Kamil Yilmaz

TL;DR: This paper used a generalized vector autoregressive framework to characterize daily volatility spillovers across US stock, bond, foreign exchange and commodities markets, from January 1999 to January 2010, and showed that despite significant volatility fluctuations in all four markets during the sample, cross-market volatility spillover were quite limited until the global financial crisis, which began in 2007.

TL;DR: In this paper, the authors propose several connectedness measures built from pieces of variance decomposition positions, and argue that they provide natural and insightful measures of connectedness among nancial asset returns and volatilities.

TL;DR: In this article, the authors provide a simple and intuitive measure of interdependence of asset returns and/or volatilities, and formulate and examine precise and separate measures of return spillovers and volatility spillovers.

TL;DR: In this paper, the authors provide a simple and intuitive measure of interdependence of asset returns and/or volatilities, and formulate and examine precise and separate measures of return spillovers and volatility spillovers.

TL;DR: In this article, the authors propose several connectedness measures built from pieces of variance decompositions, and argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities.