NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic

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

Francis X. Diebold, Kamil Yılmaz · International Journal of Forecasting · 2011 · 5.1K citations

Economics, Volatility Modeling, Financial Economics +13

On the network topology of variance decompositions: Measuring the connectedness of financial firms

Francis X. Diebold, Kamil Yılmaz · Journal of Econometrics · 2014 · 4.2K citations

Variance Decompositions, Financial Network Analysis, Network Science +12

Efficient tests for normality, homoscedasticity and serial independence of regression residuals

Carlos M. Jarque, Anil K. Bera · Economics Letters · 1980 · 4.1K citations

Regression Residuals, Biostatistics, Statistical Inference +5

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

Francis X. Diebold, Kamil Yılmaz · The Economic Journal · 2008 · 2.9K citations

Empirical Finance, Volatility Modeling, Time Series Econometrics +17

Time Varying Structural Vector Autoregressions and Monetary Policy

Giorgio E. Primiceri · The Review of Economic Studies · 2005 · 2.8K citations

Dynamic Economic Model, Monetary Policy, Economics +14