Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios

Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations

Business, Finance, Econometrics +16

Generalized impulse response analysis in linear multivariate models

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Natural Sciences, Biostatistics, Statistical Modeling +8

Efficient Tests for an Autoregressive Unit Root

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Impulse response analysis in nonlinear multivariate models

Gary Koop, M. Hashem Pesaran, Simon Potter · Journal of Econometrics · 1996 · 5K citations

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Francis X. Diebold, Kamil Yılmaz · Journal of Econometrics · 2014 · 4.4K citations

Business, Economics, Finance +17