Measuring financial asset return and volatility spillovers, with application to global equity markets (EJ 2009)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Francis X. Diebold, Kamil Yilmaz Measuring financial asset return and volatility spillovers, with application to global equity markets EJ 2009 534 158–71 - VAR, Spillover measures

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
2 - available online elsewhere than on journal website - - Vector autoregression (VAR), variance decompositions, rolling window estimation - daily nominal local-currency stock market indexes, January 1992–November 2007, taken from, Datastream, and Global Financial Data http://data.economicresearchforum.org/erf/SpillOverIndex.aspx?lang=en Corrected by: Erratum to Diebold and Yilmatz (2009) Vol. 120, Issue 546, F354–F356, code available at http://www.estima.com/procs_perl/dieboldyilmaz_ej2009.zip 12 developed stock markets, 7 emerging markets -

Replication of this study

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
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 - - 3 - reproduction (new methods) - - 1 - yes -

References

DOI: 10.1111/j.1468-0297.2008.02208.x IDEAS: a/ecj/econjl/v119y2009i534p158-171.html EconPapers: RePEc:ecj:econjl:v:119:y:2009:i:534:p:158-171


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