articleInternational Journal of ForecastingMay 26, 2011Closed access

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

FXFrancis X. DieboldKYKamil Yılmaz

University of Pennsylvania · National Bureau of Economic Research · +1 more institution

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Topics
Keywords
  • Volatility (finance)
  • Economics
  • Volatility smile
  • Implied volatility
  • Volatility swap
  • Econometrics
  • Forward volatility
  • Autoregressive model
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