Tail risk spillovers between Shanghai oil and other markets

Generalized impulse response analysis in linear multivariate models

M. Hashem Pesaran, Yongcheol Shin · Economics Letters · 1998 · 6K citations

Natural Sciences, Biostatistics, Statistical Modeling +8

Efficient Tests for an Autoregressive Unit Root

Graham Elliott, Thomas J. Rothenberg, James H. Stock · Econometrica · 1996 · 5.6K citations

Computing, Economics, Econometrics +15

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

Efficient tests for normality, homoscedasticity and serial independence of regression residuals

Carlos M. Jarque, Anil K. Bera · Economics Letters · 1980 · 4.2K citations

Business, Biostatistics, Econometrics +12

CAViaR

Robert F. Engle, Simone Manganelli · Journal of Business and Economic Statistics · 2004 · 2.2K citations

Management, Finance, Risk Management +17