articleTop 1% cited
On the network topology of variance decompositions: Measuring the connectedness of financial firms
Journal of Econometrics · 2014 · Vol. 182(1) · pp. 119–134
Francis X. Diebold✉(California University of Pennsylvania)Kamil Yılmaz(Koç University)
Market Dynamics and VolatilityComplex Systems and Time Series AnalysisBanking stability, regulation, efficiencySocial connectednessVariance (accounting)EconometricsStock (firearms)Variance decomposition of forecast errorsNetwork topologyKey (lock)Financial networksFinancial crisisComputer science
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Modeling and Forecasting Realized Volatility
Econometrica · 2003 · 3,900 citations
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
The Economic Journal · 2008 · 2,919 citations
Causality: Models, Reasoning and Inference
The Philosophical Review · 2001 · 4,807 citations
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