Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014

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Measuring Dynamic Connectedness with Large Bayesian VAR Models (2018, positive): “Following Diebold and Yilmaz (2016) we use individual stock price data to obtain range-based stock return volatility estimate, which has received significant attention in recent years.4 For a given financial institution on a given day, we construct a daily range-based volatility estimate using the…”
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.”
Estimation and Selection of Spatial Weight Matrix in a Spatial Lag Model (2019, background): “Other articles in the literature, such as Engle et al. (2012), Diebold and Yilmaz (2015), and recent work by Barigozzi and Brownlees (2018) consider the spillovers of the volatility measures across markets.”
Refined Measures of Dynamic Connectedness based on TVP-VAR (2017, background): “…spillovers (see, inter alia, McMillan and Speight, 2010; Yilmaz, 2010; Bubák et al., 2011; Antonakakis, 2012; Zhou et al., 2012; Antonakakis and Vergos, 2013; Antonakakis and Badinger, 2014; Narayan et al., 2014; Bostanci and Yilmaz, 2015; Diebold and Yılmaz, 2015; Diebold and Yilmaz, 2015).”