Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets*
By Francis X. Diebold, Kamil Yilmaz. 2008
3,052 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/b0a4749b11b86c6e45dc42b867e653203bdec9c6
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Nikolaos Antonakakis
- David Gabauer
- George Filis
- Sang Hoon Kang
- Brian M. Lucey
- Shaen Corbet
- L. Yarovaya
- Walid Mensi
In Finance
- David Gabauer
- Nikolaos Antonakakis
- George Filis
- Sang Hoon Kang
- Walid Mensi
- J. Kurka
- K. Yilmaz
- Renatas Kizys
Citations in the corpus
- Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions (2010, neutral): “This is parallel to the spillover index studied in Diebold and Yilmaz (2009) when measuring volatility spillover in a multivariate system: after measuring the volatility spillover between each pair, the spillover index is an aggregation of the measures on bilateral relations.”
- Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers (2015, neutral): “Diebold and Yilmaz (2012) propose to measure the directional spillovers received by asset i from all other assets j as:”
- Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2020, positive): “Return and volatility spillover indices by Diebold and Yilmaz (2012) became one of the mainstream approaches for measuring spillover effect between markets.”
- International Spillovers of Policy Uncertainty (2014, positive): “Following Diebold and Yilmaz (2009), we use the lower-triangular Cholesky factor L of the Σ matrix (i.”
- Return and volatility spillovers among the East Asian equity markets (2010, positive): “Among these Diebold and Yilmaz (2009a) proposed a new approach to the analysis of contagion and interdependence across markets.”
- The global financial crisis: An analysis of the spillover effects on African stock markets (2014, positive): “, 1996), Diebold and Yilmaz (2012) introduced directional concept to the spillover index.”
- Estimating Global Bank Network Connectedness (2017, positive): “Hence Diebold and Yilmaz (2012) suggest exploiting the generalized VAR framework of Koop et al. (1996) and Pesaran and Shin (1998), which produces variance decompositions invariant to ordering.”