Browse wiki

Jump to: navigation, search
Measuring financial asset return and volatility spillovers, with application to global equity markets (EJ 2009)
Article data -  +
Article data type -
Article data used daily nominal local-currency stock market indexes  + , January 1992–November 2007  + , Issue 546  + , F354–F356  + , code available at http://www.estima.com/procs_perl/dieboldyilmaz_ej2009.zip  + , 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  +
Article edition 534
Article journal [[:Category:EJ|EJ]]
Article methods and estimation variance decompositions , rolling window estimation , Vector autoregression (VAR)
Article origin of data used 12 developed stock markets , 7 emerging markets
Article pages 158–71
Article program code 2 - available online elsewhere than on journal website  +
Article readme -  +
Article software used -
Article year 2009
Articleauthors Francis X. Diebold + , Kamil Yilmaz +
Articlejel - +
Articlekeywords VAR  + , Spillover measures  +
DOI [http://dx.doi.org/10.1111/j.1468-0297.2008.02208.x 10.1111/j.1468-0297.2008.02208.x]  +
EconPapers/RePEc [http://EconPapers.repec.org/RePEc:ecj:econjl:v:119:y:2009:i:534:p:158-171 RePEc:ecj:econjl:v:119:y:2009:i:534:p:158-171]  +
IDEAS/RePEc [http://ideas.repec.org/a/ecj/econjl/v119y2009i534p158-171.html a/ecj/econjl/v119y2009i534p158-171.html]  +
Replication JEL codes -
Replication authors Stefan Klößner , Sven Wagner
Replication authors statement -  +
Replication call into question 1 - yes  +
Replication edition 1
Replication journal [[:Category:JAE|JAE]]
Replication keywords -  +
Replication pages 172-9
Replication raw data -  +
Replication result -  +
Replication type 3 - reproduction (new methods)  +
Replication year 2014
Categories Replicated study  + , EJ 2009 (534)  +
Modification dateThis property is a special property in this wiki. 4 March 2016 22:42:09  +
show properties that link here 

 

Enter the name of the page to start browsing from.
Personal tools
Namespaces

Variants
Views
Actions
Navigation
Toolbox