Dynamic spillovers of oil price shocks and economic policy uncertainty

Macroeconomics and Reality

Christopher A. Sims · Econometrica · 1980 · 12.7K citations

Social Sciences, Economics, Econometrics +8

Generalized impulse response analysis in linear multivariate models

M. Hashem Pesaran, Yongcheol Shin · Economics Letters · 1998 · 6K citations

Natural Sciences, Biostatistics, Statistical Modeling +8

The Impact of Uncertainty Shocks

Nicholas Bloom · Econometrica · 2009 · 5.7K citations

Social Sciences, Business Economics, Economics +16

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

Francis X. Diebold, Kamil Yılmaz · International Journal of Forecasting · 2011 · 5.5K citations

Social Sciences, Economics, Finance +17

Impulse response analysis in nonlinear multivariate models

Gary Koop, M. Hashem Pesaran, Simon Potter · Journal of Econometrics · 1996 · 5K citations

Natural Sciences, Biostatistics, Statistical Modeling +6