Measuring financial asset return and volatility spillovers, with application to global equity markets

Francis Diebold and Kamil Yilmaz ()

No 08-16, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: The authors provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, they formulate and examine precise and separate measures of return spillovers and volatility spillovers. The authors framework facilitates study of both noncrisis and crisis episodes, including trends and bursts in spillovers, and both turn out to be empirically important. In particular, in an analysis of 19 global equity markets from the early 1990s to the present, they 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.

Keywords: Assets; (Accounting) (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-bec and nep-fmk
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Citations: View citations in EconPapers (70)

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https://www.philadelphiafed.org/-/media/frbp/asset ... ers/2008/wp08-16.pdf (application/pdf)

Related works:
Journal Article: Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2009)
Journal Article: Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2009)
Working Paper: Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets (2008)
Working Paper: Measuring financial asset return and volatilty spillovers, with application to global equity markets (2008)
Working Paper: Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets (2007)
Working Paper: Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets (2007)
Working Paper: Measuring financial asset return and volatility spillovers, with application to global equity markets (2007)
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