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Thank you very much for the useful comments. actually, I have set up several models with varying time horizons and converging results. I also tried different lag length, order of variables etc. for robustness checks. However, I am now mainly interested in how to interpret the results of FEVD qualita...

Hello, is someone familiar with vector autoregressive models (VAR-models) and forecast error variance decomposition (FEVD) and can help me with following issue?? I have set up two bivariate VAR-models with lag length 1. The variables are: XA = daily time series of trading volume on stock exchange in...