Geopolitical risk and energy price crash risk

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.3K citations

Forecasting Methodology, Volatility Modeling, Engineering +17

Testing for a unit root in time series regression

Peter C.B. Phillips, Pierre Perrón · Biometrika · 1988 · 17.7K citations

Economics, Backtesting, New Tests +13

On a measure of lack of fit in time series models

Greta M. Ljung, George E. P. Box · Biometrika · 1978 · 5.9K citations

Econometric Model, Overall Tests, Engineering +11

Efficient Tests for an Autoregressive Unit Root

Graham Elliott, Thomas J. Rothenberg, James H. Stock · Econometrica · 1996 · 5.5K citations

Economics, Engineering, Backtesting +13

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