Volatility spillover between oil prices and main exchange rates: Evidence from a DCC-GARCH-connectedness approach

Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations

Business, Finance, Econometrics +16

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

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

Business, Economics, Finance +17