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Journal of Time Series Analysis / Wiley Blackwell


0.36

Impact Factor

0.49

5-Years IF

25

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.04
19910.1000 (%)0.04
19920.1000 (%)0.04
19930.11000 (%)0.05
19940.11000 (%)0.04
19950.196621001 (4.8%)0.07
19960.23666 (%)0.09
19970.170.270.17610.176161 (%)0.09
19980.28606 (%)0.1
19990.320.17620.33061 (%)0.13
20000.390.5661063 (%)0.15
20010.39640.6700 (%)0.14
20020.416132.1700 (%)0.17
20030.434349180.37468009 (1.9%)130.30.18
20040.470.480.4751100350.353904320432019 (4.9%)80.160.2
20050.350.520.3541141500.352779433943315 (5.4%)90.220.21
20060.540.510.68461871090.5854492501359230 (5.5%)100.220.2
20070.370.440.4542229940.4124087321818112 (5%)30.070.18
20080.650.480.68542831710.6361885722315216 (4.4%)90.170.2
20090.560.490.65363192000.63183965423415111 (6%)80.220.19
20100.430.460.52443631820.521690392191133 (1.4%)60.140.17
20110.490.50.56574201990.47140803922212521 (15%)10.020.19
20120.410.530.44744942650.541371014123310216 (11.7%)30.040.19
20130.320.590.5575513190.582031314226513310 (4.9%)120.210.21
20140.40.610.44385893480.5987131532681177 (8%)50.130.2
20150.680.630.51516403720.586395652701384 (6.3%)100.20.2
20160.480.70.5496893990.583789432771393 (8.1%)20.040.2
20170.360.780.49537423920.5313100362691332 (15.4%)60.110.23
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


#YearTitleCited
12006A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks. (2006). Lee, Junsoo ; Enders, Walter ; Becker, Ralf. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:3:p:381-409.

Full description at Econpapers || Download paper

147
22008Fractional integration and structural breaks at unknown periods of time. (2008). Gil-Alana, Luis. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:1:p:163-185.

Full description at Econpapers || Download paper

114
32003A Sieve Bootstrap For The Test Of A Unit Root. (2003). Park, Joon ; Chang, Yoosoon. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:4:p:379-400.

Full description at Econpapers || Download paper

94
42013Combining non-cointegration tests. (2013). Bayer, Christian ; Hanck, Christoph . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:83-95.

Full description at Econpapers || Download paper

83
52005Unit-root testing against the alternative hypothesis of up to m structural breaks. (2005). Kapetanios, George. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:26:y:2005:i:1:p:123-133.

Full description at Econpapers || Download paper

69
62004A Dependence Metric for Possibly Nonlinear Processes. (2004). Racine, Jeffrey ; Maasoumi, Esfandiar ; Granger, Clive. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:5:p:649-669.

Full description at Econpapers || Download paper

61
72010A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component. (2010). Perron, Pierre ; Kejriwal, Mohitosh. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:5:p:305-328.

Full description at Econpapers || Download paper

59
82003ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS. (2003). Spagnolo, Fabio ; Psaradakis, Zacharias. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:2:p:237-252.

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55
92003Gaussian Semi-parametric Estimation of Fractional Cointegration. (2003). Velasco, Carlos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:3:p:345-378.

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53
102006Integer-Valued GARCH Process. (2006). Latour, Alain ; Ferland, Rene ; Oraichi, Driss. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:6:p:923-942.

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46
112003SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*. (2003). Rodríguez, Gabriel ; Perron, Pierre ; Rodrguez, Gabriel . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:2:p:193-220.

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46
122007Effects of outliers on the identification and estimation of GARCH models. (2007). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:4:p:471-497.

Full description at Econpapers || Download paper

41
132004Asymmetric adjustment and smooth transitions: a combination of some unit root tests. (2004). Sollis, Robert. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:3:p:409-417.

Full description at Econpapers || Download paper

39
142003Testing for Linear Trend with Application to Relative Primary Commodity Prices. (2003). Pfaffenzeller, Stephan ; Kim, Tae-Hwan ; Newbold, Paul ; Rayner, Tony . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:5:p:539-551.

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39
152006Uniform Limit Theory for Stationary Autoregression. (2006). Phillips, Peter ; Giraitis, Liudas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:1:p:51-60.

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36
162006Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching. (2006). Spagnolo, Nicola ; Psaradakis, Zacharias. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:5:p:753-766.

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35
172007CUSUM of Squares-Based Tests for a Change in Persistence. (2007). Taylor, Robert ; Leybourne, Stephen ; Kim, Tae-Hwan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:3:p:408-433.

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33
182008Bootstrap Unit-Root Tests: Comparison and Extensions. (2008). Urbain, Jean-Pierre ; Smeekes, Stephan ; Palm, Franz. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:371-401.

Full description at Econpapers || Download paper

31
192013Structural breaks in time series. (2013). Horvath, Lajos ; Aue, Alexander . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:1-16.

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29
202006Inference in Autoregression under Heteroskedasticity. (2006). Xu, Ke-Li ; Phillips, Peter. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:2:p:289-308.

Full description at Econpapers || Download paper

29
212004Bootstrap predictive inference for ARIMA processes. (2004). Ruiz, Esther ; Pascual, Lorenzo ; Romo, Juan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:4:p:449-465.

Full description at Econpapers || Download paper

28
222004Analysis of low count time series data by poisson autoregression. (2004). McCabe, Brendan ; B . P. M. McCabe, ; Freeland, R. K. ; B. P. M. McCabe, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:5:p:701-722.

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27
232009Testing for a break in persistence under long-range dependencies. (2009). Sibbertsen, Philipp ; Kruse, Robinson. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:30:y:2009:i:3:p:263-285.

Full description at Econpapers || Download paper

27
24Consistent estimation of the memory parameter for nonlinear time series. (2006). Giraitis, Liudas ; Dalla, Violetta ; Hidalgo, Javier. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:2:p:211-251.

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26
252006Structural Laplace Transform and Compound Autoregressive Models. (2006). Jasiak, Joann ; gourieroux, christian ; darolles, serge. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:4:p:477-503.

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25
262009A parametric estimation method for dynamic factor models of large dimensions. (2009). Marcellino, Massimiliano ; Kapetanios, George. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:30:y:2009:i:2:p:208-238.

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24
272014A FAST FRACTIONAL DIFFERENCE ALGORITHM. (2014). Nielsen, Morten ; Noack, Andreas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:5:p:428-436.

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24
282003Filtering and smoothing of state vector for diffuse state-space models. (2003). Koopman, Siem Jan ; Durbin, J.. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:1:p:85-98.

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24
292004On the Autocorrelation Properties of Long-Memory GARCH Processes. (2004). Sola, Martin ; Psaradakis, Zacharias ; Karanasos, Menelaos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:2:p:265-282.

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22
302005Examination of Some More Powerful Modifications of the Dickey-Fuller Test. (2005). Leybourne, Stephen ; Kim, Tae-Hwan ; Newbold, Paul . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:26:y:2005:i:3:p:355-369.

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21
312006Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series. (2006). Brockwell, Peter J. ; Yao, Qiwei. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:6:p:857-875.

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21
322010ADL tests for threshold cointegration. (2010). Li, Jing ; Lee, Junsoo. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:4:p:241-254.

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20
332010Local Whittle estimation of the memory parameter in presence of deterministic components. (2010). Iacone, Fabrizio. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:1:p:37-49.

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20
342012The averaged periodogram estimator for a power law in coherency. (2012). Sela, Rebecca ; Hurvich, Clifford. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:33:y:2012:i:2:p:340-363.

Full description at Econpapers || Download paper

19
352011A negative binomial integer‐valued GARCH model. (2011). Zhu, Fukang . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i:1:p:54-67.

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19
362004Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility Models. (2004). Jensen, Mark. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:6:p:895-922.

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19
372007Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series. (2007). Brockwell, Anthony ; Srivastava, Sanjay ; Mihaela Şerban, ; Lehoczky, John. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:5:p:763-782.

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18
382008Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility. (2008). Taylor, Robert ; Cavaliere, Giuseppe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:300-330.

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18
392008Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators. (2008). Vogelsang, Timothy ; Hashimzade, Nigar. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:1:p:142-162.

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17
402007New Improved Tests for Cointegration with Structural Breaks. (2007). Westerlund, Joakim ; Edgerton, David. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:2:p:188-224.

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17
412006Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers. (2006). Escribano, Alvaro ; Sipols, Ana E. ; Aparicio, Felipe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:4:p:545-576.

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17
422006Properties of higher order stochastic cycles. (2006). Trimbur, Thomas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:1:p:1-17.

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17
431995SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES. (1995). Marmol, Francesc . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:16:y:1995:i:3:p:313-321.

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16
442003Bootstrapping unit root tests for integrated processes. (2003). RyghSwensen, Anders. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:1:p:99-126.

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16
452008Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes. (2008). Poskitt, Donald. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:224-250.

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16
462006Tests for Long-Run Granger Non-Causality in Cointegrated Systems. (2006). Kurozumi, Eiji ; YAMAMOTO, Taku . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:5:p:703-723.

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15
472010Interventions in INGARCH processes. (2010). Fokianos, Konstantinos ; Fried, Roland . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:3:p:210-225.

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15
482003Diagnostic Checking in a Flexible Nonlinear Time Series Model. (2003). Medeiros, Marcelo ; Veiga, Alvaro. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:4:p:461-482.

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15
492008Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break. (2008). Trenkler, Carsten ; Saikkonen, Pentti ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:331-358.

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15
502006Modelling Count Data Time Series with Markov Processes Based on Binomial Thinning. (2006). Joe, Harry ; Zhu, Rong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:5:p:725-738.

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15

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
12006A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks. (2006). Lee, Junsoo ; Enders, Walter ; Becker, Ralf. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:3:p:381-409.

Full description at Econpapers || Download paper

58
22013Combining non-cointegration tests. (2013). Bayer, Christian ; Hanck, Christoph . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:83-95.

Full description at Econpapers || Download paper

48
32008Fractional integration and structural breaks at unknown periods of time. (2008). Gil-Alana, Luis. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:1:p:163-185.

Full description at Econpapers || Download paper

39
42005Unit-root testing against the alternative hypothesis of up to m structural breaks. (2005). Kapetanios, George. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:26:y:2005:i:1:p:123-133.

Full description at Econpapers || Download paper

26
52010A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component. (2010). Perron, Pierre ; Kejriwal, Mohitosh. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:5:p:305-328.

Full description at Econpapers || Download paper

24
62006Integer-Valued GARCH Process. (2006). Latour, Alain ; Ferland, Rene ; Oraichi, Driss. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:6:p:923-942.

Full description at Econpapers || Download paper

20
72013Structural breaks in time series. (2013). Horvath, Lajos ; Aue, Alexander . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:1-16.

Full description at Econpapers || Download paper

20
82014A FAST FRACTIONAL DIFFERENCE ALGORITHM. (2014). Nielsen, Morten ; Noack, Andreas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:5:p:428-436.

Full description at Econpapers || Download paper

17
92004A Dependence Metric for Possibly Nonlinear Processes. (2004). Racine, Jeffrey ; Maasoumi, Esfandiar ; Granger, Clive. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:5:p:649-669.

Full description at Econpapers || Download paper

16
102004Asymmetric adjustment and smooth transitions: a combination of some unit root tests. (2004). Sollis, Robert. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:3:p:409-417.

Full description at Econpapers || Download paper

13
112011A negative binomial integer‐valued GARCH model. (2011). Zhu, Fukang . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i:1:p:54-67.

Full description at Econpapers || Download paper

12
122010ADL tests for threshold cointegration. (2010). Li, Jing ; Lee, Junsoo. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:4:p:241-254.

Full description at Econpapers || Download paper

11
132013Inference for single and multiple change-points in time series. (2013). MacNeill, Ian ; Jandhyala, Venkata ; Fotopoulos, Stergios ; Liu, Pengyu . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:4:p:423-446.

Full description at Econpapers || Download paper

10
142004Bootstrap predictive inference for ARIMA processes. (2004). Ruiz, Esther ; Pascual, Lorenzo ; Romo, Juan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:4:p:449-465.

Full description at Econpapers || Download paper

9
152003ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS. (2003). Spagnolo, Fabio ; Psaradakis, Zacharias. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:2:p:237-252.

Full description at Econpapers || Download paper

9
162015Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series. (2015). Miller, J. ; Ghysels, Eric. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:36:y:2015:i:6:p:797-816.

Full description at Econpapers || Download paper

9
172003Testing for Linear Trend with Application to Relative Primary Commodity Prices. (2003). Pfaffenzeller, Stephan ; Kim, Tae-Hwan ; Newbold, Paul ; Rayner, Tony . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:5:p:539-551.

Full description at Econpapers || Download paper

9
182014QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS. (2014). Fokianos, Konstantinos ; Christou, Vasiliki . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:1:p:55-78.

Full description at Econpapers || Download paper

9
192010Local Whittle estimation of the memory parameter in presence of deterministic components. (2010). Iacone, Fabrizio. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:1:p:37-49.

Full description at Econpapers || Download paper

9
202003A Sieve Bootstrap For The Test Of A Unit Root. (2003). Park, Joon ; Chang, Yoosoon. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:4:p:379-400.

Full description at Econpapers || Download paper

9
212007Effects of outliers on the identification and estimation of GARCH models. (2007). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:4:p:471-497.

Full description at Econpapers || Download paper

9
222010Banded and tapered estimates for autocovariance matrices and the linear process bootstrap. (2010). Politis, Dimitris N. ; McMurry, Timothy L.. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:6:p:471-482.

Full description at Econpapers || Download paper

8
232008Bootstrap Unit-Root Tests: Comparison and Extensions. (2008). Urbain, Jean-Pierre ; Smeekes, Stephan ; Palm, Franz. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:371-401.

Full description at Econpapers || Download paper

8
242009Testing for a break in persistence under long-range dependencies. (2009). Sibbertsen, Philipp ; Kruse, Robinson. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:30:y:2009:i:3:p:263-285.

Full description at Econpapers || Download paper

8
252012Measuring nonlinear dependence in time‐series, a distance correlation approach. (2012). Zhou, Zhou. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:33:y:2012:i:3:p:438-457.

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8
262015A Gaussian Mixture Autoregressive Model for Univariate Time Series. (2015). Saikkonen, Pentti ; Meitz, Mika ; Kalliovirta, Leena. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:36:y:2015:i:2:p:247-266.

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7
272012First-order integer valued AR processes with zero inflated poisson innovations. (2012). Lai, Chin-Diew ; Jazi, Mansour Aghababaei ; Jones, Geoff. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:33:y:2012:i:6:p:954-963.

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7
282012The averaged periodogram estimator for a power law in coherency. (2012). Sela, Rebecca ; Hurvich, Clifford. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:33:y:2012:i:2:p:340-363.

Full description at Econpapers || Download paper

7
292007New Improved Tests for Cointegration with Structural Breaks. (2007). Westerlund, Joakim ; Edgerton, David. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:2:p:188-224.

Full description at Econpapers || Download paper

7
302006Inference in Autoregression under Heteroskedasticity. (2006). Xu, Ke-Li ; Phillips, Peter. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:2:p:289-308.

Full description at Econpapers || Download paper

7
312006Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series. (2006). Brockwell, Peter J. ; Yao, Qiwei. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:6:p:857-875.

Full description at Econpapers || Download paper

7
322004Analysis of low count time series data by poisson autoregression. (2004). McCabe, Brendan ; B . P. M. McCabe, ; Freeland, R. K. ; B. P. M. McCabe, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:5:p:701-722.

Full description at Econpapers || Download paper

6
332011Spatio‐temporal smoothing and EM estimation for massive remote‐sensing data sets. (2011). Katzfuss, Matthias ; Cressie, Noel. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i::p:430-446.

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6
342011A test for second‐order stationarity of a time series based on the discrete Fourier transform. (2011). Rao, Suhasini Subba ; Dwivedi, Yogesh . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i:1:p:68-91.

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6
352011Threshold quantile autoregressive models. (2011). Olmo, Jose ; Montes Rojas, Gabriel ; Galvao, Antonio F. ; MontesRojas, Gabriel . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i:3:p:253-267.

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6
362016Poisson QMLE of Count Time Series Models. (2016). Francq, Christian ; Ahmad, Ali. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:37:y:2016:i:3:p:291-314.

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6
372014NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS. (2014). Phillips, Peter ; Lieberman, Offer ; Peter C. B. Phillips, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:6:p:592-623.

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6
382013Estimation of vector error correction models with mixed-frequency data. (2013). Zadrozny, Peter ; Seong, Byeongchan ; Ahn, Sung K.. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:2:p:194-205.

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5
392008Stability of nonlinear AR-GARCH models. (2008). Saikkonen, Pentti ; Meitz, Mika. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:3:p:453-475.

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5
402011A simple test of changes in mean in the possible presence of long‐range dependence. (2011). Shao, Xiaofeng. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i:6:p:598-606.

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5
412009A parametric estimation method for dynamic factor models of large dimensions. (2009). Marcellino, Massimiliano ; Kapetanios, George. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:30:y:2009:i:2:p:208-238.

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5
422008Quantile self-exciting threshold autoregressive time series models. (2008). Cai, Yuzhi ; Stander, Julian . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:1:p:186-202.

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5
432013High-frequency sampling and kernel estimation for continuous-time moving average processes. (2013). Kluppelberg, Claudia ; Ferrazzano, Vincenzo ; Brockwell, Peter J.. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:3:p:385-404.

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5
442015Testing for Mild Explosivity and Bubbles in LME Non-Ferrous Metals Prices. (2015). Kellard, Neil ; McCrorie, Roderick J ; Gilbert, Christopher L ; Figuerola-Ferretti, Isabel ; Coakley, Jerry ; Osborn, Denise . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:36:y:2015:i:5:p:763-782.

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5
452007Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series. (2007). Brockwell, Anthony ; Srivastava, Sanjay ; Mihaela Şerban, ; Lehoczky, John. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:5:p:763-782.

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5
462013CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns. (2013). Wied, Dominik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:2:p:221-229.

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5
472006Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching. (2006). Spagnolo, Nicola ; Psaradakis, Zacharias. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:5:p:753-766.

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5
482004Estimation of the location and exponent of the spectral singularity of a long memory process. (2004). Hidalgo, Javier ; Soulier, Philippe . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:1:p:55-81.

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5
492010Interventions in INGARCH processes. (2010). Fokianos, Konstantinos ; Fried, Roland . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:3:p:210-225.

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5
502008Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break. (2008). Trenkler, Carsten ; Saikkonen, Pentti ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:331-358.

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5

Citing documents used to compute impact factor 36:


YearTitle
2017Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles. (2017). Zakoian, Jean-Michel ; Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:81345.

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2017A Spectral Domain Test for Stationarity of Spatio-Temporal Data. (2017). Rao, Tata Subba ; Jentsch, Carsten ; Bandyopadhyay, Soutir ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:326-351.

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2017Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity. (2017). Chandler, Gabe ; Polonik, Wolfgang . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:72-98.

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2017Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments. (2017). Wenger, Kai ; Sibbertsen, Philipp ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-598.

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2017Predicting white metal prices by a commodity sensitive exchange rate. (2017). Ciner, Cetin . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:309-315.

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2017Testing for State-Dependent Predictive Ability. (2017). Fossati, Sebastian. In: Working Papers. RePEc:ris:albaec:2017_009.

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2017Bootstrapping INAR models. (2017). Jentsch, Carsten ; Weiss, Christian. In: Working Papers. RePEc:mnh:wpaper:42881.

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2017Tests for Structural Changes in Time Series of Counts. (2017). Hudecova, arka ; Meintanis, Simos G ; Hukova, Marie. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:4:p:843-865.

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2017Supervised dimension reduction for multivariate time series. (2017). Matilainen, M ; Croux, C ; Nordhausen, K ; Oja, H. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:57-69.

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2017Negative binomial quasi-likelihood inference for general integer-valued time series models. (2017). Aknouche, Abdelhakim ; Bendjeddou, Sara . In: MPRA Paper. RePEc:pra:mprapa:76574.

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2017Conditional maximum likelihood estimation for a class of observation-driven time series models for count data. (2017). Cui, Yunwei ; Zheng, QI. In: Statistics & Probability Letters. RePEc:eee:stapro:v:123:y:2017:i:c:p:193-201.

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2017On periodic ergodicity of a general periodic mixed Poisson autoregression. (2017). Aknouche, Abdelhakim ; Demouche, Nacer ; Bentarzi, Wissam . In: MPRA Paper. RePEc:pra:mprapa:79650.

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2017TESTING GARCH-X TYPE MODELS. (2017). Pedersen, Rasmus Sondergaard ; Rahbek, Anders. In: Discussion Papers. RePEc:kud:kuiedp:1715.

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2017Parametric Spectral Discrimination. (2017). Grant, Andrew J ; Quinn, Barry G. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:838-864.

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2017Empirical likelihood ratio in penalty form and the convex hull problem. (2017). Baragona, Roberto ; Cucina, Domenico ; Battaglia, Francesco . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:26:y:2017:i:4:d:10.1007_s10260-017-0382-2.

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2017Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2017). Telg, Sean ; Lieb, Lenard ; Hecq, Alain. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:48-:d:117025.

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2017Do financial reforms help stabilize inequality?. (2017). McAdam, Peter ; Christopoulos, Dimitris. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:45-61.

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2017Capturing the impact of shocks on the electricity sector performance in the OECD. (2017). POLEMIS, MICHAEL. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:99-107.

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2017The Japanese Taylor rule estimated using censored quantile regressions. (2017). Kashiwagi, Masanori ; Chen, Jau-er. In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:1:d:10.1007_s00181-016-1074-8.

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2017Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses. (2017). Perron, Pierre ; Chang, Seong Yeon. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:5-:d:87211.

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2017Unit Roots and Structural Breaks. (2017). Perron, Pierre. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:22-:d:100001.

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2017Stock return prediction under GARCH — An empirical assessment. (2017). Herwartz, Helmut. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:569-580.

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2017Mixed-Frequency Macro-Financial Spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1704.

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2017Mixed-frequency macro-financial spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john. In: Working Papers. RePEc:ucd:wpaper:201704.

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2017Modelling bank performance: A network DEA approach. (2017). Fukuyama, Hirofumi ; Matousek, Roman. In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:2:p:721-732.

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2017Non-Interest Income and Bank Efficiency in Ghana: A Two-Stage DEA Bootstrapping Approach. (2017). Alhassan, Abdul Latif ; Tetteh, Michael Lawer . In: Journal of African Business. RePEc:taf:wjabxx:v:18:y:2017:i:1:p:124-142.

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2017Negative binomial quasi-likelihood inference for general integer-valued time series models. (2017). Aknouche, Abdelhakim ; Bendjeddou, Sara . In: MPRA Paper. RePEc:pra:mprapa:76574.

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2017The asymptotic behaviour of the residual sum of squares in models with multiple break points. (2017). Osborn, Denise ; Sakkas, Nikolaos ; Hall, Alastair R. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:667-698.

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2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. (2017). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:165-188.

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2017Parametric Spectral Discrimination. (2017). Grant, Andrew J ; Quinn, Barry G. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:838-864.

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2017Bubbles, Froth and Facts: Another Look at the Masters Hypothesis in Commodity Futures Markets. (2017). Sanders, Dwight R ; Irwin, Scott H. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:68:y:2017:i:2:p:345-365.

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2017Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles. (2017). Zakoian, Jean-Michel ; Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:81345.

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2017A new approach to model regime switching. (2017). Chang, Yoosoon ; Park, Joon Y ; Choi, Yongok . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:127-143.

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2017Business Cycle Dating after the Great Moderation: A Consistent Two – Stage Maximum Likelihood Method. (2017). Mbara, Gilbert . In: Working Papers. RePEc:war:wpaper:2017-13.

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2017Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152.

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2017Copula-Based Factor Models for Multivariate Asset Returns. (2017). Ivanov, Eugen ; Ramsauer, Franz ; Min, Aleksey . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:20-:d:98854.

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Recent citations (cites in year: CiY)


Recent citations received in 2017

YearCiting document
2017Geometrically stopped Markovian random growth processes and Pareto tails. (2017). Toda, Alexis Akira ; Beare, Brendan. In: Papers. RePEc:arx:papers:1712.01431.

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2017Cointegration in functional autoregressive processes. (2017). Paruolo, Paolo ; Franchi, Massimo. In: Papers. RePEc:arx:papers:1712.07522.

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2017A Plug-in Bandwidth Selection Procedure for Long-Run Covariance Estimation with Stationary Functional Time Series. (2017). Shang, Han Lin ; Rice, Gregory . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:591-609.

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2017A New Covariance Function and Spatio-Temporal Prediction (Kriging) for A Stationary Spatio-Temporal Random Process. (2017). Rao, Subba T ; Terdik, Gyorgy . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:936-959.

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2017An endogenous regime-switching model of ordered choice with an application to federal funds rate target.. (2017). Sirchenko, Andrei. In: 2017 Papers. RePEc:jmp:jm2017:psi424.

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2017Cointegration in functional autoregressive processes. (2017). Paruolo, Paolo ; Franchi, Massimo. In: DSS Empirical Economics and Econometrics Working Papers Series. RePEc:sas:wpaper:20175.

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Recent citations received in 2016

YearCiting document
2016Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2016). Telg, Sean ; Lieb, Lenard ; Hecq, Alain. In: MPRA Paper. RePEc:pra:mprapa:74922.

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2016Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models. (2016). Demouche, Nacer ; Al-Eid, Eid ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:75770.

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Recent citations received in 2015

YearCiting document
2015Forecasting daily political opinion polls using the fractionally cointegrated VAR model. (2015). Nielsen, Morten ; Shibaev, Sergei S. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274666.

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2015Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns. (2015). Perron, Pierre ; Varneskov, Rasmus T. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2015-015.

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2015Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets. (2015). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; Taylor, A. M. Robert, . In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:2:p:557-579.

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2015Threshold models in time series analysis—Some reflections. (2015). Tong, Howell. In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:2:p:485-491.

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2015Are there multiple bubbles in the ethanol–gasoline price ratio of Brazil?. (2015). GUPTA, RANGAN ; El Montasser, Ghassen ; Wanke, Peter ; Martins, Andre Luis . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:52:y:2015:i:c:p:19-23.

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2015Nonlinearity and cross-country dependence of income inequality. (2015). Malinen, Tuomas ; Kalliovirta, Leena. In: Working Papers. RePEc:inq:inqwps:ecineq2015-358.

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2015Forecasting daily political opinion polls using the fractionally cointegrated VAR model. (2015). Shibaev, Sergei ; Nielsen, Morten. In: Working Papers. RePEc:qed:wpaper:1340.

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2015Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode. (2015). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150111.

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2015Multivariate Markov Families of Copulas. (2015). Ludger, Overbeck ; Wolfgang, Schmidt . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:13:n:11.

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2015Forecasting time series with multivariate copulas. (2015). Clarence, Simard ; Bruno, Remillard . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:24:n:5.

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Recent citations received in 2014

YearCiting document
2014A fractionally cointegrated VAR analysis of economic voting and political support. (2014). Nielsen, Morten ; Popiel, Michal Ksawery . In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274652.

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2014A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing. (2014). Phillips, Peter ; Lieberman, Offer ; Peter C. B. Phillips, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1964.

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2014Quantile Spectral Analysis for Locally Stationary Time Series. (2014). Hallin, Marc ; Dette, Holger ; Kley, Tobias ; Skowronek, Stefan ; Volgushev, Stanislav. In: Working Papers ECARES. RePEc:eca:wpaper:2013/159999.

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2014Inference on nonstationary time series with moving mean. (2014). Robinson, Peter M ; Gao, Jiti. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:66509.

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2014Autocovariance and Linear Transformations of Markov Switching VARMA Processes. (2014). Cavicchioli, Maddalena. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:6:y:2014:i:4:p:275-289.

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Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2th 2018. Contact: CitEc Team