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Financial and Macroeconomic ConnectednessA Network Approach to Measurement and Monitoring$
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Francis X. Diebold and Kamil Yilmaz

Print publication date: 2015

Print ISBN-13: 9780199338290

Published to Oxford Scholarship Online: March 2015

DOI: 10.1093/acprof:oso/9780199338290.001.0001

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U.S. Asset Classes

U.S. Asset Classes

Chapter:
(p.34) 2 U.S. Asset Classes
Source:
Financial and Macroeconomic Connectedness
Author(s):

Francis X. Diebold

Yilmaz Kamil

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199338290.003.0002

Building on the insights developed in Chapter 1, the chapter characterizes daily volatility connectedness across U.S. stock, bond, foreign exchange and commodities markets, from January 1999 to January 2010. The chapter shows that despite significant volatility fluctuations in all four markets during the sample, cross-market volatility connectedness was quite limited until the global financial crisis, which began in 2007. As the crisis intensified, so too did the volatility connectedness, with particularly important net connectedness from the stock market to other markets taking place after the collapse of the Lehman Brothers in September 2008

Keywords:   asset markets, returns, volatility, stocks, bonds, foreign exchange, commodities, financial crisis

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