Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
2008/12/09 by Francis X. Diebold, Kamil Yilmaz, Kamil Yılmaz · 47 citations
Economics, Econometrics and Finance · #Market Dynamics and Volatility #Financial Risk and Volatility Modeling #Financial Markets and Investment Strategies
paper · doi:10.1111/j.1468-0297.2008.02208.x
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.
Cited by
- Patterns of unconventional monetary policy spillovers during a systemic crisis
- Dependence structure and dynamic connectedness between green bonds and financial markets: Fresh insights from time-frequency analysis before and during COVID-19 pandemic
- Analysis of the spillover effects between green economy, clean and dirty cryptocurrencies
- Quantile time-frequency connectedness analysis between crude oil, gold, financial markets, and macroeconomic indicators: Evidence from the US and EU
- Principled Identification of Structural Dynamic Models
- NETS: Network estimation for time series
- Sectoral uncertainty spillovers in emerging markets: A quantile time–frequency connectedness approach
- The geography of housing boom and bust cycles
- Asymmetric Network Connectedness of Fears
- Moment connectedness and driving factors in the energy-food nexus: A time-frequency perspective
- Frequency-Domain Analysis of Time Series with Network-Structured Dependence: Application to Global Bank Connectedness
- Tail-robust estimation of factor-adjusted vector autoregressive models for high-dimensional time series
- Energy Market and Carbon Emission Spillovers in Critical Minerals Investment: A Dynamic Connectedness Approach
- Signal from Noise Signal from Noise: A Neural Network-Based Denoising Approach for Measuring Global Financial Spillovers
- Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach
- A Bibliometric analysis of literature on hedge and safe haven assets
- A measure of quantile-on-quantile connectedness for the US treasury yield curve spread, the US Dollar, and gold price
- Assessing Dynamic Connectedness in Global Supply Chain Infrastructure Portfolios: The Impact of Risk Factors and Extreme Events
- A Predictive Framework Integrating Multi-Scale Volatility Components and Time-Varying Quantile Spillovers: Evidence from the Cryptocurrency Market
- Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis
- Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions
- Measuring spillovers and connectedness in gretl
- Spillover effects of RMB exchange rate among B&R countries: Before and during COVID-19 event. [europepmc]
- Information-theoretic measures for nonlinear causality detection: application to social media sentiment and cryptocurrency prices. [europepmc]
- Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy. [europepmc]
- The impact of economic uncertainty caused by COVID-19 on renewable energy stocks. [europepmc]
- A Network Approach to the Study of the Dynamics of Risk Spillover in China's Bond Market. [europepmc]
- COVID-19 and uncertainty spillovers in Indian stock market. [europepmc]
- Pandemics and their impact on global economic and financial systems. [europepmc]
- Capture the contagion network of bitcoin - Evidence from pre and mid COVID-19. [europepmc]
- The impact of COVID-19-related media coverage on the return and volatility connectedness of cryptocurrencies and fiat currencies. [europepmc]
- Impact persistence of stock market risks in commodity markets: Evidence from China. [europepmc]
- Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic. [europepmc]
- Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies. [europepmc]
- The source of financial contagion and spillovers: An evaluation of the covid-19 pandemic and the global financial crisis. [europepmc]
- Modeling the Global Dynamic Contagion of COVID-19. [europepmc]
- Time-varying spillovers among pilot carbon emission trading markets in China. [europepmc]
- Does COVID-19 pandemic cause natural resources commodity prices volatility? Empirical evidence from China. [europepmc]
- On the dynamic return and volatility connectedness of cryptocurrency, crude oil, clean energy, and stock markets: a time-varying analysis. [europepmc]
- COVID-19 crisis and risk spillovers to developing economies: Evidence from Africa. [europepmc]
- Uncertainty index and stock volatility prediction: evidence from international markets. [europepmc]
- Impact of the COVID-19 pandemic on return and risk transmission between oil and precious metals: Evidence from DCC-GARCH model. [europepmc]
- Global risks, the macroeconomy, and asset prices. [europepmc]
- The role of foreign trade and technology innovation on economic recovery in China: The mediating role of natural resources development. [europepmc]
- Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities? [europepmc]
- Dynamic asymmetric spillovers and connectedness between Chinese sectoral commodities and industry stock markets. [europepmc]
- Measuring the Risk Spillover Effect of RCEP Stock Markets: Evidence from the TVP-VAR Model and Transfer Entropy. [europepmc]
Related