Exploring All VAR Orderings for Calculating Spillovers? Yes, We Can! A Note on Diebold and Yilmaz (2009) (JAE 2014)

From ReplicationWiki
Jump to: navigation, search



Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Stefan Klößner, Sven Wagner Exploring All VAR Orderings for Calculating Spillovers? Yes, We Can! A Note on Diebold and Yilmaz (2009) JAE 2014 1 172-9 - -

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
1 - accessible on journal website 1 - accessible on journal website 1 - accessible on journal website - Time series estimated weekly volatilities of 19 countries' leading stock market indexes 19 countries R

This article is a replication of

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Francis X. Diebold, Kamil Yilmaz Measuring financial asset return and volatility spillovers, with application to global equity markets EJ 2009 534 158–71 - - 3 - reproduction (new methods) - - 1 - yes -

References

DOI: 10.1002/jae.2366 IDEAS: - EconPapers: -


Personal tools
Namespaces

Variants
Actions
Navigation
Toolbox