Rainer Dahlhaus : Citation Profile

10

H index

10

i10 index

259

Citations

RESEARCH PRODUCTION:

19

Articles

1

Papers

RESEARCH ACTIVITY:

   34 years (1983 - 2017). See details.
   Cites by year: 7
   Journals where Rainer Dahlhaus has often published
   Relations with other researchers
   Recent citing documents: 27.    Total self citations: 2 (0.77 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pda141
   Updated: 2025-12-13    RAS profile: 2021-06-01    
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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:

Yan, Yayi (13)

Baruník, Jozef (12)

GAO, Jiti (11)

GUPTA, RANGAN (9)

Hallin, Marc (8)

Hong, Yongmiao (6)

Proietti, Tommaso (5)

Ben Nasr, Adnen (5)

Ajmi, Ahdi Noomen (5)

Perron, Pierre (5)

Lux, Thomas (4)

Cites to:

Hallin, Marc (3)

Florens, Jean-Pierre (1)

Eichler, Michael (1)

FOUGERE, DENIS (1)

Van Bellegem, Sebastien (1)

Hoffmann, Marc (1)

Renault, Eric (1)

Main data

Where Rainer Dahlhaus has published?

Journals with more than one article published# docs
Journal of Time Series Analysis6
Stochastic Processes and their Applications4
Journal of Multivariate Analysis2
Journal of Econometrics2
Journal of Financial Econometrics2

Recent works citing Rainer Dahlhaus (2025 and 2024)

YearTitle of citing document
2024Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2024). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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2024Change-Point Analysis of Time Series with Evolutionary Spectra. (2024). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2106.02031.

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2025Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2023). Polivka, Jeannine ; Dimitriadis, Timo ; Streicher, Sina ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2212.11833.

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2025The Dynamic Persistence of Economic Shocks. (2023). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2306.01511.

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2024Neural Hawkes: Non-Parametric Estimation in High Dimension and Causality Analysis in Cryptocurrency Markets. (2024). Fabre, Timoth'Ee ; Toke, Ioane Muni. In: Papers. RePEc:arx:papers:2401.09361.

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2024Predicting the volatility of major energy commodity prices: the dynamic persistence model. (2024). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2402.01354.

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2024Inference in a Stationary/Nonstationary Autoregressive Time-Varying-Parameter Model. (2024). Li, Ming. In: Papers. RePEc:arx:papers:2411.00358.

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2024Moderation or indulgence? Effects of bank distribution restrictions during stress. (2024). Baruník, Jozef ; Katsoulis, Petros ; Barunik, Jozef ; Acosta-Smith, Jonathan ; Gerba, Eddie. In: Bank of England working papers. RePEc:boe:boeewp:1053.

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2024Inference in a Stationary/Nonstationary Autoregressive Time-Varying-Parameter Model. (2024). Li, Ming. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2389.

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2024Dynamic 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.

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2024Addressing the financial impact of natural disasters in the era of climate change. (2024). Orlando, Giuseppe ; Bufalo, Michele ; Ceci, Claudia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824000779.

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2024Time-varying multivariate causal processes. (2024). GAO, Jiti ; Yan, Yayi ; Wu, Wei Biao ; Peng, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000174.

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2024Time-varying forecast combination for factor-augmented regressions with smooth structural changes. (2024). Hong, Yongmiao ; Chen, Qitong ; Li, Haiqi. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000393.

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2024Prewhitened long-run variance estimation robust to nonstationarity. (2024). Perron, Pierre ; Casini, Alessandro. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:1:s0304407624001404.

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2024Change-point analysis of time series with evolutionary spectra. (2024). Perron, Pierre ; Casini, Alessandro. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:2:s030440762400157x.

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2024Estimating and testing for smooth structural changes in moment condition models. (2024). Li, Haiqi ; Zhou, Jin ; Hong, Yongmiao. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002471.

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2024Persistence 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.

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2025A system of time-varying models for predictive regressions. (2025). Yan, Yayi ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000441.

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2024Predicting the volatility of major energy commodity prices: The dynamic persistence model. (2024). Vacha, Lukas ; Baruník, Jozef ; Vcha, Luk ; Barunk, Jozef. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s014098832400690x.

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2024Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness. (2024). Sila, Jan ; Kočenda, Evžen ; Kukacka, Jiri ; Kristoufek, Ladislav ; Kocenda, Evzen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:96:y:2024:i:c:s1042443124001288.

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2024Recall characteristics and food safety process control. (2024). Ollinger, Michael. In: Food Policy. RePEc:eee:jfpoli:v:124:y:2024:i:c:s0306919224000290.

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2024Asymptotic normality of spectral means of Hilbert space valued random processes. (2024). Kreiss, Jens-Peter ; Paparoditis, Efstathios ; Rademacher, Daniel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:173:y:2024:i:c:s0304414924000632.

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2025Mixed orthogonality graphs for continuous-time stationary processes. (2025). Fasen-Hartmann, Vicky ; Schenk, Lea. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:179:y:2025:i:c:s0304414924002096.

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2025Estimator’s Properties of Specific Time-Dependent Multivariate Time Series. (2025). Mlard, Guy. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1163-:d:1625328.

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2025Selecting fitted models under epistemic uncertainty using a stochastic process on quantile functions. (2025). Longtin, Andr ; Ren, Alexandre. In: Nature Communications. RePEc:nat:natcom:v:16:y:2025:i:1:d:10.1038_s41467-025-64658-7.

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2024Weak convergence of the conditional U-statistics for locally stationary functional time series. (2024). Bouzebda, Salim ; Soukarieh, Inass. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:27:y:2024:i:2:d:10.1007_s11203-023-09305-y.

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2025Inference in a stationary/nonstationary autoregressive time‐varying‐parameter model. (2025). Li, Ming. In: Quantitative Economics. RePEc:wly:quante:v:16:y:2025:i:3:p:823-858.

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Works by Rainer Dahlhaus:

YearTitleTypeCited
2006Diagnostic Checks in Time Series by W.K. Li In: Biometrics.
[Full Text][Citation analysis]		article0
2006Semiparametric estimation by model selection for locally stationary processes In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article10
1998On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article17
2000Hidden Frequency Estimation with Data Tapers In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article3
2012Frequency and phase estimation in time series with quasi periodic components In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2017Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article14
1983SPECTRAL ANALYSIS WITH TAPERED DATA In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article17
1985ON THE ASYMPTOTIC DISTRIBUTION OF BARTLETTS Up‐STATISTIC In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2004Generalized Levinson-Durbin and Burg algorithms In: Journal of Econometrics.
[Full Text][Citation analysis]		article27
2009Local inference for locally stationary time series based on the empirical spectral measure In: Journal of Econometrics.
[Full Text][Citation analysis]		article19
1985Asymptotic normality of spectral estimates In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article17
1989Convergence results for maximum likelihood type estimators in multivariable ARMA models II In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article4
1985A functional limit theorem for tapered empirical spectral functions In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article0
1988Empirical spectral processes and their applications to time series analysis In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article14
1996On the Kullback-Leibler information divergence of locally stationary processes In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article84
2001Locally adaptive fitting of semiparametric models to nonstationary time series In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article6
2013Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article5
2014Online 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
1992Book reviews In: Metrika: International Journal for Theoretical and Applied Statistics.
[Full Text][Citation analysis]		article0
1997Nonlinear Wavelet Estimation of Time-Varying Autoregressive Processes In: SFB 373 Discussion Papers.
[Citation analysis]		paper21

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