Testing for contagion: a conditional correlation analysis

On a measure of lack of fit in time series models

Greta M. Ljung, George E. P. Box · Biometrika · 1978 · 6K citations

Computing, Business Economics, Econometrics +14

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Tim Bollerslev, Jeffrey M. Wooldridge · Econometric Reviews · 1992 · 3.3K citations

Social Sciences, Economics, Econometrics +16

Transmission of Volatility between Stock Markets

Mervyn King, Sushil Wadhwani · Review of Financial Studies · 1990 · 1.6K citations

Business, Economics, Finance +17

A Rational Expectations Model of Financial Contagion

Laura E. Kodres, Matthew Pritsker · The Journal of Finance · 2002 · 1.1K citations · Full text

Business, Economics, Finance +17

Identification Through Heteroskedasticity

Roberto Rigobón · The Review of Economics and Statistics · 2003 · 939 citations

Business, Economics, Finance +17