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

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 a...

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Bibliographic Details
Main Authors: Aviral K. Tiwari, Juncal Cunado, Rangan Gupta, Mark Wohar
Format: Default Article
Published: 2018
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Other economics not elsewhere classified
Volatility spillovers
Financial markets
Economics
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/34993
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