Concepedia

Better to give than to receive: Predictive directional measurement of volatility spillovers

Francis X. Diebold, Kamil Yılmaz

International Journal of Forecasting · 2011 · 5.5K citations · 13 references

DOI

Concepts

References

13

Macroeconomics and Reality

Christopher A. Sims · Econometrica · 1980 · 12.7K citations

, , +8

Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations

, , +16

Generalized impulse response analysis in linear multivariate models

M. Hashem Pesaran, Yongcheol Shin · Economics Letters · 1998 · 6K citations

, , +8

Impulse response analysis in nonlinear multivariate models

Gary Koop, M. Hashem Pesaran, Simon Potter · Journal of Econometrics · 1996 · 5K citations

, , +6

Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

Francis X. Diebold, Kamil Yılmaz · The Economic Journal · 2008 · 3K citations

, , +15