Are generalized spillover indices overstating connectedness?
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DOI: 10.1016/j.econlet.2018.10.007
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… read more here.
Keywords: connectedness; generalized spillover; spillover indices; indices overstating ... See more keywords