Louzis, Dimitrios P. - 2012
This study examines the return (price) and volatility spillovers among the money, stock, foreign exchange and bond … Diebold and Yilmaz (2012) [Better to give than to receive: Predictive directional measurement of volatility spillovers …-2012), suggest a high level of total return and volatility spillover effects throughout the sample, indicating that, on average, more …