Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/45422 
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dc.contributor.authorDiebold, Francis X.en
dc.contributor.authorYilmaz, Kamilen
dc.date.accessioned2010-11-03-
dc.date.accessioned2011-05-09T09:34:28Z-
dc.date.available2011-05-09T09:34:28Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aTÜSİAD-Koç University Economic Research Forum |cIstanbulen
dc.relation.ispartofseries|aWorking Paper |x1001 [rev.]en
dc.subject.jelG1en
dc.subject.jelF3en
dc.subject.ddc330en
dc.subject.keywordAsset Marketen
dc.subject.keywordAsset Returnen
dc.subject.keywordStock Marketen
dc.subject.keywordMarket Linkageen
dc.subject.keywordFinancial Crisisen
dc.subject.keywordContagionen
dc.subject.keywordVector Autoregressionen
dc.subject.keywordVariance Decompositionen
dc.subject.stwKapitalertragen
dc.subject.stwBörsenkursen
dc.subject.stwFinanzmarktkriseen
dc.subject.stwAnsteckungseffekten
dc.subject.stwDekompositionsverfahrenen
dc.subject.stwWelten
dc.titleBetter to give than to receive: predictive directional measurement of volatility spillovers-
dc.typeWorking Paperen
dc.identifier.ppn638343968en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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