Dynamic volatility spillovers and investment strategies between the Chinese stock market and commodity markets

Dynamic Conditional Correlation

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

Econometric Model, Economics, Volatility Modeling +15

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

Better to give than to receive: Predictive directional measurement of volatility spillovers

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

Economics, Volatility Modeling, Financial Economics +13

Impulse response analysis in nonlinear multivariate models

Gary Koop, M. Hashem Pesaran, Simon Potter · Journal of Econometrics · 1996 · 4.9K citations

Nonlinear System Identification, Impulse Response Analysis, Nonlinear Process +3

MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*

Andrew J. Patton · International Economic Review · 2006 · 2.1K citations

Currency Movements, Economics, Deutsche Mark +14