Francis X. Diebold

TL;DR: This paper used a generalized vector autoregressive framework to characterize daily volatility spillovers across US stock, bond, foreign exchange and commodities markets, from January 1999 to January 2010, and showed that despite significant volatility fluctuations in all four markets during the sample, cross-market volatility spillover were quite limited until the global financial crisis, which began in 2007.

TL;DR: In this article, the authors examined daily equity return volatilities and correlations obtained from high-frequency intraday transaction prices on individual stocks in the Dow Jones Industrial Average and found that the unconditional distributions of realized variances and covariances are highly right-skewed.

TL;DR: In this paper, the authors propose several connectedness measures built from pieces of variance decomposition positions, and argue that they provide natural and insightful measures of connectedness among nancial asset returns and volatilities.

TL;DR: In this article, the authors provide a simple and intuitive measure of interdependence of asset returns and/or volatilities, and formulate and examine precise and separate measures of return spillovers and volatility spillovers.

TL;DR: In this article, the authors construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade using high-frequency data on deutschemark and yen returns against the dollar.