Asymmetric volatility spillover between oil-importing and oil-exporting countries' economic policy uncertainty and China's energy sector

Measuring Economic Policy Uncertainty*

Scott Baker, Nicholas Bloom, Steven J. Davis · The Quarterly Journal of Economics · 2016 · 11.9K citations · Full text

Social Sciences, Economics, Finance +9

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

Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

Ole E. Barndorff–Nielsen, Neil Shephard · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2002 · 2.3K citations · Full text

Business, Economics, Finance +17