Concepedia
International Journal of Forecasting · 2021 · 72 citations · 31 references
Social SciencesEconomicsGlobalizationInternational EconomicsEconomic GlobalizationEconomic IntegrationEconomic InterdependenceGlobal IntegrationGlobal Political EconomyGlobal Trade NetworksEconomic ConnectivityTrade ConnectivityWorld Economy
31
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
Techniques for Testing the Constancy of Regression Relationships Over Time
R. L. Brown, J. Durbin, Jessica Evans · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1975 · 5K citations
Business, Mathematics, Econometrics +16
On the network topology of variance decompositions: Measuring the connectedness of financial firms
Francis X. Diebold, Kamil Yılmaz · Journal of Econometrics · 2014 · 4.4K citations
Business, Economics, Finance +17
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