Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
Has this study been replicated?
The atlas records 1 reproduction of this study. Recorded outcomes: 1 mixed.
Reproductions
- EXPLORING ALL VAR ORDERINGS FOR CALCULATING SPILLOVERS? YES, WE CAN!—A NOTE ON DIEBOLD AND YILMAZ (2009), Klößner & Wagner (2013). Journal of Applied Econometrics. Outcome recorded: computation not checked, robustness challenges.
Robustness: we find that the true range of the spillover index can be up to three times as large as estimated by Diebold and Yilmaz.
Outcome read from Robustness: abstract. View paper
Cite this record
Diebold, F. X., & Yilmaz, K. (2008). Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets. The Economic Journal, 119(534), 158–171. https://doi.org/10.1111/j.1468-0297.2008.02208.x
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