Are generalized spillover indices overstating connectedness?

DOI10.1016/j.econlet.2018.10.007zbMath1402.62343OpenAlexW2896861861WikidataQ129109234 ScholiaQ129109234MaRDI QIDQ1627007

Stefan C. Norrbin, Paul M. Beaumont, Anuj Srivastava, Thomas F. P. Wiesen

Publication date: 22 November 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.10.007

zbMATH Keywords

connectednesscontagionvariance decompositionmarket integrationmarket linkage

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Impulse response analysis in nonlinear multivariate models
• Generalized impulse response analysis in linear multivariate models
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Relative Importance by Averaging Over Orderings

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