For helpful comments we thank the Editor and two referees, Jon Faust, Ayhan Kose, Roberto Rigobon, Harald Uhlig and the organisers and participants at the 2006 NBER International Seminar on Macroeconomics in Tallinn, Estonia, especially Michael Binder, Kathryn Dominguez, Jeff Frankel, Francesco Giavazzi, Eric Leeper, Lucrezia Reichlin and Ken West.
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets*
Article first published online: 9 DEC 2008
© The Author(s). Journal compilation © Royal Economic Society 2009
The Economic Journal
Volume 119, Issue 534, pages 158–171, January 2009
How to Cite
Diebold, F. X. and Yilmaz, K. (2009), Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets. The Economic Journal, 119: 158–171. doi: 10.1111/j.1468-0297.2008.02208.x
- Issue published online: 9 DEC 2008
- Article first published online: 9 DEC 2008
- Submitted: 8 January 2007 Accepted: 3 April 2008
Vol. 120, Issue 546, F354–F356, Article first published online: 21 JUL 2010
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