Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
提出一种简单直观的方法来度量资产收益和波动的相互依赖关系，并分别考察收益溢出和波动溢出。通过对19个全球股票市场1990年代初至今的数据分析，发现收益溢出呈缓慢上升趋势而无爆发，波动溢出则无趋势但有明显爆发。
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of "return spillovers" and "volatility spillovers". Our framework facilitates study of both non-crisis and crisis episodes, including trends and bursts in spillovers; both turn out to be empirically important. In particular, in an analysis of 19 global equity markets from the early 1990s to the present, we find striking evidence of divergent behaviour in the dynamics of return spillovers vs. volatility spillovers: return spillovers display a gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts. Copyright © The Author(s). Journal compilation © Royal Economic Society 2009.