References

• 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
• 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
• 1999An Introduction to Copulas7,743 cited
• 1998Generalized impulse response analysis in linear multivariate models6,129 cited
• 1996Impulse response analysis in nonlinear multivariate models5,071 cited
• 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
• 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
• 2009Real-Time Measurement of Business Conditions916 cited
• 2012The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil378 cited
• 2016Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises339 cited
• 2013Bank/sovereign risk spillovers in the European debt crisis289 cited
• 2004THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS273 cited
• 2012Eurozone sovereign contagion: Evidence from the CDS market (2005–2010)182 cited
• 2014Mutual excitation in Eurozone sovereign CDS105 cited
• 2011Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis