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

  • Published:2019-10 Issue: Volume:84 Page:104536
  • ISSN:0140-9883
  • Container-title:Energy Economics
  • language:en
  • Short-container-title:Energy Economics

Author:

Caloia Francesco Giuseppe,Cipollini Andrea,Muzzioli Silvia

Funder

Fondazione Cassa di Risparmio di Modena

University of Modena and Reggio Emilia

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference15 articles.

1. Oil volatility, oil and gas firms and portfolio diversification;Antonakakis;Energy Econ.,2018

2. On the impacts of price fluctuations on European equity markets: volatility spillovers and hedging effectiveness;Arouri;Energy Econ.,2012

3. Networks in Risk Spillovers, A Multivariate GARCH Perspective. Working Paper;Billio,2016

4. Proximity structured multivariate volatility models;Caporin;Econom. Rev.,2015

5. Symmetric semi-volatility spillover effects in EMU stock markets;Caloia;Int. Rev. Financ. Anal.,2018
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