How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study

•This paper replicates the Diebold and Yilmaz, DY, (2012) study on financial markets connectedness.•The markets are the commodity and the stock, bond, FX for the US.•Similar to DY, we use use the Generalized Forecast Error Variance Decomposition, GEFVD.•We compare normalization schemes to GEVD.•We s...

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Veröffentlicht in:	Energy economics 2019-10, Vol.84, p.104536, Article 104536
Hauptverfasser:	Caloia, Francesco Giuseppe, Cipollini, Andrea, Muzzioli, Silvia
Format:	Artikel
Sprache:	eng
Schlagworte:	Analysis of covariance Bond markets Bonds Causality Commodity markets Connectedness Covariance Decomposition Economic forecasting Energy economics Errors Generalized forecast error variance decomposition Normalization Normalization schemes Ratings & rankings Securities markets Simulation Spillover Stock exchanges Variance Vector autoregression models
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