Extreme return spillovers and connectedness between crude oil and precious metals futures markets: Implications for portfolio management

Regression Quantiles

Roger Koenker, Gilbert W. Bassett · Econometrica · 1978 · 12.9K citations

Natural Sciences, Biostatistics, Statistics +4

Testing the null hypothesis of stationarity against the alternative of a unit root

Denis Kwiatkowski, Peter C.B. Phillips, Peter Schmidt et al. · Journal of Econometrics · 1992 · 12.6K citations

Social Sciences, Economics, Econometrics +9

Distribution of the Estimators for Autoregressive Time Series With a Unit Root

David A. Dickey, Wayne A. Fuller · Journal of the American Statistical Association · 1979 · 9.1K citations

Business, Economics, Econometrics +12

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