The zero lower bound and market spillovers: Evidence from the G7 and Norway

Statistical analysis of cointegration vectors

Søren Johansen · Journal of Economic Dynamics and Control · 1988 · 16.6K citations

Financial Time Series Analysis, Cointegration Vectors, Business +3

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

David A. Dickey, Wayne A. Fuller · Econometrica · 1981 · 14.4K citations

Autoregressive Time Series, Financial Time Series Analysis, Unit Root +4

Testing the null hypothesis of stationarity against the alternative of a unit root

Denis Kwiatkowski, Peter C.B. Phillips, Peter Schmidt et al. · Journal of Econometrics · 1992 · 12.4K citations

Unit Root, Null Hypothesis

Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 6.9K citations

Econometric Model, Economics, Volatility Modeling +15

Efficient Tests for an Autoregressive Unit Root

Graham Elliott, Thomas J. Rothenberg, James H. Stock · Econometrica · 1996 · 5.5K citations

Economics, Engineering, Backtesting +13