Asymmetric volatility spillovers: Revisiting the Diebold-Yilmaz (2009) spillover index with realized semivariance

摘要: Based on the negative and positive realized semivariances developed in Barndorff-Nielsen et al. (2010), we modify volatility spillover index devised Diebold Yilmaz (2009). The resulting asymmetric indices are easy to compute account well for parts of volatility. We apply modified 30 U.S. stocks with highest market capitalization over period 2004-2011 study intra-market spillovers. provide evidence sizable volatility-spillover asymmetries a markedly different pattern spillovers during periods economic ups downs.