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

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2. [S2] Reference

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

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3. [S3] Reference

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

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4. [S4] Reference

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

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5. [S5] Reference

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

   Reference