TY  - UNPD
A1  - Diebold, Francis X.
A1  - Yilmaz, Kamil
T1  - Measuring financial asset return and volatility spillovers : with application to global equity markets
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2007,02
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 sixteen 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. JEL Classification: F30, G15, F36
T3  - CFS working paper series - 2007, 02 
KW  - Asset Market
KW  - Asset Return
KW  - Stock Market
KW  - Emerging Market
KW  - Market Linkage
KW  - Financial Crisis
KW  - Herd Behavior
KW  - Contagion
KW  - Kapitalanlage
KW  - Volatilität
Y1  - 2007
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/1618
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-38118
N1  - Version January 2007
IS  - January 2007
ER  -