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

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Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.4K citations

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Dynamic Conditional Correlation

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

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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

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