Modelling Sovereign Risk Transmission in Europe

This page compares the Diebold-Yilmaz spillover index (which is proportional to the mean of the spillover density) with two divergence criteria that you can select from the dropdown menu

The dates of important events are marked by letters -- you can hover over the letters for a brief description of each event

From late 2008 until late 2012, the Diebold-Yilmaz spillover index is largely constant while both divergence criteria show substantial variation -- this is because the location of the spillover density is not changing at this time buts its shape is changing (as can be seen in the contour plots)

The divergence criteria provide valuable information to complement mean-based spillover indices