Manuscript_NO_Authors.pdf (522.05 kB)
Volatility spillovers across global asset classes: Evidence from time and frequency domains
journal contribution
posted on 2018-09-20, 15:28 authored by Aviral K. Tiwari, Juncal Cunado, Rangan Gupta, Mark WoharThis 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 FinanceVolume
70Pages
194 - 202Citation
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 IllinoisVersion
- 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
2018-05-05Publication date
2018-05-08ISSN
1062-9769Publisher version
Language
- en