Diebold-Yilmaz index

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dakila
Posts: 308
Joined: Tue Nov 24, 2015 4:57 pm

Diebold-Yilmaz index

Postby dakila » Wed Apr 25, 2018 4:32 am

This thread is about the dyindex add-in that estimates the Diebold-Yilmaz index of spillover using forecast error variance decomposition method of a VAR model.

paolo.zanghieri
Posts: 11
Joined: Wed Mar 05, 2014 10:52 am

Re: Diebold-Yilmaz index

Postby paolo.zanghieri » Mon Apr 30, 2018 1:29 am

Great. Very useful add in. Is there a way to recover the time series of the pairwise interconnection measures?
Thanks

dakila
Posts: 308
Joined: Tue Nov 24, 2015 4:57 pm

Re: Diebold-Yilmaz index

Postby dakila » Tue May 01, 2018 7:03 pm

The add-in is updated to include the option to save the pairwise spillovers.

paolo.zanghieri
Posts: 11
Joined: Wed Mar 05, 2014 10:52 am

Re: Diebold-Yilmaz index

Postby paolo.zanghieri » Tue May 08, 2018 1:58 am

thanks a lot. Just a final clarification. the series pc_i_J must be interpreded as share of unit i's variability due to j? Moreover each column in the fromvar (tovar) matric is the chare of variance due to (contributing to) other units, right? thanks again

dakila
Posts: 308
Joined: Tue Nov 24, 2015 4:57 pm

Re: Diebold-Yilmaz index

Postby dakila » Tue May 08, 2018 11:00 am

yes


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