Citation analysis for Journal of Time Series Analysis / Wiley Blackwell

Journal of Time Series Analysis / Wiley Blackwell

0.36

Impact Factor

0.49

5-Years IF

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

	IF	AIF	IF5	DOC	CDO	CCU	CIF	CIT	D2Y	C2Y	D5Y	C5Y	%SC	CiY	II	AII
1990		0.1			0				0		0		(%)			0.04
1991		0.1			0				0		0		(%)			0.04
1992		0.09			0				0		0		(%)			0.04
1993		0.11			0				0		0		(%)			0.05
1994		0.12			0				0		0		(%)			0.04
1995		0.19		6	6			21	0		0		1 (4.8%)			0.07
1996		0.23			6				6		6		(%)			0.09
1997	0.17	0.26	0.17		6	1	0.17		6	1	6	1	(%)			0.09
1998		0.28			6				0		6		(%)			0.1
1999		0.32	0.17		6	2	0.33		0		6	1	(%)			0.13
2000		0.39	0.5		6	6	1		0		6	3	(%)			0.15
2001		0.39			6	4	0.67		0		0		(%)			0.14
2002		0.4			6	13	2.17		0		0		(%)			0.17
2003		0.43		43	49	18	0.37	475	0		0		9 (1.9%)	13	0.3	0.18
2004	0.47	0.48	0.47	51	100	35	0.35	399	43	20	43	20	19 (4.8%)	8	0.16	0.19
2005	0.35	0.52	0.35	41	141	50	0.35	282	94	33	94	33	15 (5.3%)	9	0.22	0.2
2006	0.54	0.51	0.68	46	187	109	0.58	552	92	50	135	92	30 (5.4%)	10	0.22	0.2
2007	0.37	0.45	0.45	42	229	95	0.41	246	87	32	181	82	12 (4.9%)	3	0.07	0.18
2008	0.65	0.48	0.68	54	283	171	0.6	364	88	57	223	152	16 (4.4%)	9	0.17	0.2
2009	0.56	0.49	0.65	36	319	203	0.64	186	96	54	234	152	11 (5.9%)	8	0.22	0.19
2010	0.43	0.46	0.53	44	363	185	0.51	219	90	39	219	115	3 (1.4%)	6	0.14	0.17
2011	0.5	0.49	0.57	57	420	203	0.48	143	80	40	222	127	21 (14.7%)	1	0.02	0.19
2012	0.41	0.52	0.44	74	494	270	0.55	141	101	41	233	103	16 (11.3%)	3	0.04	0.19
2013	0.32	0.58	0.51	57	551	322	0.58	205	131	42	265	134	10 (4.9%)	12	0.21	0.2
2014	0.4	0.6	0.44	38	589	351	0.6	89	131	53	268	118	7 (7.9%)	5	0.13	0.2
2015	0.68	0.61	0.51	51	640	375	0.59	66	95	65	270	139	4 (6.1%)	10	0.2	0.19
2016	0.48	0.68	0.51	49	689	405	0.59	40	89	43	277	141	3 (7.5%)	2	0.04	0.2
2017	0.36	0.73	0.49	53	742	393	0.53	13	100	36	269	133	2 (15.4%)	5	0.09	0.22

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:

#	Year	Title	Cited
1	2006	A 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	152
2	2008	Fractional 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	115
3	2003	A 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	98
4	2013	Combining 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
5	2005	Unit-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	70
6	2004	A 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	64
7	2010	A 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
8	2003	ON 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	55
9	2003	Gaussian 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. Full description at Econpapers \|\| Download paper	53
10	2006	Integer-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	46
11	2003	SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES. (2003). RodrÃÂguez, Gabriel ; Perron, Pierre ; Rodrguez, Gabriel . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:2:p:193-220*. Full description at Econpapers \|\| Download paper	46
12	2007	Effects 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	42
13	2004	Asymmetric 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	40
14	2003	Testing 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	40
15	2006	Uniform 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. Full description at Econpapers \|\| Download paper	36
16	2006	Joint 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. Full description at Econpapers \|\| Download paper	35
17	2007	CUSUM 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. Full description at Econpapers \|\| Download paper	33
18	2008	Bootstrap 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	32
19	2013	Structural 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	30
20	2006	Inference 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
21	2004	Bootstrap 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	29
22	2004	Analysis 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	27
23	2009	Testing 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
24		Consistent 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. Full description at Econpapers \|\| Download paper	26
25	2003	Filtering 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. Full description at Econpapers \|\| Download paper	25
26	2006	Structural 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. Full description at Econpapers \|\| Download paper	25
27	2009	A 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. Full description at Econpapers \|\| Download paper	25
28	2014	A 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	24
29	2010	ADL 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	22
30	2004	On 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. Full description at Econpapers \|\| Download paper	22
31	2005	Examination 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. Full description at Econpapers \|\| Download paper	22
32	2006	Gaussian 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	22
33	2010	Local 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	20
34	2012	The 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	20
35	2011	A negative binomial integerâvalued 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	19
36	2004	Semiparametric 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. Full description at Econpapers \|\| Download paper	19
37	2003	Bootstrapping 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. Full description at Econpapers \|\| Download paper	18
38	2007	Modelling 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. Full description at Econpapers \|\| Download paper	18
39	2008	Time-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. Full description at Econpapers \|\| Download paper	18
40	2007	New 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	17
41	2006	Range 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. Full description at Econpapers \|\| Download paper	17
42	2008	Properties 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. Full description at Econpapers \|\| Download paper	17
43	2006	Properties 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. Full description at Econpapers \|\| Download paper	17
44	2008	Fixed-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. Full description at Econpapers \|\| Download paper	17
45	1995	SPURIOUS 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. Full description at Econpapers \|\| Download paper	16
46	2010	Interventions 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. Full description at Econpapers \|\| Download paper	15
47	2003	Diagnostic 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. Full description at Econpapers \|\| Download paper	15
48	2008	Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break. (2008). Trenkler, Carsten ; Saikkonen, Pentti ; LÃÂ¼tkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:331-358. Full description at Econpapers \|\| Download paper	15
49	2006	Modelling 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. Full description at Econpapers \|\| Download paper	15
50	2006	Tests 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. Full description at Econpapers \|\| Download paper	15

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

#	Year	Title	Cited
1	2006	A 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	60
2	2013	Combining 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
3	2008	Fractional 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	40
4	2005	Unit-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
5	2010	A 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
6	2013	Structural 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	21
7	2006	Integer-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
8	2004	A 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	18
9	2014	A 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
10	2004	Asymmetric 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
11	2010	ADL 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	13
12	2011	A negative binomial integerâvalued 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
13	2003	A 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	10
14	2013	Inference 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
15	2007	Effects 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	10
16	2012	Measuring nonlinear dependence in timeâseries, 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. Full description at Econpapers \|\| Download paper	9
17	2003	Testing 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
18	2015	Testing 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
19	2004	Bootstrap 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
20	2014	QUASI-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
21	2003	ON 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
22	2010	Local 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
23	2008	Bootstrap 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
24	2009	Testing 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
25	2012	The 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	8
26	2010	Banded 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
27	2006	Gaussian 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
28	2007	New 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
29	2015	A 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. Full description at Econpapers \|\| Download paper	7
30	2014	NORMING 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. Full description at Econpapers \|\| Download paper	7
31	2012	First-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. Full description at Econpapers \|\| Download paper	7
32	2006	Inference 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
33	2016	Poisson 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. Full description at Econpapers \|\| Download paper	6
34	2004	Analysis 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
35	2015	Testing 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. Full description at Econpapers \|\| Download paper	6
36	2011	Spatioâtemporal smoothing and EM estimation for massive remoteâsensing data sets. (2011). Katzfuss, Matthias ; Cressie, Noel. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i::p:430-446. Full description at Econpapers \|\| Download paper	6
37	2015	Vine Copula Specifications for Stationary Multivariate Markov Chains. (2015). Beare, Brendan ; Seo, Juwon. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:36:y:2015:i:2:p:228-246. Full description at Econpapers \|\| Download paper	6
38	2009	A 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. Full description at Econpapers \|\| Download paper	6
39	2011	A test for secondâorder 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. Full description at Econpapers \|\| Download paper	6
40	2004	Estimation 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. Full description at Econpapers \|\| Download paper	6
41	2011	Threshold 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. Full description at Econpapers \|\| Download paper	6
42	2015	DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES. (2015). Kechagias, Stefanos ; Pipiras, Vladas . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:36:y:2015:i:1:p:1-25. Full description at Econpapers \|\| Download paper	5
43	2008	Stability 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. Full description at Econpapers \|\| Download paper	5
44	2006	Joint 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. Full description at Econpapers \|\| Download paper	5
45	2009	Computationally efficient methods for two multivariate fractionally integrated models. (2009). Sela, Rebecca ; Hurvich, Clifford. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:30:y:2009:i:6:p:631-651. Full description at Econpapers \|\| Download paper	5
46	2013	Estimation 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. Full description at Econpapers \|\| Download paper	5
47	2008	Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break. (2008). Trenkler, Carsten ; Saikkonen, Pentti ; LÃÂ¼tkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:331-358. Full description at Econpapers \|\| Download paper	5
48	2010	Interventions 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. Full description at Econpapers \|\| Download paper	5
49	2008	Quantile 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. Full description at Econpapers \|\| Download paper	5
50	2007	High Moment Partial Sum Processes of Residuals in ARMA Models and their Applications. (2007). Yu, Hao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:1:p:72-91. Full description at Econpapers \|\| Download paper	5

Citing documents used to compute impact factor 36:

Year	Title
2017	Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles. (2017). Zakoian, Jean-Michel ; Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:81345. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Residual 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. Full description at Econpapers \|\| Download paper
2017	Change-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. Full description at Econpapers \|\| Download paper
2017	Predicting 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. Full description at Econpapers \|\| Download paper
2017	Testing for State-Dependent Predictive Ability. (2017). Fossati, Sebastian. In: Working Papers. RePEc:ris:albaec:2017_009. Full description at Econpapers \|\| Download paper
2017	Bootstrapping INAR models. (2017). Jentsch, Carsten ; Weiss, Christian. In: Working Papers. RePEc:mnh:wpaper:42881. Full description at Econpapers \|\| Download paper
2017	Tests 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. Full description at Econpapers \|\| Download paper
2017	Supervised 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. Full description at Econpapers \|\| Download paper
2017	Negative binomial quasi-likelihood inference for general integer-valued time series models. (2017). Aknouche, Abdelhakim ; Bendjeddou, Sara . In: MPRA Paper. RePEc:pra:mprapa:76574. Full description at Econpapers \|\| Download paper
2017	Conditional 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. Full description at Econpapers \|\| Download paper
2017	On periodic ergodicity of a general periodic mixed Poisson autoregression. (2017). Aknouche, Abdelhakim ; Demouche, Nacer ; Bentarzi, Wissam . In: MPRA Paper. RePEc:pra:mprapa:79650. Full description at Econpapers \|\| Download paper
2017	TESTING GARCH-X TYPE MODELS. (2017). Pedersen, Rasmus Sondergaard ; Rahbek, Anders. In: Discussion Papers. RePEc:kud:kuiedp:1715. Full description at Econpapers \|\| Download paper
2017	Parametric 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. Full description at Econpapers \|\| Download paper
2017	Empirical 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. Full description at Econpapers \|\| Download paper
2017	Do 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. Full description at Econpapers \|\| Download paper
2017	Do 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. Full description at Econpapers \|\| Download paper
2017	Capturing 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. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Fractional 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. Full description at Econpapers \|\| Download paper
2017	Unit Roots and Structural Breaks. (2017). Perron, Pierre. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:22-:d:100001. Full description at Econpapers \|\| Download paper
2017	Stock return prediction under GARCH â An empirical assessment. (2017). Herwartz, Helmut. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:569-580. Full description at Econpapers \|\| Download paper
2017	Mixed-Frequency Macro-Financial Spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john. In: KoÃ§ University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1704. Full description at Econpapers \|\| Download paper
2017	Mixed-frequency macro-financial spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john. In: Working Papers. RePEc:ucd:wpaper:201704. Full description at Econpapers \|\| Download paper
2017	Modelling 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. Full description at Econpapers \|\| Download paper
2017	Non-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. Full description at Econpapers \|\| Download paper
2017	Negative binomial quasi-likelihood inference for general integer-valued time series models. (2017). Aknouche, Abdelhakim ; Bendjeddou, Sara . In: MPRA Paper. RePEc:pra:mprapa:76574. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Quasi-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. Full description at Econpapers \|\| Download paper
2017	Parametric 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. Full description at Econpapers \|\| Download paper
2017	Bubbles, 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. Full description at Econpapers \|\| Download paper
2017	Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles. (2017). Zakoian, Jean-Michel ; Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:81345. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Business Cycle Dating after the Great Moderation: A Consistent Two â Stage Maximum Likelihood Method. (2017). Mbara, Gilbert . In: Working Papers. RePEc:war:wpaper:2017-13. Full description at Econpapers \|\| Download paper
2017	Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152. Full description at Econpapers \|\| Download paper
2017	Copula-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. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2017

Year	Citing document
2017	Geometrically stopped Markovian random growth processes and Pareto tails. (2017). Toda, Alexis Akira ; Beare, Brendan. In: Papers. RePEc:arx:papers:1712.01431. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	An 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. Full description at Econpapers \|\| Download paper
2017	Cointegration in functional autoregressive processes. (2017). Paruolo, Paolo ; Franchi, Massimo. In: DSS Empirical Economics and Econometrics Working Papers Series. RePEc:sas:wpaper:20175. Full description at Econpapers \|\| Download paper

Recent citations received in 2016

Year	Citing document
2016	Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2016). Telg, Sean ; Lieb, Lenard ; Hecq, Alain. In: MPRA Paper. RePEc:pra:mprapa:74922. Full description at Econpapers \|\| Download paper
2016	Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models. (2016). Demouche, Nacer ; Al-Eid, Eid ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:75770. Full description at Econpapers \|\| Download paper

Recent citations received in 2015

Year	Citing document
2015	Forecasting 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. Full description at Econpapers \|\| Download paper
2015	Combining 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. Full description at Econpapers \|\| Download paper
2015	Bootstrap 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. Full description at Econpapers \|\| Download paper
2015	Threshold models in time series analysisâSome reflections. (2015). Tong, Howell. In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:2:p:485-491. Full description at Econpapers \|\| Download paper
2015	Are there multiple bubbles in the ethanolâgasoline 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. Full description at Econpapers \|\| Download paper
2015	Nonlinearity and cross-country dependence of income inequality. (2015). Malinen, Tuomas ; Kalliovirta, Leena. In: Working Papers. RePEc:inq:inqwps:ecineq2015-358. Full description at Econpapers \|\| Download paper
2015	Forecasting daily political opinion polls using the fractionally cointegrated VAR model. (2015). Shibaev, Sergei ; Nielsen, Morten. In: Working Papers. RePEc:qed:wpaper:1340. Full description at Econpapers \|\| Download paper
2015	Interconnections 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. Full description at Econpapers \|\| Download paper
2015	Multivariate 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. Full description at Econpapers \|\| Download paper
2015	Forecasting 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. Full description at Econpapers \|\| Download paper

Recent citations received in 2014

Year	Citing document
2014	A 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. Full description at Econpapers \|\| Download paper
2014	A 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. Full description at Econpapers \|\| Download paper
2014	Quantile 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. Full description at Econpapers \|\| Download paper
2014	Inference on nonstationary time series with moving mean. (2014). Robinson, Peter M ; Gao, Jiti. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:66509. Full description at Econpapers \|\| Download paper
2014	Autocovariance 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. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	Cites
1	Journal of Time Series Analysis / Wiley Blackwell	67
2	MPRA Paper / University Library of Munich, Germany	53
3	Statistics & Probability Letters / Elsevier	41
4	Journal of Econometrics / Elsevier	39
5	Computational Statistics & Data Analysis / Elsevier	37
6	Physica A: Statistical Mechanics and its Applications / Elsevier	24
7	Papers / arXiv.org	22
8	Empirical Economics / Springer	21
9	Journal of Multivariate Analysis / Elsevier	21
10	Energy Economics / Elsevier	20
11	TEST: An Official Journal of the Spanish Society of Statistics and Operations Research / Springer	18

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.