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Citation Profile [Updated: 2020-05-04 08:05:03]
5 Years H
28
Impact Factor
0.4
5 Years IF
0.35
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 11 3 3 60 1 147 1 0 0 0.04
1991 0 0.08 0.06 0 26 53 7 3 6 54 152 0 0 0.04
1992 0.02 0.09 0.02 0.01 34 87 7 2 8 53 1 154 1 0 0 0.04
1993 0 0.1 0.03 0 47 134 50 4 12 60 147 0 0 0.05
1994 0 0.11 0.01 0 46 180 62 1 13 81 161 0 0 0.06
1995 0.01 0.2 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 42 16 39 52 1 159 6 0 0 0.1
1997 0.05 0.23 0.04 0.02 36 257 31 11 50 41 2 168 4 0 0 0.1
1998 0 0.27 0.02 0.01 46 303 148 6 56 71 170 1 0 1 0.02 0.12
1999 0.02 0.29 0.05 0.04 44 347 45 16 73 82 2 169 6 0 0 0.14
2000 0.03 0.34 0.05 0.04 37 384 29 17 94 90 3 167 6 0 0 0.15
2001 0 0.37 0.04 0 40 424 32 12 109 81 198 0 0 0.16
2002 0 0.4 0.08 0.04 35 459 56 28 147 77 203 8 0 0 0.21
2003 0 0.41 0.08 0.02 43 502 504 33 185 75 202 5 0 13 0.3 0.2
2004 0.33 0.46 0.13 0.15 51 553 427 64 255 78 26 199 30 7 10.9 10 0.2 0.21
2005 0.33 0.47 0.13 0.17 41 594 300 74 335 94 31 206 34 0 10 0.24 0.22
2006 0.53 0.47 0.2 0.42 46 640 621 127 465 92 49 210 88 2 1.6 11 0.24 0.21
2007 0.39 0.43 0.2 0.36 42 682 263 127 599 87 34 216 78 0 3 0.07 0.19
2008 0.65 0.45 0.28 0.61 54 736 402 203 804 88 57 223 137 11 5.4 9 0.17 0.21
2009 0.56 0.45 0.3 0.6 36 772 204 229 1033 96 54 234 140 15 6.6 8 0.22 0.22
2010 0.43 0.44 0.27 0.5 44 816 254 218 1251 90 39 219 109 17 7.8 6 0.14 0.18
2011 0.49 0.47 0.26 0.53 57 873 164 224 1476 80 39 222 118 1 0.4 1 0.02 0.21
2012 0.39 0.47 0.33 0.4 74 947 159 308 1784 101 39 233 94 0 3 0.04 0.2
2013 0.31 0.54 0.34 0.46 57 1004 254 341 2126 131 40 265 121 19 5.6 12 0.21 0.22
2014 0.39 0.55 0.35 0.39 38 1042 123 367 2493 131 51 268 105 26 7.1 4 0.11 0.22
2015 0.65 0.56 0.36 0.47 51 1093 85 391 2884 95 62 270 126 24 6.1 9 0.18 0.22
2016 0.47 0.57 0.38 0.47 49 1142 65 432 3316 89 42 277 129 34 7.9 2 0.04 0.2
2017 0.34 0.59 0.35 0.44 53 1195 41 413 3729 100 34 269 118 38 9.2 4 0.08 0.21
2018 0.29 0.72 0.34 0.41 57 1252 34 427 4156 102 30 248 101 9 2.1 3 0.05 0.29
2019 0.4 0.92 0.5 0.35 53 1305 6 655 4811 110 44 248 88 0 6 0.11 0.35
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
#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

177
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

127
31983THE 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

122
42003A 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.

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102
52013Combining 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.

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101
61998Error‐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.

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80
72005Unit-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.

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75
81980AN 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.

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74
92003ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS. (2003). Spagnolo, Fabio ; Psaradakis, Zacharias. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:2:p:237-252.

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70
102010A 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.

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68
112004A 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.

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67
122006Integer-Valued GARCH Process. (2006). Latour, Alain ; Ferland, Rene ; Oraichi, Driss. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:6:p:923-942.

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55
132003Gaussian Semi-parametric Estimation of Fractional Cointegration. (2003). Velasco, Carlos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:3:p:345-378.

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52
142003SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*. (2003). Rodríguez, Gabriel ; Perron, Pierre ; Rodrguez, Gabriel . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:2:p:193-220.

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47
152007Effects 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.

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46
162003Testing for Linear Trend with Application to Relative Primary Commodity Prices. (2003). Pfaffenzeller, Stephan ; Kim, Tae-Hwan ; Newbold, Paul ; Rayner, Tony . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:5:p:539-551.

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43
172004Asymmetric 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.

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42
182013Structural breaks in time series. (2013). Horvath, Lajos ; Aue, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:1-16.

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39
192006Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching. (2006). Spagnolo, Nicola ; Psaradakis, Zacharias. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:5:p:753-766.

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37
202006Uniform Limit Theory for Stationary Autoregression. (2006). Phillips, Peter ; Giraitis, Liudas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:1:p:51-60.

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37
212007CUSUM of Squares-Based Tests for a Change in Persistence. (2007). Taylor, Robert ; Leybourne, Stephen ; Kim, Tae-Hwan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:3:p:408-433.

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35
222008Bootstrap 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.

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35
232006Structural Laplace Transform and Compound Autoregressive Models. (2006). Jasiak, Joann ; gourieroux, christian ; darolles, serge. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:4:p:477-503.

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32
242004Bootstrap 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.

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31
252006Inference 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.

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30
26Consistent estimation of the memory parameter for nonlinear time series. (2006). Giraitis, Liudas ; Dalla, Violetta ; Hidalgo, Javier. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:2:p:211-251.

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28
272003Filtering and smoothing of state vector for diffuse state-space models. (2003). Koopman, Siem Jan ; Durbin, J.. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:1:p:85-98.

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28
282009Testing 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.

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28
292009A parametric estimation method for dynamic factor models of large dimensions. (2009). Marcellino, Massimiliano ; Kapetanios, George. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:30:y:2009:i:2:p:208-238.

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28
302004Analysis of low count time series data by poisson autoregression. (2004). McCabe, Brendan ; B . P. M. McCabe, ; Freeland, R. K. ; B. P. M. McCabe, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:5:p:701-722.

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28
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.

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26
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.

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25
332006Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series. (2006). Brockwell, Peter J. ; Yao, Qiwei. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:6:p:857-875.

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25
341998Unit 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.

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25
352005Examination of Some More Powerful Modifications of the Dickey-Fuller Test. (2005). Leybourne, Stephen ; Kim, Tae-Hwan ; Newbold, Paul. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:26:y:2005:i:3:p:355-369.

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24
361986ON 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.

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24
372010Local Whittle estimation of the memory parameter in presence of deterministic components. (2010). Iacone, Fabrizio. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:1:p:37-49.

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24
382011A negative binomial integer‐valued GARCH model. (2011). Zhu, Fukang . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i:1:p:54-67.

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22
392002Comparison of unit root tests for time series with level shifts. (2002). Lütkepohl, Helmut ; Lanne, Markku ; Saikkonen, Pentti ; Lutkepohl, Helmut. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:23:y:2002:i:6:p:667-685.

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22
402014A FAST FRACTIONAL DIFFERENCE ALGORITHM. (2014). Nielsen, Morten ; Noack, Andreas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:5:p:428-436.

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22
412012The 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.

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21
422004Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility Models. (2004). Jensen, Mark. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:6:p:895-922.

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21
432008Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility. (2008). Taylor, Robert ; Cavaliere, Giuseppe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:300-330.

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21
441995SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES. (1995). Marmol, Francesc . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:16:y:1995:i:3:p:313-321.

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21
452003Bootstrapping unit root tests for integrated processes. (2003). RyghSwensen, Anders. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:1:p:99-126.

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20
462007New Improved Tests for Cointegration with Structural Breaks. (2007). Westerlund, Joakim ; Edgerton, David. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:2:p:188-224.

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20
472006Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers. (2006). Escribano, Alvaro ; Sipols, Ana E. ; Aparicio, Felipe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:4:p:545-576.

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20
481996UNIT ROOTS IN PERIODIC AUTOREGRESSIONS. (1996). Franses, Philip Hans ; Boswijk, Peter H. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:17:y:1996:i:3:p:221-245.

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19
492007Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series. (2007). Brockwell, Anthony ; Srivastava, Sanjay ; Mihaela Şerban, ; Lehoczky, John. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:5:p:763-782.

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19
502008Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators. (2008). Vogelsang, Timothy ; Hashimzade, Nigar. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:1:p:142-162.

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19
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
11998Error‐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

70
21983THE 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

45
31980AN 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

44
42006A 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

42
52013Combining 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

26
62008Fractional 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

21
72013Structural breaks in time series. (2013). Horvath, Lajos ; Aue, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:1-16.

Full description at Econpapers || Download paper

15
81986ON 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

15
92006Integer-Valued GARCH Process. (2006). Latour, Alain ; Ferland, Rene ; Oraichi, Driss. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:6:p:923-942.

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13
101982AN 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.

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13
112003A 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.

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13
122010A 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.

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12
132005Unit-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.

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11
142014QUASI-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.

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11
152016Filtering, 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.

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10
161983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL 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.

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10
171998Unit 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.

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10
182004A 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.

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9
192010ADL 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

8
202002Comparison of unit root tests for time series with level shifts. (2002). Lütkepohl, Helmut ; Lanne, Markku ; Saikkonen, Pentti ; Lutkepohl, Helmut. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:23:y:2002:i:6:p:667-685.

Full description at Econpapers || Download paper

8
212010Local 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

8
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.

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7
232018Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987.

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7
241996MULTIVARIATE 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.

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7
251989ON 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.

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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.

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7
271999Gaussian Semiparametric Estimation of Non‐stationary Time Series. (1999). Velasco, Carlos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:20:y:1999:i:1:p:87-127.

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282015A Gaussian Mixture Autoregressive Model for Univariate Time Series. (2015). Saikkonen, Pentti ; Meitz, Mika ; Kalliovirta, Leena. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:36:y:2015:i:2:p:247-266.

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291994ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR 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.

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6
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.

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312013Inference 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.

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322011A negative binomial integer‐valued GARCH model. (2011). Zhu, Fukang . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i:1:p:54-67.

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6
332007Effects 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.

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342017Volatility Modeling with a Generalized t Distribution. (2017). Rao, Tata Subba ; Lange, Rutger-Jan ; Harvey, Andrew ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:175-190.

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352014NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS. (2014). Phillips, Peter ; Lieberman, Offer ; Peter C. B. Phillips, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:6:p:592-623.

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362014A FAST FRACTIONAL DIFFERENCE ALGORITHM. (2014). Nielsen, Morten ; Noack, Andreas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:5:p:428-436.

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372016Improved 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.

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382004Asymmetric 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.

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392008Bootstrap 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.

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402006Estimation 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.

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411987TIME SERIES ANALYSIS OF BOUNDED ECONOMIC VARIABLES. (1987). Wallis, Kenneth. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:8:y:1987:i:1:p:115-123.

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421984ARMA MODELS WITH ARCH ERRORS. (1984). Weiss, Andrew A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:5:y:1984:i:2:p:129-143.

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432016Poisson QMLE of Count Time Series Models. (2016). Francq, Christian ; Ahmad, Ali. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:37:y:2016:i:3:p:291-314.

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442017Testing for Panel Cointegration Using Common Correlated Effects Estimators. (2017). Carrion-i-Silvestre, Josep ; Banerjee, Anindya. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:610-636.

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451993BAYESIAN 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.

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462006Structural Laplace Transform and Compound Autoregressive Models. (2006). Jasiak, Joann ; gourieroux, christian ; darolles, serge. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:4:p:477-503.

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472004Estimation of the location and exponent of the spectral singularity of a long memory process. (2004). Hidalgo, Javier ; Soulier, Philippe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:1:p:55-81.

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482013Determining the order of the functional autoregressive model. (2013). Reimherr, Matthew ; Kokoszka, Piotr. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:116-129.

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492011A simple test of changes in mean in the possible presence of long‐range dependence. (2011). Shao, Xiaofeng. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i:6:p:598-606.

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4
501994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES. (1994). Bai, Jushan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:15:y:1994:i:5:p:453-472.

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Citing documents used to compute impact factor: 44
YearTitle
2019Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1905.01798.

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2019Bootstrapping Non-Stationary Stochastic Volatility. (2019). Cavaliere, Giuseppe ; Boswijk, H. Peter ; Rahbek, Anders ; Georgiev, Iliyan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190083.

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2019Moments-Based Spillovers across Gold and Oil Markets. (2019). Wang, Shixuan ; GUPTA, RANGAN ; Marco, Chi Keung ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:201966.

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2019High-dimensional functional time series forecasting: An application to age-specific mortality rates. (2019). Shang, Han Lin ; Yang, Yanrong ; Gao, Yuan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:170:y:2019:i:c:p:232-243.

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2019Testing the Inter-temporal Budget Constraint for Small States. (2019). Deonarine, Amrita ; Khadan, Jeetendra. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00097.

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2019Long-run relationship between exports and imports: current account sustainability tests for the EU. (2019). Stanek, Piotr ; Jalles, Joao ; Huart, Florence ; Afonso, Antonio. In: Working Papers REM. RePEc:ise:remwps:wp0992019.

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2019Intergenerational Mobility in Education: Estimates of the Worldwide Variation. (2019). Leone, Tharcisio. In: Journal of Economic Development. RePEc:jed:journl:v:44:y:2019:i:4:p:1-42.

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2019CUSUM test for general nonlinear integer-valued GARCH models: comparison study. (2019). Lee, Sangyeol. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:71:y:2019:i:5:d:10.1007_s10463-018-0676-7.

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2019Geometrically stopped Markovian random growth processes and Pareto tails. (2019). Toda, Alexis Akira ; Beare, Brendan. In: Papers. RePEc:arx:papers:1712.01431.

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2019Cointegrated linear processes in Bayes Hilbert space. (2019). Beare, Brendan ; Seo, Won-Ki. In: Statistics & Probability Letters. RePEc:eee:stapro:v:147:y:2019:i:c:p:90-95.

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2019Representation of I(1) and I(2) autoregressive Hilbertian processes. (2019). Seo, Won-Ki ; Beare, Brendan K. In: Papers. RePEc:arx:papers:1701.08149.

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2019Tests for conditional heteroscedasticity with functional data and goodness-of-fit tests for FGARCH models. (2019). Rice, Gregory ; Zhao, Yuqian ; Wirjanto, Tony. In: MPRA Paper. RePEc:pra:mprapa:93048.

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2019Functional GARCH models: The quasi-likelihood approach and its applications. (2019). Zakoian, Jean-Michel ; Hormann, Siegfried ; Francq, Christian ; Cerovecki, Clement. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:353-375.

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2019Score-driven time series models with dynamic shape : an application to the Standard & Poors 500 index. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28133.

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2019Score-Driven Models for Realized Volatility. (2019). Harvey, Andrew ; Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1950.

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2019Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28638.

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2019Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar. (2019). Blazsek, Szabolcs ; Ayala, Astrid. In: SERIEs: Journal of the Spanish Economic Association. RePEc:spr:series:v:10:y:2019:i:1:d:10.1007_s13209-018-0186-0.

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2019Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-002.

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2019Climate change implications for the catastrophe bonds market: An empirical analysis. (2019). Sbrana, Giacomo ; MORANA, CLAUDIO. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:274-294.

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2019 Saltos, tendencias y la atribución del cambio climático: un análisis de series de tiempo. (2019). Perron, Pierre ; Estrada, Francisco. In: Revista Economía. RePEc:pcp:pucrev:y:2019:i:83:p:1-31.

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2019Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model. (2019). Kapetanios, George ; Calonaci, Fabio ; Baillie, Richard T. In: Working Papers. RePEc:qmw:qmwecw:879.

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2019A Novel Method for Intelligent Fault Diagnosis of Bearing Based on Capsule Neural Network. (2019). Du, Wenhua ; He, Gaofeng ; Han, Xiaofeng ; Wang, Zhijian ; Zheng, Likang ; Zhou, Jie ; Cai, Wenan. In: Complexity. RePEc:hin:complx:6943234.

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2019Can Economic Policy Uncertainty, Volume, Transaction Activity and Twitter Predict Bitcoin? Evidence from Time-Varying Granger Causality Tests. (2019). Oxley, Les ; Lang, Chunlin ; Hu, Yang. In: Working Papers in Economics. RePEc:wai:econwp:19/12.

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2019Spot and Futures Prices of Bitcoin: Causality, Cointegration and Price Discovery from a Time-Varying Perspective. (2019). Oxley, Les ; Hou, Yang ; Hu, Yang. In: Working Papers in Economics. RePEc:wai:econwp:19/13.

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2019The Predictive Power of the Term Spread on Inequality in the United Kingdom: An Empirical Analysis. (2019). GUPTA, RANGAN ; Balcilar, Mehmet ; Cepni, Oguzhan ; Berisha, Edmond. In: Working Papers. RePEc:pre:wpaper:201981.

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2019Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach. (2019). Czudaj, Robert. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:78-145.

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2019Rational bubbles in the real housing stock market: Empirical evidence from Santiago de Chile. (2019). Gil-Alana, Luis ; Valenzuela, Mario ; Costamagna, Rodrigo ; Dettoni, Robinson. In: Research in International Business and Finance. RePEc:eee:riibaf:v:49:y:2019:i:c:p:269-281.

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2019A Brief History of Forecasting Competitions. (2019). Hyndman, Rob. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-3.

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2019Dynamic Tobit models. (2019). Harvey, Andrew ; Liao, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1913.

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2019A Bootstrap Test for the Existence of Moments for GARCH Processes. (2019). Heinemann, Alexander. In: Papers. RePEc:arx:papers:1902.01808.

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2019Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH. (2019). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:41-61.

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2019A bootstrap-based KPSS test for functional time series. (2019). Pun, Chi Seng ; Chen, Yichao. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:174:y:2019:i:c:s0047259x18306146.

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2019Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends. (2019). Marsh, Patrick. In: Discussion Papers. RePEc:not:notgts:19/03.

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2019Random coefficient continuous systems: Testing for extreme sample path behavior. (2019). Yu, Jun ; Tao, Yubo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:208-237.

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2019Quantile-Frequency Analysis and Spectral Divergence Metrics for Diagnostic Checks of Time Series With Nonlinear Dynamics. (2019). Li, Ta-Hsin . In: Papers. RePEc:arx:papers:1908.02545.

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2019Sentiment spillover effects for US and European companies. (2019). Audrino, Francesco ; Tetereva, Anastasija. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:542-567.

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2019Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2019). Blasques, Francisco ; Tomanova, Petra ; Holy, Vladimir. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190004.

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2019On a flexible construction of a negative binomial model. (2019). Rossini, Luca ; Leisen, Fabrizio ; Palma, Freddy ; Mena, Ramses H. In: Statistics & Probability Letters. RePEc:eee:stapro:v:152:y:2019:i:c:p:1-8.

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2019
2019Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models. (2019). Francq, Christian ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:97382.

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2019Labor market effects of minimum wage shocks. (2019). Micheli, Martin. In: Ruhr Economic Papers. RePEc:zbw:rwirep:830.

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2019On the Limit Theory of Mixed to Unity VARs: Panel Setting With Weakly Dependent Errors. (2019). Stauskas, Ovidijus. In: Working Papers. RePEc:hhs:lunewp:2019_002.

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2019Asymptotic theory for rough fractional Vasicek models. (2019). Yu, Jun ; Xiao, Weilin. In: Economics Letters. RePEc:eee:ecolet:v:177:y:2019:i:c:p:26-29.

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2019Testing for moderate explosiveness. (2019). Wang, Shaoping ; Sun, Yixiao ; Guo, Gangzheng. In: Econometrics Journal. RePEc:oup:emjrnl:v:22:y:2019:i:1:p:73-95..

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Recent citations
Recent citations received in 2019

YearCiting document
2019Forecasting under Long Memory and Nonstationarity. (2019). Hassler, Uwe ; Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:1910.08202.

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2019A time-varying parameter structural model of the UK economy. (2019). Waldron, Matt ; Masolo, Riccardo M. ; Petrova, Katerina ; Kapetanios, George. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:106:y:2019:i:c:5.

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2019Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework. (2019). Oxley, Les ; Glenn, Harold ; Hu, Yang. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:138-145.

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2019Bivariate integer-autoregressive process with an application to mutual fund flows. (2019). darolles, serge ; le Fol, Gaelle ; Sun, Ran ; Lu, Yang. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:173:y:2019:i:c:p:181-203.

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2019Sequential Bayesian Inference for Vector Autoregressions with Stochastic Volatility. (2019). Zito, John ; Bognanni, Mark. In: Working Papers. RePEc:fip:fedcwq:86647.

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2019Testing for moderate explosiveness. (2019). Wang, Shaoping ; Sun, Yixiao ; Guo, Gangzheng. In: Econometrics Journal. RePEc:oup:emjrnl:v:22:y:2019:i:1:p:73-95..

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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.

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

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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.

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Recent citations received in 2017

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

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

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

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

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Recent citations received in 2016

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

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

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