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.
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]
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]