Asymmetric spillover of geopolitical risk and oil price volatility: A global perspective

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 · 23K citations · Full text

Business, Economics, Econometrics +12

On a Test of Whether one of Two Random Variables is Stochastically Larger than the Other

H. B. Mann, Douglas R. Whitney · The Annals of Mathematical Statistics · 1947 · 13.9K citations · Full text

Natural Sciences, Mathematics, Probability Theory +11

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