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

Economic Journal

Volumn 119, Issue 534, 2009, Pages 158-171

  Diebold, Francis X ^a   Yilmaz, Kamil ^b  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b KOÇ UNIVERSITY   (Turkey)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC ANALYSIS; FINANCIAL CRISIS; FINANCIAL SYSTEM; SPILLOVER EFFECT;

EID: 57749109009     PISSN: 00130133     EISSN: 14680297     Source Type: Journal    
DOI: 10.1111/j.1468-0297.2008.02208.x     Document Type: Article

References (7)

1. Alizadeh, S., Brandt, M.W. and Diebold, F.X. (2002). 'Range-based estimation of stochastic volatility models', Journal of Finance, vol. 57(3) (June), pp. 1047-92.
2. Engle, R.F., Ito, T. and Lin, W-L. (1990). 'Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market', Econometrica, vol. 58(3) (May), pp. 525-42.
3. Faust, J. (1998). 'The robustness of identified VAR conclusions about money', Carnegie-Rochester Conference Series on Public Policy, vol. 49 (December), pp. 207-44.
4. Forbes, K.J. and Rigobon, R. (2002). 'No contagion, only interdependence: Measuring stock market comovements', Journal of Finance, vol. 57(5) (October), pp. 2223-61.
5. Garman, M.B. and Klass, M.J. (1980). 'On the estimation of security price volatilities from historical data', Journal of Business, vol. 53(1) (January), pp. 67-78.
6. King, M., Sentana, E. and Wadhwani, S. (1994). 'Volatility and links between national stock markets', Econometrica, vol. 62(4) (July), pp. 901-33.
7. Pesaran, M.H. and Shin, Y. (1998). 'Generalized impulse response analysis in linear multivariate models', Economics Letters, vol. 58(1) (January), pp. 17-29.