9
H index
9
i10 index
237
Citations
Rainer Dahlhaus : Citation Profile
| RESEARCH PRODUCTION: 18 Articles 1 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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34 years (1983 - 2017). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Rainer Dahlhaus. | Is cited by:
| Cites to:
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Main data
Where Rainer Dahlhaus has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Time Series Analysis | 5 |
| Stochastic Processes and their Applications | 4 |
| Journal of Multivariate Analysis | 2 |
| Journal of Financial Econometrics | 2 |
| Journal of Econometrics | 2 |
Recent works citing Rainer Dahlhaus (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Dynamic Networks in Large Financial and Economic Systems. (2020). BarunÃÂk, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842. Full description at Econpapers || Download paper |
| 2024 | Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981. Full description at Econpapers || Download paper |
| 2024 | Change-Point Analysis of Time Series with Evolutionary Spectra. (2021). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2106.02031. Full description at Econpapers || Download paper |
| 2023 | Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2022). Streicher, Sina ; Polivka, Jeannine ; Halbleib, Roxana ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2212.11833. Full description at Econpapers || Download paper |
| 2023 | Time-Varying Vector Error-Correction Models: Estimation and Inference. (2023). GAO, Jiti ; Yan, Yayi ; Peng, Bin. In: Papers. RePEc:arx:papers:2305.17829. Full description at Econpapers || Download paper |
| 2023 | The Dynamic Persistence of Economic Shocks. (2023). Vacha, Lukas ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2306.01511. Full description at Econpapers || Download paper |
| 2023 | CONSISTENCY FOR NON?LINEAR FUNCTIONS OF THE PERIODOGRAM OF TAPERED DATA. (1995). von Sachs, Rainer ; Janas, Daniel. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:16:y:1995:i:6:p:585-606. Full description at Econpapers || Download paper |
| 2023 | A wavelet-Fisz approach to spectrum estimation. (2008). Nason, Guy P. ; von Sachs, Rainer ; Fryzlewicz, Piotr. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:5:p:868-880. Full description at Econpapers || Download paper |
| 2024 | Dynamic industry uncertainty networks and the business cycle. (2024). faff, robert ; Baruník, Jozef ; Bevilacqua, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999. Full description at Econpapers || Download paper |
| 2023 | Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models. (2023). Casini, Alessandro. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:372-392. Full description at Econpapers || Download paper |
| 2024 | Time-varying multivariate causal processes. (2024). Yan, Yayi ; Wu, Wei Biao ; Peng, Bin ; Gao, Jiti. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000174. Full description at Econpapers || Download paper |
| 2024 | Time-varying forecast combination for factor-augmented regressions with smooth structural changes. (2024). Li, Haiqi ; Hong, Yongmiao ; Chen, Qitong. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000393. Full description at Econpapers || Download paper |
| 2024 | Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407. Full description at Econpapers || Download paper |
| 2023 | Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities. (2023). Lux, Thomas ; Sattarhoff, Cristina. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1678-1697. Full description at Econpapers || Download paper |
| 2023 | Understanding the land use function of station areas based on spatiotemporal similarity in rail transit ridership: A case study in Shanghai, China. (2023). Zhou, YU ; Huang, Shibiao ; Jiao, Hongzan. In: Journal of Transport Geography. RePEc:eee:jotrge:v:109:y:2023:i:c:s0966692323000406. Full description at Econpapers || Download paper |
| 2023 | Whittle estimation based on the extremal spectral density of a heavy-tailed random field. (2023). Zienkiewicz, Jacek ; Zhao, Yuwei ; Mikosch, Thomas ; Damek, Ewa. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:155:y:2023:i:c:p:232-267. Full description at Econpapers || Download paper |
| 2023 | Empirical spectral processes for stationary state space models. (2023). Mayer, Celeste ; Fasen-Hartmann, Vicky. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:155:y:2023:i:c:p:319-354. Full description at Econpapers || Download paper |
| 2023 | Nonlinear Poisson autoregression and nonlinear Hawkes processes. (2023). Khabou, Mahmoud ; Huang, Lorick. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:161:y:2023:i:c:p:201-241. Full description at Econpapers || Download paper |
| 2023 | Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2023). Tomanova, Petra ; Hol, Vladimir. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-021-10210-w. Full description at Econpapers || Download paper |
| 2023 | A subsampling perspective for extending the validity of state-of-the-art bootstraps in the frequency domain. (2023). Nordman, Daniel J ; Kaiser, Mark S ; Yu, Haihan. In: Biometrika. RePEc:oup:biomet:v:110:y:2023:i:4:p:1099-1115.. Full description at Econpapers || Download paper |
| 2023 | Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes*. (2023). Clements, Adam ; Volkov, V ; Lindsay, K A ; Hurn, A S. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:5:p:1759-1790.. Full description at Econpapers || Download paper |
| 2023 | Doubly time-dependent Hawkes process and applications in failure sequence analysis. (2023). Zuo, Xin ; Liu, Jian-Wei ; Zhang, Lu-Ning. In: Computational Statistics. RePEc:spr:compst:v:38:y:2023:i:2:d:10.1007_s00180-022-01269-6. Full description at Econpapers || Download paper |
| 2023 | SentiHawkes: a sentiment-aware Hawkes point process to model service quality of public transport using Twitter data. (2023). Winter, Stephan ; Stevenson, Mark ; Naghizade, Elham ; Rahimi, Mohammad Masoud. In: Public Transport. RePEc:spr:pubtra:v:15:y:2023:i:2:d:10.1007_s12469-022-00310-7. Full description at Econpapers || Download paper |
| 2023 | Gaussian semiparametric estimation Gaussian semiparametric estimation of two-dimensional intrinsically stationary random fields. (2023). Matsuda, Yasumasa ; Yajima, Yoshihiro. In: DSSR Discussion Papers. RePEc:toh:dssraa:136. Full description at Econpapers || Download paper |
Works by Rainer Dahlhaus:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2006 | Diagnostic Checks in Time Series by W.K. Li In: Biometrics. [Full Text][Citation analysis] | article | 0 |
| 2006 | Semiparametric estimation by model selection for locally stationary processes In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 8 |
| 1998 | On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 12 |
| 2000 | Hidden Frequency Estimation with Data Tapers In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 3 |
| 2012 | Frequency and phase estimation in time series with quasi periodic components In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
| 2017 | Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 13 |
| 1983 | SPECTRAL ANALYSIS WITH TAPERED DATA In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 17 |
| 2004 | Generalized Levinson-Durbin and Burg algorithms In: Journal of Econometrics. [Full Text][Citation analysis] | article | 27 |
| 2009 | Local inference for locally stationary time series based on the empirical spectral measure In: Journal of Econometrics. [Full Text][Citation analysis] | article | 18 |
| 1985 | Asymptotic normality of spectral estimates In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 17 |
| 1989 | Convergence results for maximum likelihood type estimators in multivariable ARMA models II In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 4 |
| 1985 | A functional limit theorem for tapered empirical spectral functions In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| 1988 | Empirical spectral processes and their applications to time series analysis In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 14 |
| 1996 | On the Kullback-Leibler information divergence of locally stationary processes In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 71 |
| 2001 | Locally adaptive fitting of semiparametric models to nonstationary time series In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 6 |
| 2013 | Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2014 | Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models.(2014) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 1992 | Book reviews In: Metrika: International Journal for Theoretical and Applied Statistics. [Full Text][Citation analysis] | article | 0 |
| 1997 | Nonlinear Wavelet Estimation of Time-Varying Autoregressive Processes In: SFB 373 Discussion Papers. [Citation analysis] | paper | 21 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team