全球智库信息集成服务系统(G2TT): Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w13811
来源ID	Working Paper 13811
	Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
	Francis X. Diebold; Kamil Yilmaz
发表日期	2008-02-14
出版年	2008
语种	英语
摘要	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.
主题	Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w13811
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/571485
推荐引用方式 GB/T 7714	Francis X. Diebold,Kamil Yilmaz. Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets. 2008.