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

By Francis X. Diebold, K. Yilmaz. 2012

5,075 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/17051cc5818f5b2814233de3858bbe380bdbcbb8

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Citations in the corpus

Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications (2017, positive): “Then, we apply the generalized spillover index of Diebold and Yilmaz (2012, 2014, 2016) to examine the directional spillovers and net spillovers across the commodities and the Islamic sector indices.”
Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2017, methodology): “To overcome limitations associated with MGARCH models, Diebold and Yilmaz (2009, 2012) propose a new set of spillover indexes.”
On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVP-VAR models with stochastic volatility (2014, methodology): “In order to assess volatility spillovers, we follow the approach adopted by Diebold and Yilmaz (2012) based on a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to the variable ordering.”
Exchange return co-movements and volatility spillovers before and after the introduction of euro (2012, methodology): “The second contribution of this study is the application of the newly generalized version of the spillover index of Diebold and Yilmaz (2012), which overcomes common pitfalls found in the identification scheme of variance decompositions, as in the originally introduced spillover index of Diebold…”
High frequency volatility co-movements in cryptocurrency markets (2019, background): “ployed daily data, there has been limited research conducted on volatility interdependencies within cryptocurrency markets - especially while allowing for asymmetric effects of positive and negative shocks in cryptocurrencies’ volatility dynamics - although volatility modelling is important for many”
Oil shocks and stock markets: dynamic connectedness under the prism of recent geopolitical and economic unrest (2017, methodology): “Our study builds upon the study of Awartani and Maghyereh (2013), which also employs the Diebold and Yilmaz (2012) methodology.”
Dynamic spillovers of oil price shocks and economic policy uncertainty (2014, methodology): “More specifically, past evidence suggest that there are significant effects of oil prices on industrial production and inflation (see, inter alia, Filis and Chatziantoniou, 2013; Balke et al., 2010; Tang et al., 2010; Du et al., 2010; Filis, 2010; Peter Ferderer, 1997).”