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Exploring All Var Orderings For Calculating Spillovers? Yes, We Can!—A Note On Diebold And Yilmaz (2009)*

* This paper is a replication of an original study

Author

Listed:
  • Stefan Klößner
  • Sven Wagner

Abstract

No abstract is available for this item.

Suggested Citation

  • Stefan Klößner & Sven Wagner, 2014. "Exploring All Var Orderings For Calculating Spillovers? Yes, We Can!—A Note On Diebold And Yilmaz (2009)," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 172-179, January.
    • Handle: RePEc:wly:japmet:v:29:y:2014:i:1:p:172-179
    DOI: 10.1002/jae.2366
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    References listed on IDEAS

    as
    1. Bubák, Vít & Kocenda, Evzen & Zikes, Filip, 2011. "Volatility transmission in emerging European foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2829-2841, November.
    2. Yilmaz, Kamil, 2010. "Return and volatility spillovers among the East Asian equity markets," Journal of Asian Economics, Elsevier, vol. 21(3), pages 304-313, June.
    3. Francis X. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
    4. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
    5. Pfaff, Bernhard, 2008. "VAR, SVAR and SVEC Models: Implementation Within R Package vars," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i04).
    6. McMillan, David G. & Speight, Alan E.H., 2010. "Return and volatility spillovers in three euro exchange rates," Journal of Economics and Business, Elsevier, vol. 62(2), pages 79-93, March.
    Full references (including those not matched with items on IDEAS)

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    Replication

    This item is a replication of:
  • FrancisX. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.

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