The document analyzes the interdependence between U.S. state-level indices using the spillover index proposed by Diebold and Yilmaz (2009). By employing this index, which is based on the Generalized Forecast Error Variance Decomposition (G-FEVD) applied to a VAR model, it was possible to quantify the impact of volatility dynamics among U.S. states over a time span of nearly thirty years. Additionally, an attempt was made to isolate the common market component to improve the interpretation of results and spillover dynamics between states through the application of the Capital Asset Pricing Model (CAPM). Finally, through the application of Lasso regularization to the VAR model, the issue of upward bias in the spillover index was addressed.
L'elaborato analizza l'interdipendenza tra gli indici state-level statunitensi tramite l'indice di spillover proposto da Diebold e Yilmaz(2009). Utilizzando quest'indice, basato sulla Generalized Forecast Error Variance Decomposition (G-FEVD) applicata ad un modello VAR, è stato possibile quantificare l'impatto delle dinamiche di volatilità tra gli stati USA in un arco temporale di quasi trent'anni. Si è cercato inoltre di isolare la componente comune di mercato per migliorare l'interpretazione dei risultati e delle dinamiche di spillover tra gli stati attraverso l'applicazione del Capital Asset Pricing Model (CAPM). Infine, attraverso la regolarizzazione Lasso applicata al modello VAR, è stato affrontato il problema della distorsione verso l'alto dell’indice di spillover.
Analisi dell'interdipendenza tra gli indici state-level statunitensi tramite l'indice di spillover
FORNASIER, LUCA
2023/2024
Abstract
The document analyzes the interdependence between U.S. state-level indices using the spillover index proposed by Diebold and Yilmaz (2009). By employing this index, which is based on the Generalized Forecast Error Variance Decomposition (G-FEVD) applied to a VAR model, it was possible to quantify the impact of volatility dynamics among U.S. states over a time span of nearly thirty years. Additionally, an attempt was made to isolate the common market component to improve the interpretation of results and spillover dynamics between states through the application of the Capital Asset Pricing Model (CAPM). Finally, through the application of Lasso regularization to the VAR model, the issue of upward bias in the spillover index was addressed.File | Dimensione | Formato | |
---|---|---|---|
Fornasier_Luca.pdf
accesso riservato
Dimensione
7.06 MB
Formato
Adobe PDF
|
7.06 MB | Adobe PDF |
The text of this website © Università degli studi di Padova. Full Text are published under a non-exclusive license. Metadata are under a CC0 License
https://hdl.handle.net/20.500.12608/77759