Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7408729 | International Journal of Forecasting | 2012 | 10 Pages |
Abstract
Using a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to the variable ordering, we propose measures of both the total and directional volatility spillovers. We use our methods to characterize daily volatility spillovers across US stock, bond, foreign exchange and commodities markets, from January 1999 to January 2010. We show that despite significant volatility fluctuations in all four markets during the sample, cross-market volatility spillovers were quite limited until the global financial crisis, which began in 2007. As the crisis intensified, so too did the volatility spillovers, with particularly important spillovers from the stock market to other markets taking place after the collapse of the Lehman Brothers in September 2008.
Keywords
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
Francis X. Diebold, Kamil Yilmaz,