TY  - UNPD
A1  - Diebold, Francis X.
A1  - Yilmaz, Kamil
T1  - Measuring financial asset return and volatilty spillovers, with application to global equity markets
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,26
N2  - We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes, including trends and bursts in spillovers, and both turn out to be empirically important. In particular, in an analysis of nineteen global equity markets from the early 1990s to the present, we find striking evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts.
T3  - CFS working paper series - 2008, 26 
KW  - Contagion
KW  - Herd Behavior
KW  - Variance Decomposition
KW  - Vector Autoregression
KW  - Kapitalanlage
KW  - Volatilität
Y1  - 2008
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/5826
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-57645
IS  - February 2008
ER  -