TY  - JOUR
AU  - Diebold,Francis X.
AU  - Yilmaz,Kamil
TI  - Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 13811
PY  - 2008
Y2  - February 2008
UR  - http://www.nber.org/papers/w13811
L1  - http://www.nber.org/papers/w13811.pdf
N1  - Author contact info:
Francis X. Diebold
Department of Economics
University of Pennsylvania
3718 Locust Walk
Philadelphia, PA  19104-6297
Tel: 215/898-1507
Fax: 212/573-4217
E-Mail: fdiebold@sas.upenn.edu

Kamil Yilmaz
Koc University
Rumelifeneri Yolu, Sariyer
Istanbul 34450
TURKEY
Tel: 90-212-338-1458
Fax: 90-212-338-1653
E-Mail: kyilmaz@ku.edu.tr
AB  - 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.
ER  -