Citation analysis for Journal of Time Series Analysis / Wiley Blackwell

Citation Profile [Updated: 2019-12-04 10:36:47]

5 Years H

Impact Factor

0.3

5 Years IF

0.41

Data available in this report

[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	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1990	0.02	0.08	0.11	0.01	27	27	3	3	3	60	1	147	1		0		0	0.04
1991	0	0.08	0.06	0	26	53	4	3	6	54		152			0		0	0.04
1992	0.02	0.08	0.02	0.01	34	87	3	2	8	53	1	154	1		0		0	0.04
1993	0	0.1	0.03	0	47	134	43	4	12	60		147			0		0	0.05
1994	0	0.11	0.01	0	46	180	52	1	13	81		161			0		0	0.05
1995	0.01	0.19	0.05	0.01	6	186	25	10	23	93	1	180	1		0		0	0.08
1996	0.02	0.22	0.07	0.04	35	221	28	16	39	52	1	159	6		0		0	0.1
1997	0.05	0.22	0.04	0.02	36	257	26	11	50	41	2	168	4		0		0	0.09
1998	0	0.26	0.02	0.01	46	303	101	6	56	71		170	1		0	1	0.02	0.12
1999	0.02	0.28	0.03	0.02	44	347	38	10	67	82	2	169	4		0		0	0.14
2000	0.03	0.33	0.05	0.04	37	384	17	16	87	90	3	167	6		0		0	0.15
2001	0	0.36	0.03	0	40	424	22	10	100	81		198			0		0	0.15
2002	0	0.39	0.06	0.02	35	459	45	17	127	77		203	5		0		0	0.21
2003	0	0.4	0.07	0.02	43	502	497	31	163	75		202	5		0	13	0.3	0.2
2004	0.33	0.45	0.11	0.15	51	553	417	55	224	78	26	199	29		0	9	0.18	0.2
2005	0.33	0.46	0.13	0.17	41	594	297	73	303	94	31	206	34		0	10	0.24	0.22
2006	0.53	0.46	0.2	0.41	46	640	597	125	431	92	49	210	87	2	1.6	11	0.24	0.21
2007	0.39	0.42	0.19	0.36	42	682	254	125	563	87	34	216	78		0	3	0.07	0.18
2008	0.65	0.44	0.28	0.61	54	736	391	201	766	88	57	223	137	11	5.5	9	0.17	0.21
2009	0.56	0.44	0.29	0.59	36	772	199	223	989	96	54	234	139	15	6.7	8	0.22	0.21
2010	0.43	0.43	0.26	0.5	44	816	247	212	1201	90	39	219	109	17	8	6	0.14	0.18
2011	0.49	0.46	0.26	0.53	57	873	158	223	1425	80	39	222	118	1	0.4	1	0.02	0.21
2012	0.39	0.47	0.32	0.4	74	947	155	304	1729	101	39	233	94		0	3	0.04	0.19
2013	0.31	0.53	0.34	0.46	57	1004	233	338	2068	131	40	265	121	19	5.6	12	0.21	0.22
2014	0.39	0.55	0.35	0.39	38	1042	114	363	2431	131	51	268	105	26	7.2	4	0.11	0.22
2015	0.65	0.56	0.35	0.46	51	1093	76	387	2818	95	62	270	125	24	6.2	9	0.18	0.21
2016	0.47	0.58	0.38	0.47	49	1142	58	430	3248	89	42	277	129	34	7.9	2	0.04	0.2
2017	0.34	0.6	0.34	0.44	53	1195	28	410	3658	100	34	269	118	38	9.3	4	0.08	0.22
2018	0.3	0.76	0.33	0.41	57	1252	21	416	4074	102	31	248	101	9	2.2	4	0.07	0.31

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CIT:	Number of citations to papers published in year y
NCI:	Number of citations in year y
CCU:	Cumulative number of citations to papers published until 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:	selft citations in y to articles published in y-1 plus y-2
%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	166
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	124
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	101
4	1983	THE 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	94
5	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	92
6	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	75
7	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	69
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	66
9	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	65
10	1980	AN INTRODUCTION TO LONGâMEMORY 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	57
11	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	51
12	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	50
13	1998	Errorâcorrection Mechanism Tests for Cointegration in a Singleâequation 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	48
14	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
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	43
16	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	42
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	42
18	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	38
19	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	37
20	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	37
21	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	35
22	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	34
23	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	30
24	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	30
25	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	29
26		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	28
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	27
28	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
29	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
30	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	26
31	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	26
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	25
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	24
34	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	23
35	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	23
36	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	22
37	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	21
38	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	21
39	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	20
40	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	20
41	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	20
42	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	20
43	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	20
44	1998	Unit 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	19
45	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	19
46	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	19
47	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	18
48	2010	Least absolute deviation estimation for general autoregressive moving average time-series models. (2010). Davis, Richard A. ; Wu, Rongning . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:2:p:98-112. Full description at Econpapers \|\| Download paper	18
49	1994	DATA 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	18
50	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	18

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	54
2	1998	Errorâcorrection Mechanism Tests for Cointegration in a Singleâequation 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	40
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	36
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	33
5	1983	THE 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	30
6	1980	AN INTRODUCTION TO LONGâMEMORY 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	30
7	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	23
8	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	21
9	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	19
10	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	15
11	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	14
12	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	14
13	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	13
14	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	12
15	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	12
16	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
17	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	11
18	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	11
19	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	10
20	2016	Filtering, 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	10
21	1986	ON 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	10
22	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
23	1982	AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM. (1982). Shumway, R H ; Stoffer, D S. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:3:y:1982:i:4:p:253-264. Full description at Econpapers \|\| Download paper	9
24	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	9
25	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	9
26	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	8
27	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	8
28	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	8
29	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
30	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	8
31	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	7
32	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	7
33	2016	Improved 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
34	1983	DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUAREDâRESIDUAL AUTOCORRELATIONS. (1983). McLeod, A I ; Li, W K. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:4:p:269-273. Full description at Econpapers \|\| Download paper	6
35	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	6
36	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	6
37	2010	Least absolute deviation estimation for general autoregressive moving average time-series models. (2010). Davis, Richard A. ; Wu, Rongning . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:2:p:98-112. Full description at Econpapers \|\| Download paper	6
38	1989	ON GENERALIZED FRACTIONAL PROCESSES. (1989). Gray, Henry L ; Woodward, Wayne A ; Zhang, Nienfan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:10:y:1989:i:3:p:233-257. Full description at Econpapers \|\| Download paper	6
39	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	6
40	1996	MULTIVARIATE 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	6
41	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	6
42	1999	Gaussian Semiparametric Estimation of Nonâstationary Time Series. (1999). Velasco, Carlos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:20:y:1999:i:1:p:87-127. Full description at Econpapers \|\| Download paper	6
43	2014	A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION. (2014). Taylor, Robert ; Leybourne, Stephen ; Iacone, Fabrizio ; A. M. Robert Taylor, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:1:p:40-54. Full description at Econpapers \|\| Download paper	5
44	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	5
45	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	5
46	2012	Changepoints in times series of counts. (2012). Kirch, Claudia ; Franke, Jurgen ; Kamgaing, Joseph Tadjuidje . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:33:y:2012:i:5:p:757-770. Full description at Econpapers \|\| Download paper	5
47	2016	Testing for a Unit Root in Noncausal Autoregressive Models. (2016). Saikkonen, Pentti ; Sandberg, Rickard. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:37:y:2016:i:1:p:99-125. Full description at Econpapers \|\| Download paper	5
48	2016	Inference 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
49	1994	ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NONâLINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY. (1994). Li, W K ; Mak, T K. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:15:y:1994:i:6:p:627-636. Full description at Econpapers \|\| Download paper	5
50	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	5

Citing documents used to compute impact factor: 31

Year	Title
2018	Misspecification 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
2018	A Time-Varying Parameter Model for Local Explosions. (2018). Koopman, Siem Jan ; Blasques, Francisco ; Nientker, Marc. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180088. Full description at Econpapers \|\| Download paper
2018	Generalized 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
2018	Bayesian 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
2018	Discussion of âNonparametric Bayesian Inference in Applicationsâ: 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
2018	Wavelet 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
2018	On 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
2018	A 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
2018	Count 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
2018	The 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
2018	Conditional 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
2018	Testing for Changes in Forecasting Performance. (2018). Yamamoto, Yohei ; Perron, Pierre. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-003. Full description at Econpapers \|\| Download paper
2018	Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-002. Full description at Econpapers \|\| Download paper
2018	Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807. Full description at Econpapers \|\| Download paper
2018	Testing for Changes in Forecasting Performance. (2018). Yamamoto, Yohei ; Perron, Pierre. In: Discussion Papers. RePEc:hit:econdp:2018-03. Full description at Econpapers \|\| Download paper
2018	Tests 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
2018	A 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
2018	Fractional LÃ©vy CoxâIngersollâRoss 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	Simple 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
2018	Testing 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
2018	The 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
2018	Cointegration in functional autoregressive processes. (2018). Paruolo, Paolo ; Franchi, Massimo. In: Papers. RePEc:arx:papers:1712.07522. Full description at Econpapers \|\| Download paper
2018	State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime . In: Papers. RePEc:arx:papers:1809.08060. Full description at Econpapers \|\| Download paper
2018	State-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
2018	Modeling the Interactions between Volatility and Returns using EGARCHâM. (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
2018	Infinite-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
2018	Testing 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
2018	FDI 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
2018	Banks 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
2018	Finite 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
2018	The 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

Recent citations

Recent citations received in 2018

Year	Citing document
2018	Nonstationary 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
2018	A Residual Bootstrap for Conditional Expected Shortfall. (2018). Telg, Sean ; Heinemann, Alexander. In: Papers. RePEc:arx:papers:1811.11557. Full description at Econpapers \|\| Download paper
2018	Zero-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
2018	BOOTSTRAP 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

Year	Citing document
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	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

10 most frequent citing series

#	Series	H	Cites
1	MPRA Paper / University Library of Munich, Germany	87	164
2	Journal of Time Series Analysis / Wiley Blackwell	27	131
3	Journal of Econometrics / Elsevier	188	124
4	Papers / arXiv.org	51	85
5	Computational Statistics & Data Analysis / Elsevier	37	69
6	Statistics & Probability Letters / Elsevier	25	64
7	Economic Modelling / Elsevier	57	51
8	Journal of Multivariate Analysis / Elsevier	39	42
9	Empirical Economics / Springer	55	40
10	Econometrics / MDPI, Open Access Journal	11	40
11	Energy Economics / Elsevier	115	36