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

2011/05/26 by Francis X. Diebold, Kamil Yilmaz, Kamil Yılmaz · 11 citations
Economics, Econometrics and Finance · #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Monetary Policy and Economic Impact

paper · doi:10.1016/j.ijforecast.2011.02.006

openalex publication_date 2011/05/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/02

Citations

• Dynamic Conditional Correlation
• Impulse response analysis in nonlinear multivariate models
• The Extreme Value Method for Estimating the Variance of the Rate of Return
• Macroeconomics and Reality
• Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

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