Diebold, Francis X.; Yilmaz, Kamil - In: International Journal of Forecasting 28 (2012) 1, pp. 57-66
Using a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to the variable ordering, we propose measures of both the total and directional volatility spillovers. We use our methods to characterize daily volatility spillovers across US stock,...