Testing for contagion: a conditional correlation analysis

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Econometric Model, Overall Tests, Engineering +11

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

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Parameter Identification, Parameter Estimation, Engineering +14

Transmission of Volatility between Stock Markets

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Empirical Finance, Volatility Modeling, Multivariate Stochastic Volatility +15

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

Empirical Finance, Market Microstructure, Economics +14

Identification Through Heteroskedasticity

Roberto Rigobón · The Review of Economics and Statistics · 2003 · 920 citations

Econometric Model, Economics, Structural Shocks +15