Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
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- 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.
- 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.
- Francis X. Diebold & Kamil Yilmaz, 2008. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," NBER Working Papers 13811, National Bureau of Economic Research, Inc.
- Francis X. Diebold & Kamil Yilmaz, 2008. "Measuring financial asset return and volatility spillovers, with application to global equity markets," Working Papers 08-16, Federal Reserve Bank of Philadelphia.
- Francis X. Diebold & Kamil Yilmaz, 2007. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," PIER Working Paper Archive 07-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Diebold, Francis X. & Yilmaz, Kamil, 2007. "Measuring financial asset return and volatility spillovers, with application to global equity markets," CFS Working Paper Series 2007/02, Center for Financial Studies (CFS).
- Diebold, Francis X. & Yilmaz, Kamil, 2008. "Measuring financial asset return and volatilty spillovers, with application to global equity markets," CFS Working Paper Series 2008/26, Center for Financial Studies (CFS).
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More about this item
Keywords
Asset Market; Asset Return; Stock Market; Emerging Market; Market Linkage; Financial Crisis; Herd Behavior; Contagion;All these keywords.
JEL classification:
- F30 - International Economics - - International Finance - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2007-11-17 (Business Economics)
- NEP-ETS-2007-11-17 (Econometric Time Series)
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