Modelling and forecasting government bond spreads in the euro area: A GVAR model

Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

Francis X. Diebold, Kamil Yılmaz · The Economic Journal · 2008 · 3K citations

Business, Economics, Finance +15

Asset pricing with liquidity risk

Viral V. Acharya, Lasse Heje Pedersen · Journal of Financial Economics · 2005 · 2.9K citations

Business, Economics, Finance +17

Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model

M. Hashem Pesaran, Til Schuermann, Scott M. Weiner · Journal of Business and Economic Statistics · 2004 · 1.4K citations

Social Sciences, Economics, Forecasting +11

Exploring the international linkages of the euro area: a global VAR analysis

Stéphane Dées, Filippo di Mauro, M. Hashem Pesaran et al. · Journal of Applied Econometrics · 2007 · 920 citations · Full text

Social Sciences, Economics, Econometrics +16

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

Alessandro Beber, Michael W. Brandt, Kenneth A. Kavajecz · Review of Financial Studies · 2008 · 724 citations · Full text

Business, Economics, Finance +17