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Macroeconomic model reference

Network spillover Model

Network-based decomposition of forecast-error variance into directional spillovers across sectors or markets.

Empirical forecasting models · Sources

Network spillover sources, papers, and evidence trail

Primary papers, model variants, source notes, and review signals behind the Network spillover page.

References

Reference sources

Reference material used for orientation; read primary and academic sources first when claims conflict.

  1. [S1] Reference

    Diebold, Yilmaz (2009) --- introduced the spillover index based on Cholesky FEVD

    Reference

  2. [S2] Reference

    Diebold, Yilmaz (2012) --- switched to generalized FEVD for order-invariance, added directional spillovers

    Reference

  3. [S3] Reference

    Diebold, Yilmaz (2014) --- comprehensive framework paper with network topology and visualization

    Reference

  4. [S4] Reference

    Pesaran, Shin (1998) --- generalized impulse responses and FEVD that do not depend on variable ordering

    Reference

  5. [S5] Reference

    Demirer, Diebold, Liu, Yilmaz (2018) --- scaled the framework to 100+ global banks using LASSO-VAR

    Reference

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