Embedded Files
We have developed this website with the aim of enabling individuals interested in spillover effects to conduct their own investigations. We firmly believe that this approach represents a significant milestone in econometrics, as it allows for the visualization of how shocks propagate within a predetermined network and elucidates the transmission mechanism of various crises through different economic channels. As emphasized by Diebold and Yılmaz (2014), this methodology can serve as an early warning system for numerous economic entities. Unfortunately, only a limited number of statistical software packages incorporate this methodology, which has motivated us to provide a comprehensive framework accessible to individuals without programming skills or those who prefer to work with specific software for applying the dynamic connectedness approach. We would greatly appreciate it if you could acknowledge our efforts by citing one of our studies in your research if you utilize our online implementation.
Use the following dataset to test the shiny apps:
acg2020.xlsxReplication Papers:
Diebold, F. X., & Yılmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal. [Replication Files][Working Paper]
Diebold, F. X., & Yılmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting. [Replication Files][Working Paper]
Gabauer, D., & Gupta, R. (2018). On the transmission mechanism of country-specific and international economic uncertainty spillovers: A categorical TVP-VAR decomposition approach. Economics Letters. [Replication Files]
Baruník, J., & Křehlík, T. (2018). Measuring the frequency dynamics of financial connectedness and systemic risk. Journal of Financial Econometrics. [Code example]
Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2020). Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management. [Replication Files][Working Paper]
Gabauer, D. (2020). Volatility impulse responses for DCC-GARCH: The role of volatility transmission mechanisms. Journal of Forecasting. [Replication Files][Paper]
Chatziantoniou, I., & Gabauer, D. (2021). EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness. Quarterly Review of Economics & Finance Economics. [Replication Files]
Chatziantoniou, I., Gabauer, D., & Stenfors, A. (2021). Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach. Economics Letters. [Replication Files]
Lastrapes, W.D., & Wiesen, T.F.P. (2021). The joint spillover index. Economic Modelling. [Replication Files]
Balcilar, M., Gabauer, D., & Umar, Z. (2021). Crude oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. Resources Policy. [Replication Files]
Chatziantoniou, I., Gabauer, D., & Gupta, R. (2023). Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach. Resources Policy. [Replication Files]
Adekoya, O. B., Akinseye, A. B., Antonakakis, N., Chatziantoniou, I., Gabauer, D., & Oliyide, J. (2022). Crude oil and Islamic sectoral stocks: Asymmetric TVP-VAR connectedness and investment strategies. Resources Policy. [Replication Files]
Chatziantoniou, I., Abakah, E. J. A., Gabauer, D., & Tiwari, A. K. (2022). Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets. Journal of Cleaner Production. [Replication Files]
Broadstock, D. C., Chatziantoniou, I., & Gabauer, D. (2022). Minimum connectedness portfolios and the market for green bonds: Advocating socially responsible investment (SRI) activity. In Applications in Energy Finance: The Energy Sector, Economic Activity, Financial Markets and the Environment (pp. 217-253). Cham: Springer International Publishing. [Replication Files]
Stenfors, A., Chatziantoniou, I., & Gabauer, D. (2022). Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves. Journal of International Financial Markets, Institutions and Money. [Replication Files]
Gabauer, D., Chatziantoniou, I., & Stenfors, A. (2023). Model-free connectedness measures. Finance Research Letters. [Replication Files]
dy2012.movReplication Papers:
Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2021). The impact of Euro through time: Exchange rate dynamics under different regimes. International Journal of Finance & Economics.
Antonakakis, N., Cunado, J., Filis, G., Gabauer, D., & de Gracia, F. P. (2020). Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness. Energy Economics. [Replication Files][Working Paper]
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