Oil, gold and international stock markets: Extreme spillovers, connectedness and its determinants

Generalized impulse response analysis in linear multivariate models

M. Hashem Pesaran, Yongcheol Shin · Economics Letters · 1998 · 5.9K citations

Multidimensional Analysis, Multivariate Approximation, Linear Multivariate Models +3

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

Francis X. Diebold, Kamil Yılmaz · International Journal of Forecasting · 2011 · 5.1K citations

Economics, Volatility Modeling, Financial Economics +13

Impulse response analysis in nonlinear multivariate models

Gary Koop, M. Hashem Pesaran, Simon Potter · Journal of Econometrics · 1996 · 4.9K citations

Nonlinear System Identification, Impulse Response Analysis, Nonlinear Process +3

On the network topology of variance decompositions: Measuring the connectedness of financial firms

Francis X. Diebold, Kamil Yılmaz · Journal of Econometrics · 2014 · 4.2K citations

Variance Decompositions, Financial Network Analysis, Network Science +12

Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

Francis X. Diebold, Kamil Yılmaz · The Economic Journal · 2008 · 2.9K citations

Empirical Finance, Volatility Modeling, Time Series Econometrics +17