Is this page useful for you? Then, help us to keep the service working. Please have a look to our donations page ... Thanks for your help!!

Journal of Time Series Analysis / Wiley Blackwell


0.32

Impact Factor

0.47

5-Years IF

27

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.020.10.01272730.1126011471 (%)0.04
19910.1265330.06254152 (%)0.04
19920.09348710.01153154 (%)0.04
19930.114713430.022860147 (%)0.05
19940.114618010.014081161 (%)0.04
19950.010.190.016186100.052393118011 (4.3%)0.07
19960.020.220.013522150.02135211592 (%)0.09
19970.020.260.013625760.02194111682 (%)0.09
19980.274630340.014671170 (%)10.020.1
19990.310.014434750.0121821692 (%)0.13
20000.010.380.0237384130.0379011674 (%)0.15
20010.384042460.011681198 (%)0.14
20020.40.0135459240.0536772033 (%)0.17
20030.420.0243502330.074897520249 (1.8%)130.30.18
20040.350.470.1451553540.141178271992820 (4.9%)90.180.19
20050.360.510.1841594710.1228994342063716 (5.5%)90.220.2
20060.540.50.43466401210.1957992502109131 (5.4%)110.240.19
20070.380.440.4426821180.1725387332168712 (4.7%)30.070.17
20080.650.470.67547361880.26379885722315018 (4.7%)90.170.19
20090.560.490.65367722100.27194965423415112 (6.2%)80.220.19
20100.440.460.54448162020.2523190402191183 (1.3%)60.140.16
20110.50.480.58578732200.25153804022212821 (13.7%)10.020.19
20120.410.510.44749472940.311491014123310316 (10.7%)30.040.19
20130.320.580.515710043300.332231314226513410 (4.5%)120.210.2
20140.40.580.443810423610.35103131532681187 (6.8%)40.110.19
20150.660.590.515110933800.357495632701375 (6.8%)90.180.19
20160.480.630.514911424220.375289432771423 (5.8%)20.040.19
20170.370.660.495311954070.3423100372691334 (17.4%)50.090.2
20180.320.90.475712524040.321510233248117 (%)50.090.29
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

155
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

119
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

99
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

86
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

73
62003ON 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

67
72004A 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

66
82010A 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

63
91983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS. (1983). Geweke, John ; Porterhudak, Susan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:4:p:221-238.

Full description at Econpapers || Download paper

51
102003Gaussian 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

50
112006Integer-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

49
122003SEARCHING 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.

Full description at Econpapers || Download paper

46
132007Effects 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

43
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.

Full description at Econpapers || Download paper

42
152004Asymmetric 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

42
162013Structural 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

37
172006Joint 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

37
182006Uniform 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
192007CUSUM 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

34
202008Bootstrap 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

34
211980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING. (1980). C. W. J. GRANGER, ; Joyeux, Roselyne. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:1:y:1980:i:1:p:15-29.

Full description at Econpapers || Download paper

33
222004Bootstrap 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

30
232006Inference 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

30
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.

Full description at Econpapers || Download paper

28
252009Testing 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
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.

Full description at Econpapers || Download paper

27
272004Analysis 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
282006Structural 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

26
292003Filtering 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
302006Gaussian 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

24
312010ADL 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

23
322004On 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

23
332005Examination 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
342010Local 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

22
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.

Full description at Econpapers || Download paper

21
362012The 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

21
372008Time-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

20
382014A 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

20
392003Bootstrapping 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

20
402006Range 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

20
412004Semiparametric 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
422007Modelling 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
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.

Full description at Econpapers || Download paper

18
442008Fixed-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

18
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.

Full description at Econpapers || Download paper

18
462006Properties 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

18
472006Estimation in Random Coefficient Autoregressive Models. (2006). Horvath, Lajos ; Aue, Alexander ; Steinebach, Josef . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:1:p:61-76.

Full description at Econpapers || Download paper

17
481994DATA AUGMENTATION AND DYNAMIC LINEAR MODELS. (1994). Fruhwirthschnatter, Sylvia. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:15:y:1994:i:2:p:183-202.

Full description at Econpapers || Download paper

17
492007New 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
501998Unit roots and smooth transitions. (1998). Leybourne, Stephen ; Vougas, Dimitrios ; Newbold, Paul. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:1:p:83-97.

Full description at Econpapers || Download paper

17

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

46
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

33
32013Combining 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

28
42013Structural 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

22
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

19
62005Unit-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

17
71983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS. (1983). Geweke, John ; Porterhudak, Susan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:4:p:221-238.

Full description at Econpapers || Download paper

16
82004A 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

14
91980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING. (1980). C. W. J. GRANGER, ; Joyeux, Roselyne. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:1:y:1980:i:1:p:15-29.

Full description at Econpapers || Download paper

14
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.

Full description at Econpapers || Download paper

13
112014QUASI-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

13
122011A 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

11
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

11
141998Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework. (1998). Mestre, Ricardo ; Banerjee, Anindya ; Dolado, Juan . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:3:p:267-283.

Full description at Econpapers || Download paper

11
152010Local 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

11
162014A 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

10
172013Inference 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
182003A 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
192014NORMING 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

9
202010ADL 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

9
212012Measuring 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.

Full description at Econpapers || Download paper

9
222003Testing 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

8
232016Poisson 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

8
242006Gaussian 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

8
252016Improved Tests for Forecast Comparisons in the Presence of Instabilities. (2016). Perron, Pierre ; Martins, Luis. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:37:y:2016:i:5:p:650-659.

Full description at Econpapers || Download paper

7
262010Banded 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

7
272015A 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
281986ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS. (1986). Chan, K S ; Tong, H. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:7:y:1986:i:3:p:179-190.

Full description at Econpapers || Download paper

7
292016Filtering, Prediction and Simulation Methods for Noncausal Processes. (2016). Jasiak, Joann ; gourieroux, christian. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:37:y:2016:i:3:p:405-430.

Full description at Econpapers || Download paper

6
302012The 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

6
312009Testing 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

6
322004Bootstrap 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

6
332008Bootstrap 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

6
342004Estimation 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
352016Inference on a Structural Break in Trend with Fractionally Integrated Errors. (2016). Perron, Pierre ; Chang, Seong Yeon. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:37:y:2016:i:4:p:555-574.

Full description at Econpapers || Download paper

5
362015Vine 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

5
372003ON 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

5
382014UNIFIED INTERVAL ESTIMATION FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. (2014). Hill, Jonathan ; Peng, Liang. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:3:p:282-297.

Full description at Econpapers || Download paper

5
392015Testing 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

5
402012First-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

5
411993BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES. (1993). Geweke, John ; Terui, Nobuhiko. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:14:y:1993:i:5:p:441-454.

Full description at Econpapers || Download paper

5
422009Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis. (2009). Kang, Jiwon ; Lee, Sangyeol. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:30:y:2009:i:2:p:239-258.

Full description at Econpapers || Download paper

4
432006Estimation in Random Coefficient Autoregressive Models. (2006). Horvath, Lajos ; Aue, Alexander ; Steinebach, Josef . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:1:p:61-76.

Full description at Econpapers || Download paper

4
442009A 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

4
451996MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES. (1996). Masry, Elias . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:17:y:1996:i:6:p:571-599.

Full description at Econpapers || Download paper

4
462015Testing 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

4
472009Estimation in nonstationary random coefficient autoregressive models. (2009). Ling, Shiqing ; Horvath, Lajos ; Berkes, Istvan . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:30:y:2009:i:4:p:395-416.

Full description at Econpapers || Download paper

4
482006Uniform 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

4
492017Functional Generalized Autoregressive Conditional Heteroskedasticity. (2017). Horvath, Lajos ; Pellatt, Daniel F ; Aue, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:3-21.

Full description at Econpapers || Download paper

4
502003Bootstrapping 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

4

Citing documents used to compute impact factor 33:


YearTitle
2018The Fixed Volatility Bootstrap for a Class of Arch(q) Models. (2018). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:920-941.

Full description at Econpapers || Download paper

2018Cointegration in functional autoregressive processes. (2018). Paruolo, Paolo ; Franchi, Massimo. In: Papers. RePEc:arx:papers:1712.07522.

Full description at Econpapers || Download paper

2018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Morariu-Patrichi, Maxime ; Pakkanen, Mikko S. In: Papers. RePEc:arx:papers:1809.08060.

Full description at Econpapers || Download paper

2018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko ; Morariu-Patrichi, Maxime . In: CREATES Research Papers. RePEc:aah:create:2018-26.

Full description at Econpapers || Download paper

2018Modeling the Interactions between Volatility and Returns using EGARCH‐M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919.

Full description at Econpapers || Download paper

2018Infinite-Variance Error Structure in Finance and Economics. (2018). Serttas, Fatma Ozgu. In: International Econometric Review (IER). RePEc:erh:journl:v:10:y:2018:i:1:p:14-23.

Full description at Econpapers || Download paper

2018Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility. (2018). Rodrigues, Paulo ; Demetrescu, Matei ; Rubia, Antonio. In: Working Papers. RePEc:ptu:wpaper:w201817.

Full description at Econpapers || Download paper

2018The multiple filter test for change point detection in time series. (2018). Messer, Michael ; Schneider, Gaby ; Albert, Stefan. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:81:y:2018:i:6:d:10.1007_s00184-018-0672-1.

Full description at Econpapers || Download paper

2018
2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807.

Full description at Econpapers || Download paper

2018FDI and sanctions: An empirical analysis of short- and long-run effects. (2018). Mirkina, Irina. In: European Journal of Political Economy. RePEc:eee:poleco:v:54:y:2018:i:c:p:198-225.

Full description at Econpapers || Download paper

2018Banks holdings of and trading in government bonds. (2018). Manna, Michele ; Nobili, Stefano. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1166_18.

Full description at Econpapers || Download paper

2018Misspecification of noncausal order in autoregressive processes. (2018). Jasiak, Joann ; gourieroux, christian. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:226-248.

Full description at Econpapers || Download paper

2018A Time-Varying Parameter Model for Local Explosions. (2018). Blasques, Francisco ; Nientker, Marc ; Koopman, Siem Jan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180088.

Full description at Econpapers || Download paper

2018A simple test on structural change in long-memory time series. (2018). Wenger, Kai ; Sibbertsen, Philipp ; Leschinski, Christian. In: Economics Letters. RePEc:eee:ecolet:v:163:y:2018:i:c:p:90-94.

Full description at Econpapers || Download paper

2018Fractional Lévy Cox–Ingersoll–Ross and Jacobi processes. (2018). Fink, Holger ; Schluchtermann, Georg. In: Statistics & Probability Letters. RePEc:eee:stapro:v:142:y:2018:i:c:p:84-91.

Full description at Econpapers || Download paper

2018
2018
2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807.

Full description at Econpapers || Download paper

2018Testing for Changes in Forecasting Performance. (2018). Yamamoto, Yohei ; Perron, Pierre. In: Discussion Papers. RePEc:hit:econdp:2018-03.

Full description at Econpapers || Download paper

2018Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework. (2018). Casini, Alessandro. In: Papers. RePEc:arx:papers:1803.10883.

Full description at Econpapers || Download paper

2018Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators. (2018). Yang, Jingjing ; Vogelsang, Timothy J. In: Economics Letters. RePEc:eee:ecolet:v:165:y:2018:i:c:p:21-27.

Full description at Econpapers || Download paper

2018The Hierarchical Spectral Merger Algorithm: A New Time Series Clustering Procedure. (2018). Euan, Carolina ; Ortega, Joaquin ; Ombao, Hernando. In: Journal of Classification. RePEc:spr:jclass:v:35:y:2018:i:1:d:10.1007_s00357-018-9250-5.

Full description at Econpapers || Download paper

2018Conditional adaptive Bayesian spectral analysis of nonstationary biomedical time series. (2018). Bruce, Scott A ; Krafty, Robert T ; Buysse, Daniel J ; Hall, Martica H. In: Biometrics. RePEc:bla:biomet:v:74:y:2018:i:1:p:260-269.

Full description at Econpapers || Download paper

2018Bayesian nonparametric vector autoregressive models. (2018). Kalli, Maria ; Griffin, Jim E. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:267-282.

Full description at Econpapers || Download paper

2018Discussion of “Nonparametric Bayesian Inference in Applications”: Bayesian nonparametric methods in econometrics. (2018). Steel, Mark ; Kalli, Maria ; Griffin, Jim . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:27:y:2018:i:2:d:10.1007_s10260-017-0384-0.

Full description at Econpapers || Download paper

2018On periodic ergodicity of a general periodic mixed Poisson autoregression. (2018). Aknouche, Abdelhakim ; Demouche, Nacer ; Bentarzi, Wissam . In: Statistics & Probability Letters. RePEc:eee:stapro:v:134:y:2018:i:c:p:15-21.

Full description at Econpapers || Download paper

2018A new bivariate integer-valued GARCH model allowing for negative cross-correlation. (2018). Cui, Yan ; Zhu, Fukang . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:2:d:10.1007_s11749-017-0552-4.

Full description at Econpapers || Download paper

2018Count and duration time series with equal conditional stochastic and mean orders. (2018). Francq, Christian ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:90838.

Full description at Econpapers || Download paper

2018Simple robust tests for the specification of high-frequency predictors of a low-frequency series. (2018). Miller, J.. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:45-66.

Full description at Econpapers || Download paper

2018Testing Cointegrating Relationships Using Irregular and Non-Contemporaneous Series with an Application to Paleoclimate Data. (2018). Miller, J.. In: Working Papers. RePEc:umc:wpaper:1809.

Full description at Econpapers || Download paper

2018Wavelet eigenvalue regression for n-variate operator fractional Brownian motion. (2018). Abry, Patrice ; Didier, Gustavo. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:168:y:2018:i:c:p:75-104.

Full description at Econpapers || Download paper

2018Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models. (2018). Aknouche, Abdelhakim ; Demouche, Nacer ; Al-Eid, Eid . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:21:y:2018:i:3:d:10.1007_s11203-017-9160-x.

Full description at Econpapers || Download paper

Recent citations (cites in year: CiY)


Recent citations received in 2018

YearCiting document
2018Nonstationary cointegration in the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Johansen, Soren. In: CREATES Research Papers. RePEc:aah:create:2018-17.

Full description at Econpapers || Download paper

2018Nonstationary cointegration in the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Johansen, Soren. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274731.

Full description at Econpapers || Download paper

2018A Residual Bootstrap for Conditional Expected Shortfall. (2018). Telg, Sean ; Heinemann, Alexander. In: Papers. RePEc:arx:papers:1811.11557.

Full description at Econpapers || Download paper

2018Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

Full description at Econpapers || Download paper

2018BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS. (2018). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Nielsen, Heino Bohn . In: Discussion Papers. RePEc:kud:kuiedp:1810.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Cointegration 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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

Recent citations received in 2015

YearCiting document
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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2015Nonlinearity 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

2015Forecasting 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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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 March, 4 2019. Contact: CitEc Team