Schmidbauer, Harald; Roesch, Angi; Uluceviz, Erhan - 2013 - Draft, this version: July 9, 2013
The degree of connectedness of equity markets on a given day can be assessed by decomposing the forecast error variance resulting from a vector autoregressive model, applied to daily returns on stock indices. This well-known procedure leads, for each day, to a spillover matrix which can be...