On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

Collective dynamics of ‘small-world’ networks

Duncan J. Watts, Steven H. Strogatz · Nature · 1998 · 43.2K citations

Engineering, Organization Studies, Sociology +14

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

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