Extreme dependence and spillovers between uncertainty indices and stock markets: Does the US market play a major role?

Measuring Economic Policy Uncertainty*

Scott Baker, Nicholas Bloom, Steven J. Davis · The Quarterly Journal of Economics · 2016 · 11.9K citations · Full text

Social Sciences, Economics, Finance +9

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

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

Francis X. Diebold, Kamil Yılmaz · Journal of Econometrics · 2014 · 4.4K citations

Business, Economics, Finance +17

Fluctuations in Uncertainty

Nicholas Bloom · The Journal of Economic Perspectives · 2014 · 2K citations · Full text

Social Sciences, Business Economics, Economics +10

Expected Stock Returns and Variance Risk Premia

Tim Bollerslev, George Tauchen, Hao Zhou · Review of Financial Studies · 2009 · 1.9K citations

Business, Economics, Finance +16