Volatility spillovers across global asset classes: Evidence from time and frequency domains
Aviral Tiwari (),
Rangan Gupta () and
Mark Wohar ()
The Quarterly Review of Economics and Finance, 2018, vol. 70, issue C, 194-202
This paper analyzes the volatility spillovers across four global asset classes namely, stock, sovereign bonds, credit default swaps (CDS) and currency from September 2009 to September 2016, using both a time-domain and a frequency-domain framework. When the Diebold and Yilmaz (2012) methodology is applied, the estimated total connectedness index is 5.08%, suggesting a low level of connection among the four markets. Furthermore, the results show that the stock and CDS markets are net transmitters of volatility, while foreign exchange and bond markets are net receivers of the spillovers. When the Barunik and Krehlik (2018) frequency-domain analysis is carried out, the results indicate, first, that at higher frequencies, the degree of connectedness increases, and, second, that the net transmitter of volatility spillovers across the markets is contingent on the frequency under consideration.
Keywords: Volatility spillovers; Financial markets (search for similar items in EconPapers)
JEL-codes: C32 E44 G10 G11 (search for similar items in EconPapers)
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Working Paper: Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:70:y:2018:i:c:p:194-202
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