Better to give than to receive: Predictive directional measurement of volatility spillovers
Has this study been replicated?
The atlas records 1 reproduction of this study. Recorded outcomes: 1 failed.
Reproductions
- How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study, Caloia et al. (2019). Energy Economics. Outcome recorded: computational issues, robustness challenges.
As a result, there are no sign errors in Diebold and Yilmaz (2012), even if the row-normalization scheme is used in place of the max row sum one. However, we can detect some ranking errors. If we concentrate on the bond market, it turns out to have received less volatility spillovers than the commodity market if the row-normalization scheme (or the column-normalization) is used, as in Diebold and Yilmaz (2012). However, if we use scalar normalization, as in Panel II, we can…
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Cite this record
Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. https://doi.org/10.1016/j.ijforecast.2011.02.006
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