE ANALYSIS; VOLATILITY SPILLOVERS; MARKETS; RETURN;

D O I：

10.1016/j.econlet.2018.10.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：131 / 134

页数：4

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