Online Estimation Platform
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:
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]
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]
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]