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

International Journal of Forecasting

Volumn 28, Issue 1, 2012, Pages 57-66

  Diebold, Francis X ^a,b   Yilmaz, Kamil ^c  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c KOÇ UNIVERSITY   (Turkey)

Author keywords

Asset market; Asset return; Contagion; Financial crisis; Market linkage; Stock market; Variance decomposition; Vector autoregression

Indexed keywords

EID: 84155181176     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2011.02.006     Document Type: Article

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