Journal ArticleDOI
Financial connectedness of BRICS and global sovereign bond markets
TLDR
In this article, the authors examined the financial connectedness via return and volatility spillovers between Brazil, Russia, India, China and South Africa (BRICS) and three global bond market indices represented by the United States of America (USA), European Monetary Union (EMU), and Japan for the period 01 January 1997 to 27 July 2016 (weekly data).About:
This article is published in Emerging Markets Review.The article was published on 2018-12-01. It has received 59 citations till now. The article focuses on the topics: Emerging markets & Bond market.read more
Citations
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Dynamic connectedness and integration in cryptocurrency markets
TL;DR: In this paper, the authors apply a set of measures developed by Diebold and Yilmaz (2012) to examine connectedness via return and volatility spillovers across six large cryptocurrencies from August 7, 2015 to February 22, 2018.
Journal ArticleDOI
Oil price shocks, global financial markets and their connectedness
TL;DR: This article examined the effect of oil price shocks on the sovereign bond markets of a large number of advanced and emerging economies and explored the impact of oil prices on the degree of connectedness among international financial markets.
Journal ArticleDOI
Financial crises and the dynamics of the spillovers between the U.S. and BRICS stock markets
TL;DR: In this paper, the authors examined the spillover dynamics between the U.S. and BRICS stock markets using the multivariate DECO-GJR-GARCH model and spillover index method.
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Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework
TL;DR: In this article, the spatial correlation relationship of volatility spillovers and its influencing factors across G20 stock market was empirically estimated and the authors applied GARCH-BEKK model to estimate volatility spillover and construct dynamic volatility networks.
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Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness
TL;DR: In this paper , the authors examined the return and volatility connectedness between energy and BRIC markets from January 1, 2000, to July 9, 2021, and found that uncertain economic activity and intense periods characterize energy andBRIC market returns.
References
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Journal ArticleDOI
Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models
TL;DR: In this article, a new class of multivariate models called dynamic conditional correlation models is proposed, which have the flexibility of univariate generalized autoregressive conditional heteroskedasticity (GARCH) models coupled with parsimonious parametric models for the correlations.
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Better to give than to receive: Predictive directional measurement of volatility spillovers
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.
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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Francis X. Diebold,Kamil Yilmaz +1 more
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.
Journal ArticleDOI
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
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.
Journal ArticleDOI
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets*
Francis X. Diebold,Kamil Yilmaz +1 more
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.
Related Papers (5)
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Francis X. Diebold,Kamil Yilmaz +1 more
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets*
Francis X. Diebold,Kamil Yilmaz +1 more