Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/43200
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dc.contributor.authorDiebold, Francis X.en_US
dc.contributor.authorYilmaz, Kamilen_US
dc.date.accessioned2009-05-06en_US
dc.date.accessioned2010-12-15T09:21:39Z-
dc.date.available2010-12-15T09:21:39Z-
dc.date.issued2008en_US
dc.identifier.piurn:nbn:de:hebis:30-57645-
dc.identifier.urihttp://hdl.handle.net/10419/43200-
dc.description.abstractWe 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.isoengen_US
dc.publisher|aGoethe University, Center for Financial Studies (CFS) |cFrankfurt a. M.en_US
dc.relation.ispartofseries|aCFS Working Paper |x2008/26en_US
dc.subject.jelG1en_US
dc.subject.ddc330en_US
dc.subject.keywordContagionen_US
dc.subject.keywordHerd Behavioren_US
dc.subject.keywordVariance Decompositionen_US
dc.subject.keywordVector Autoregressionen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwFinanzmarkten_US
dc.subject.stwVolatilitäten_US
dc.subject.stwSpillover-Effekten_US
dc.subject.stwFinanzmarktkriseen_US
dc.subject.stwInternationaler Finanzmarkten_US
dc.subject.stwAktienmarkten_US
dc.subject.stwWelten_US
dc.titleMeasuring financial asset return and volatilty spillovers, with application to global equity marketsen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn599227087en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:200826-

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