研究论文
Better to give than to receive: Predictive directional measurement of volatility spillovers
Francis X. Diebold, Kamil Yılmaz
National Bureau of Economic Research University of Pennsylvania Koç University
来源International Journal of Forecasting
年份2011
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学术脉络
学科主题
经济 / 管理Market Dynamics and Volatility
Financial Risk and Volatility Modeling · Monetary Policy and Economic Impact
参考文献 21
Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market
被引 868Robert F. Engle, Takatoshi Ito, Wenling Lin · Econometrica · 1990
Dynamic Conditional Correlation
被引 7,218Robert F. Engle · Journal of Business and Economic Statistics · 2002
Volatility dependence and contagion in emerging equity markets
被引 262Sebastián Edwards, Raúl Susmel · Journal of Development Economics · 2001
此处列出前 3 条
引用本文 5,772
On the network topology of variance decompositions: Measuring the connectedness of financial firms
被引 4,651Francis X. Diebold, Kamil Yılmaz · Journal of Econometrics · 2014
Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions
被引 1,541Nikolaos Antonakakis, Ioannis Chatziantoniou, David Gabauer · Journal of risk and financial management · 2020
Exploring the dynamic relationships between cryptocurrencies and other financial assets
被引 1,335Shaen Corbet, Andrew Meegan, Charles Larkin · Economics Letters · 2018
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