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dc.contributor.authorDiebold, Francis X.en_US
dc.contributor.authorYilmaz, Kamilen_US
dc.date.accessioned2010-11-03en_US
dc.date.accessioned2011-05-09T09:34:28Z-
dc.date.available2011-05-09T09:34:28Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/45422-
dc.description.abstractUsing a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to variable ordering, we propose measures of both total and directional volatility spillovers. We use our methods to characterize daily volatility spillovers across U.S. stock, bond, foreign exchange and commodities markets, from January 1999 through September 2009. We show that despite significant volatility fluctuations in all four markets during the sample, cross-market volatility spillovers were quite limited until the global financial crisis that began in 2007. As the crisis intensified so too did the volatility spillovers, with particularly important spillovers from the bond market to other markets taking place after the collapse of Lehman Brothers in September 2008.en_US
dc.language.isoengen_US
dc.publisherTÜSİAD-Koç University Economic Research Forum Istanbulen_US
dc.relation.ispartofseriesTÜSİAD-Koç University Economic Research Forum working paper series 1001 [rev.]en_US
dc.subject.jelG1en_US
dc.subject.jelF3en_US
dc.subject.ddc330en_US
dc.subject.keywordAsset Marketen_US
dc.subject.keywordAsset Returnen_US
dc.subject.keywordStock Marketen_US
dc.subject.keywordMarket Linkageen_US
dc.subject.keywordFinancial Crisisen_US
dc.subject.keywordContagionen_US
dc.subject.keywordVector Autoregressionen_US
dc.subject.keywordVariance Decompositionen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwFinanzmarktkriseen_US
dc.subject.stwAnsteckungseffekten_US
dc.subject.stwDekompositionsverfahrenen_US
dc.subject.stwWelten_US
dc.titleBetter to give than to receive: predictive directional measurement of volatility spilloversen_US
dc.typeWorking Paperen_US
dc.identifier.ppn638343968en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:ERF Working Paper Series, TÜSİAD-Koç University Economic Research Forum (ERF)

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