Measuring financial asset return and volatility spillovers, with application to global equity markets
By: Francis X. Diebold, Kamil Yilmaz.
Contributors: Yılmaz, Kamil.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 13811; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 13811.
Publisher: National Bureau of Economic Research
Published: 2008
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/13/2008.

Includes bibliographical references.

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