Good and bad volatility spillovers: An asymmetric connectedness

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.6K citations · Full text

Empirical Finance, Volatility Modeling, Monthly Conditional Volatility +18

Generalized impulse response analysis in linear multivariate models

M. Hashem Pesaran, Yongcheol Shin · Economics Letters · 1998 · 5.9K citations

Multidimensional Analysis, Multivariate Approximation, Linear Multivariate Models +3

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Francis X. Diebold, Kamil Yılmaz · International Journal of Forecasting · 2011 · 5.1K citations

Economics, Volatility Modeling, Financial Economics +13

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

Francis X. Diebold, Kamil Yılmaz · The Economic Journal · 2008 · 2.9K citations

Empirical Finance, Volatility Modeling, Time Series Econometrics +17

Identification Through Heteroskedasticity

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

Econometric Model, Economics, Structural Shocks +15