Online Estimation Platform

This website is created to offer everyone who is interested in spillover effects the opportunity to start their own investigations. We strongly believe that this approach is a milestone in econometrics since it demonstrates how shocks spread within a predetermined network which facilitate visualising how the transmission mechanism of different crises worked through various economic channels. As highlighted in Diebold and Yılmaz (2014) this procedure can be used as early warning system for numerous economic entities. Unfortunately, only few statistical softwares include a package regarding this methodology which motivated us to provide a general framework without any barriers for those without programming skills or which stick to a specific software to apply the dynamic connectedness approach . We would be glad if you honour our effort by citing one of our studies in your research if you are using our online implementation.

Replication Papers:

  • Diebold, F. X., & Yılmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171. [ReplicationFiles][Working Paper]

  • Diebold, F. X., & Yılmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66. [ReplicationFiles][Working Paper]

  • Antonakakis, N., & Gabauer, D. (2017). Refined Measures of Dynamic Connectedness based on TVP-VAR. [ReplicationFiles][Working Paper]

  • Antonakakis, N., Cunado, J., Filis, G., Gabauer, D., & Perez de Garcia, F. (2018). Oil volatility, oil and gas firms and portfolio diversification. Energy Economics. [ReplicationFiles][Working Paper]

  • Antonakakis, N., Chatziantoniou, I., Floros, C., & Gabauer, D. (2018). The dynamic connectedness of UK regional property returns. Urban Studies, 0042098017739569. [ReplicationFiles][Working Paper]

  • Gabauer, D. (2020). Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms. Journal of Forecasting, 39(5), 788-796. [ReplicationFiles][Paper]

  • Bouri, E., Gabauer, D., Gupta, R., & Tiwari, A. K. (2021). Volatility connectedness of major cryptocurrencies: The role of investor happiness. Journal of Behavioral and Experimental Finance, 30, 100463. [Paper]

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Replication Papers:

  • Antonakakis, N., Cunado, J., Filis, G., Gabauer, D., & Perez de Garcia, F. (2018). Dynamic Connectedness and Optimal Hedging Strategies among Oil and Other Asset Classes.

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