Francis X. Diebold, Kamil Yilmaz
arXiv 8 Nov 2022 · Econometrics · publishedJournal of Econometrics (2023) · 82 citations (OpenAlex)
arXiv:2211.04184 · PDF · DOI · OpenAlex · Extracted main text
We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Diebold and Yilmaz (2014) On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms, Journal of Econometrics\/, 1… | 1.000 | 5 | 3 | 100% |
| 2 | Demirer, Diebold, Liu, and Yilmaz (2018) Estimating Global Bank Network Connectedness, Journal of Applied Econometrics\/, 33, 1–15 | 0.811 | 4 | 2 | 100% |
| 3 | Diebold and Yilmaz (2012) Better to Give than to Receive: Predictive Measurement of Volatility Spillovers (with discussion), International Journal of Fore… | 0.811 | 4 | 2 | 100% |
| 4 | Diebold and Yilmaz (2009) Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets, Economic Journal\/, 119,… | 0.737 | 3 | 2 | 100% |
| 5 | Barigozzi, Cavaliere, and Moramarco (2022) Factor Network Autoregressions, ArXiv:2208.02925, https://arxiv.org/abs/2208.02925 | 0.511 | 2 | 1 | 100% |
| 6 | Adrian and Brunnermeier (2016) CoVaR, American Economic Review\/, 106, 1705–1741 | 0.405 | 1 | 1 | 100% |
| 7 | Acharya, Engle, and Richardson (2012) Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks, American Economic Review\/, 102, 59–64 | 0.405 | 1 | 1 | 100% |
| 8 | Diebold, Gardeazabal, and Yilmaz (1994) On Cointegration and Exchange Rate Dynamics, Journal of Finance\/, 49, 727–735 self | 0.405 | 1 | 1 | 100% |
| 9 | Diebold (2021) What’s the Big Idea? Big Data and its Origins, Significance\/, 19, 36–37 self | 0.405 | 1 | 1 | 100% |
| 10 | Diebold and Yilmaz (2016) Trans-Atlantic Equity Volatility Connectedness: U.S | 0.405 | 1 | 1 | 100% |
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