Hi everybody,
I have some issues in understanding how to calculate Diebold-Yilmaz spillover index (Diebold and Yilmaz ,2009). It looks like we do the impulse response (IRF) for shock from each variable and use FEVD to archive the table of step. But i am not sure is that the spillover index for one variable to all order or not. Can anyone confirm or have any other idea on calculate this ? Thank you so much.
I have some issues in understanding how to calculate Diebold-Yilmaz spillover index (Diebold and Yilmaz ,2009). It looks like we do the impulse response (IRF) for shock from each variable and use FEVD to archive the table of step. But i am not sure is that the spillover index for one variable to all order or not. Can anyone confirm or have any other idea on calculate this ? Thank you so much.
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