Results 151 to 160 of about 132,901 (169)

Nonlinear spillovers in precious metals markets: A TCN-based extension of the Diebold–Yilmaz Framework

Finance Research Letters
This study proposes a nonlinear spillover framework for precious metals markets by integrating Temporal Convolutional Networks (TCNs) into the Diebold-Yilmaz approach. We simulate shocks to approximate the Generalized Forecast Error Variance Decomposition (GFEVD) without relying on linear restrictions.
Petr Hajek, Josef Novotny
exaly   +4 more sources

How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study [PDF]

Energy Economics, 2019
This paper replicates the Diebold and Yilmaz (2012) study on the connectedness ofthe commodity market and three other financial markets: the stock market, the bond market, and the FX market, based on the Generalized Forecast Error Variance Decomposition,
Andrea Cipollini, Silvia Muzzioli
exaly   +5 more sources

From the Diebold-Yilmaz approach to portfolio strategies: Diversification benefits of the Macedonian stock exchange index across SEE, Global, and alternative markets

Acta Oeconomica
Abstract This study examines spillovers between Southeast European (SEE) equities and global and alternative assets and embeds these dynamics into portfolio allocation. Using the Diebold-Yilmaz framework within a TVP-VAR, we trace return spillovers across thirteen markets: SEE indices; developed benchmarks (S&P 500, Euro Stoxx 50);
Gjorgji Gockov
exaly   +2 more sources

On the past, present, and future of the Diebold–Yilmaz approach to dynamic network connectedness [PDF]

Journal of Econometrics, 2023
We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development.
Kamil Yilmaz
exaly   +1 more source

A Proxy-Free Alternative to the Diebold–Yilmaz Volatility Spillover Index

Diebold and Yilmaz (2009) measure volatility spillovers using externally constructed volatility measures within a VAR framework. However, treating these noisy estimates as observed regressors introduces a generated-regressor problem. Furthermore, external proxies are susceptible to outliers and often unavailable for lower-frequency data, limiting the ...
Kyongwook Choi, Namwon Hyung
openaire   +1 more source

Global Shocks and Local Impacts: A Diebold-Yilmaz Spillovers Analysis of the US, Commodity Markets, and Pakistan

This paper examines the transmission of the macroeconomic and financial shocks from the United States to the global commodity markets and Pakistan by using a comprehensive monthly data set for the period January 2007-August 2021. Using the advanced spillover index framework of Diebold and Yilmaz (2012) based on generalized forecast error variance ...
openaire   +1 more source

Asymmetric Volatility Spillovers: Revisiting the Diebold-Yilmaz (2009) Spillover Index with Realized Semivariance

SSRN Electronic Journal, 2013
Jozef Barunik, Evzen Kocenda, Lukas Vacha   +2 more
openaire   +1 more source

The Impact of the Ukrainian Crisis and Global Shocks on Stock Market Connectedness in Sub-Saharan Africa: Evidence from Diebold and Yilmaz (2012) Spillover Analysis

International Journal of Sustainable Development and Planning, 2023
Ammar Jreisat
exaly  

Pandemic outbreaks (COVID-19) and sectoral carbon emissions in the United States: A spillover effect evidence from Diebold and Yilmaz index

Energy and Environment, 2021
Andrew Alola, Fesstus Víctor
exaly