EXPLORING ALL VAR ORDERINGS FOR CALCULATING SPILLOVERS? YES, WE CAN!—A NOTE ON DIEBOLD AND YILMAZ (2009)
提出一种分治算法，能快速计算所有变量排序下溢出指数的最大值和最小值，发现真实范围可能比Diebold和Yilmaz估计的大三倍，对金融市场的溢出效应研究有重要参考价值。
SUMMARY Diebold and Yilmaz ( Economic Journal 2009; 119 ; 158–171) introduce the spillover index to measure linkages between international financial markets. As their index depends on the ordering of the variables in the underlying VAR model, they check robustness by computing the index for a small number of randomly chosen permutations, stating that it was impossible to explore the huge number of renumerations. Building on a new divide‐and‐conquer strategy, we provide an algorithm for swiftly calculating the spillover index's maximum and minimum over all renumerations. Using this new algorithm, we find that the true range of the spillover index can be up to three times as large as estimated by Diebold and Yilmaz. Copyright © 2013 John Wiley & Sons, Ltd.