Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
2008/12/09 by Francis X. Diebold, Kamil Yilmaz, Kamil Yılmaz · 3,058 citations
Economics, Econometrics and Finance · #Capital asset pricing model #Econometrics #Economics #Equity (law) #Finance #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Financial crisis #Financial economics #Financial market #Macroeconomics #Market Dynamics and Volatility #Monetary economics #Volatility (finance)
paper · doi:10.1111/j.1468-0297.2008.02208.x
published in The Economic Journal 119(534), 158-171 (Oxford University Press)
openalex publication_date 2008/12/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
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.
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