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Goethe-Universität Frankfurt am Main >
Center for Financial Studies (CFS), Universität Frankfurt a. M. >
CFS Working Paper Series, Universität Frankfurt a. M. >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/43200
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Diebold, Francis X. | | en_US |
| dc.contributor.author | | Yilmaz, Kamil | | en_US |
| dc.date.accessioned | | 2009-05-06 | | en_US |
| dc.date.accessioned | | 2010-12-15T09:21:39Z | | - |
| dc.date.available | | 2010-12-15T09:21:39Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/43200 | | - |
| dc.description.abstract | | 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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Center for Financial Studies Frankfurt, Main | | en_US |
| dc.relation.ispartofseries | | CFS Working Paper 2008/26 | | en_US |
| dc.subject.jel | | G1 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Contagion | | en_US |
| dc.subject.keyword | | Herd Behavior | | en_US |
| dc.subject.keyword | | Variance Decomposition | | en_US |
| dc.subject.keyword | | Vector Autoregression | | en_US |
| dc.subject.stw | | Kapitalertrag | | en_US |
| dc.subject.stw | | Finanzmarkt | | en_US |
| dc.subject.stw | | Volatilität | | en_US |
| dc.subject.stw | | Spillover-Effekt | | en_US |
| dc.subject.stw | | Finanzmarktkrise | | en_US |
| dc.subject.stw | | Internationaler Finanzmarkt | | en_US |
| dc.subject.stw | | Aktienmarkt | | en_US |
| dc.subject.stw | | Welt | | en_US |
| dc.title | | Measuring financial asset return and volatilty spillovers, with application to global equity markets | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 599227087 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | CFS Working Paper Series, Universität Frankfurt a. M.
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