Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/43200
Authors: 
Diebold, Francis X.
Yilmaz, Kamil
Year of Publication: 
2008
Series/Report no.: 
CFS Working Paper 2008/26
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.
Subjects: 
Contagion
Herd Behavior
Variance Decomposition
Vector Autoregression
JEL: 
G1
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
310.98 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.