Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

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ID: 290255
2008
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Abstract
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; both turn out to be empirically important. In particular, in an analysis of 19 global equity markets from the early 1990s to the present, we find striking evidence of divergent behaviour 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.
Reference Key
openalex_W3122186884 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Francis X. Diebold, Kamil Yılmaz
Journal the economic journal
Year 2008
DOI
10.1111/j.1468-0297.2008.02208.x
URL
https://doi.org/10.1111/j.1468-0297.2008.02208.x
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