Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets

Variational Mode Decomposition

Konstantin Dragomiretskiy, Dominique Zosso · IEEE Transactions on Signal Processing · 2014 · 8.6K citations

Engineering, Electrical Engineering, Biomedical Signal Processing +15

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

Social Sciences, Economics, Finance +17

In Search of Attention

Zhi Da, Joseph Engelberg, Pengjie Gao · The Journal of Finance · 2011 · 3.1K citations · Full text

Business, Business Economics, Finance +11

Time Varying Structural Vector Autoregressions and Monetary Policy

Giorgio E. Primiceri · The Review of Economic Studies · 2005 · 2.9K citations

Social Sciences, Economics, Econometrics +16

The distribution of realized stock return volatility

Torben G. Andersen · Journal of Financial Economics · 2001 · 2.4K citations

Business, Economics, Finance +12