Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets

Francis X. Diebold, Kamil Yilmaz

NBER Working Paper No. 13811
Issued in February 2008

---- Acknowledgements -----

For helpful comments we thank the Editor and two referees, Jon Faust, Roberto Rigobon Harald Uhlig, and the organizers and participants at the 2006 NBER International Seminar on Macroeconomics in Tallinn, Estonia, especially Michael Binder, Kathryn Dominguez, Jeff Frankel, Francesco Giavazzi, Eric Leeper, Lucrezia Reichlin and Ken West. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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