MARC Record from Library of Congress

LEADER: 01922cam a22002897a 4500
001 2008610594
003 DLC
005 20080814092112.0
007 cr |||||||||||
008 080613s2008 mau sb 000 0 eng
010 $a 2008610594
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aDiebold, Francis X.,$d1959-
245 10 $aMeasuring financial asset return and volatility spillovers, with application to global equity markets$h[electronic resource] /$cFrancis X. Diebold, Kamil Yilmaz.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2008.
490 1 $aNBER working paper series ;$vworking paper 13811
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 6/13/2008.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"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"--National Bureau of Economic Research web site.
700 1 $aYılmaz, Kamil.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 13811.
856 40 $uhttp://papers.nber.org/papers/w13811