Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/43200 
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dc.contributor.authorDiebold, Francis X.en
dc.contributor.authorYilmaz, Kamilen
dc.date.accessioned2009-05-06-
dc.date.accessioned2010-12-15T09:21:39Z-
dc.date.available2010-12-15T09:21:39Z-
dc.date.issued2008-
dc.identifier.piurn:nbn:de:hebis:30-57645en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2008/26en
dc.subject.jelG1en
dc.subject.ddc330en
dc.subject.keywordContagionen
dc.subject.keywordHerd Behavioren
dc.subject.keywordVariance Decompositionen
dc.subject.keywordVector Autoregressionen
dc.subject.stwKapitalertragen
dc.subject.stwFinanzmarkten
dc.subject.stwVolatilitäten
dc.subject.stwSpillover-Effekten
dc.subject.stwFinanzmarktkriseen
dc.subject.stwInternationaler Finanzmarkten
dc.subject.stwAktienmarkten
dc.subject.stwWelten
dc.titleMeasuring financial asset return and volatilty spillovers, with application to global equity markets-
dc.typeWorking Paperen
dc.identifier.ppn599227087en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200826en

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