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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… Click to show full abstract
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;
generalized spillover;
spillover indices;
indices overstating;
overstating connectedness;
gsoi
Journal Title: Economics Letters
Year Published: 2018
Link to full text (if available)
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Journal Title: Economics Letters
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!