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Volatility spillovers across global asset classes: Evidence from time and frequency domains

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journal contribution
posted on 2018-09-20, 15:28 authored by Aviral K. Tiwari, Juncal Cunado, Rangan Gupta, Mark Wohar
This paper analyzes the volatility spillovers across four global asset classes namely, stock, sovereign bonds, credit default swaps (CDS) and currency from September 2009 to September 2016, using both a time-domain and a frequency-domain framework. When the Diebold and Yilmaz (2012) methodology is applied, the estimated total connectedness index is 5.08%, suggesting a low level of connection among the four markets. Furthermore, the results show that the stock and CDS markets are net transmitters of volatility, while foreign exchange and bond markets are net receivers of the spillovers. When the Barunik and Krehlik (2018) frequency-domain analysis is carried out, the results indicate, first, that at higher frequencies, the degree of connectedness increases, and, second, that the net transmitter of volatility spillovers across the markets is contingent on the frequency under consideration.

History

School

  • Business and Economics

Department

  • Business

Published in

The Quarterly Review of Economics and Finance

Volume

70

Pages

194 - 202

Citation

TIWARI, A.K. ... et al, 2018. Volatility spillovers across global asset classes: Evidence from time and frequency domains. The Quarterly Review of Economics and Finance, 70, pp.194-202.

Publisher

Elsevier © Board of Trustees of the University of Illinois

Version

  • AM (Accepted Manuscript)

Publisher statement

This paper was accepted for publication in the journal The Quarterly Review of Economics and Finance and the definitive published version is available at https://doi.org/10.1016/j.qref.2018.05.001.

Acceptance date

2018-05-05

Publication date

2018-05-08

ISSN

1062-9769

Language

  • en