Citation analysis for Journal of Time Series Analysis / Wiley Blackwell

Citation Profile [Updated: 2020-06-03 07:38:54]

5 Years H

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	12	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	9	2	8	53	1	154	1		0		0	0.04
1993	0	0.1	0.03	0	47	134	52	4	12	60		147			0		0	0.05
1994	0	0.11	0.01	0	46	180	66	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	43	16	39	52	1	159	6		0		0	0.1
1997	0.05	0.23	0.04	0.02	36	257	32	11	50	41	2	168	4		0		0	0.1
1998	0	0.27	0.02	0.01	46	303	159	6	56	71		170	1		0	1	0.02	0.12
1999	0.02	0.29	0.05	0.04	44	347	49	16	73	82	2	169	6		0		0	0.14
2000	0.03	0.34	0.05	0.04	37	384	34	17	94	90	3	167	6		0		0	0.15
2001	0	0.36	0.04	0	40	424	37	12	109	81		198			0		0	0.16
2002	0	0.4	0.08	0.04	35	459	57	28	147	77		203	8		0		0	0.21
2003	0	0.41	0.08	0.02	43	502	504	36	188	75		202	5		0	13	0.3	0.2
2004	0.33	0.46	0.13	0.15	51	553	428	67	261	78	26	199	30	7	10.4	10	0.2	0.21
2005	0.33	0.47	0.14	0.17	41	594	303	76	343	94	31	206	34		0	10	0.24	0.22
2006	0.53	0.47	0.2	0.42	46	640	628	127	473	92	49	210	88	2	1.6	11	0.24	0.21
2007	0.39	0.42	0.2	0.36	42	682	266	127	607	87	34	216	78		0	3	0.07	0.19
2008	0.65	0.45	0.29	0.62	54	736	407	215	824	88	57	223	138	11	5.1	9	0.17	0.21
2009	0.56	0.44	0.3	0.6	36	772	205	234	1058	96	54	234	141	15	6.4	8	0.22	0.21
2010	0.43	0.44	0.27	0.5	44	816	255	224	1282	90	39	219	109	17	7.6	6	0.14	0.18
2011	0.49	0.46	0.26	0.53	57	873	167	224	1507	80	39	222	118	1	0.4	1	0.02	0.21
2012	0.39	0.47	0.33	0.4	74	947	160	308	1815	101	39	233	94		0	3	0.04	0.19
2013	0.31	0.53	0.34	0.46	57	1004	257	341	2157	131	40	265	121	19	5.6	12	0.21	0.22
2014	0.39	0.55	0.35	0.39	38	1042	127	367	2524	131	51	268	105	26	7.1	4	0.11	0.21
2015	0.65	0.55	0.36	0.47	51	1093	90	391	2915	95	62	270	126	24	6.1	9	0.18	0.21
2016	0.47	0.56	0.38	0.47	49	1142	66	432	3347	89	42	277	129	34	7.9	2	0.04	0.2
2017	0.34	0.58	0.35	0.44	53	1195	46	413	3760	100	34	269	118	38	9.2	4	0.08	0.21
2018	0.29	0.7	0.34	0.41	57	1252	37	427	4187	102	30	248	101	9	2.1	3	0.05	0.28
2019	0.4	0.88	0.51	0.35	53	1305	9	671	4858	110	44	248	88		0	6	0.11	0.33

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	179
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	132
3	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	130
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	102
5	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	102
6	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	85
7	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	85
8	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	76
9	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	70
10	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	69
11	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	67
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	56
13	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	52
14	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	47
15	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	47
16	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	43
17	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
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	41
19	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	38
20	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
21	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	37
22	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
23	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	32
24	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	32
25	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
26	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	29
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	28
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	28
29		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
30	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	28
31	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	27
32	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
33	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
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	25
35	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	24
36	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	24
37	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	24
38	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
39	2002	Comparison of unit root tests for time series with level shifts. (2002). LÃÂ¼tkepohl, 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	23
40	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	23
41	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	23
42	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
43	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	21
44	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
45	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	21
46	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	21
47	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	20
48	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	20
49	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
50	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

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

#	Year	Title	Cited
1	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	75
2	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	52
3	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	49
4	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	44
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	27
6	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	26
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	17
8	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	15
9	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
10	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	13
11	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	13
12	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	13
13	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	12
14	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	12
15	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	12
16	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	12
17	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	10
18	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
19	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	9
20	2002	Comparison of unit root tests for time series with level shifts. (2002). LÃÂ¼tkepohl, 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	9
21	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	8
22	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	8
23	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	8
24	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	8
25	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	7
26	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	7
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	7
28	2014	NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS. (2014). Phillips, Peter ; Lieberman, Offer ; Peter C. B. Phillips, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:6:p:592-623. Full description at Econpapers \|\| Download paper	7
29	2015	A Gaussian Mixture Autoregressive Model for Univariate Time Series. (2015). Saikkonen, Pentti ; Meitz, Mika ; Kalliovirta, Leena. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:36:y:2015:i:2:p:247-266. Full description at Econpapers \|\| Download paper	7
30	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	7
31	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	7
32	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	7
33	2018	Change 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. Full description at Econpapers \|\| Download paper	7
34	1984	ARMA 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. Full description at Econpapers \|\| Download paper	6
35	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	6
36	2017	Volatility 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. Full description at Econpapers \|\| Download paper	6
37	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	6
38	2016	Poisson QMLE of Count Time Series Models. (2016). Francq, Christian ; Ahmad, Ali. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:37:y:2016:i:3:p:291-314. Full description at Econpapers \|\| Download paper	6
39	1992	VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING. (1992). Reinsel, Gregory C ; Ahn, Sung K. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:13:y:1992:i:4:p:353-375. Full description at Econpapers \|\| Download paper	5
40	1987	TIME 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. Full description at Econpapers \|\| Download paper	5
41	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	5
42	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	5
43	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	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	2017	Testing 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. Full description at Econpapers \|\| Download paper	5
46	1993	BAYESIAN 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
47	1996	A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVINGâAVERAGE PROCESS. (1996). Chung, Chingfan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:17:y:1996:i:2:p:111-140. Full description at Econpapers \|\| Download paper	5
48	2013	Determining 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. Full description at Econpapers \|\| Download paper	5
49	2017	Cointegrated Linear Processes in Hilbert Space. (2017). Beare, Brendan ; Seo, Won-Ki. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:1010-1027. Full description at Econpapers \|\| Download paper	5
50	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	5

Citing documents used to compute impact factor: 44

Year	Title
2019	Non-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. Full description at Econpapers \|\| Download paper
2019	Bootstrapping Non-Stationary Stochastic Volatility. (2019). Cavaliere, Giuseppe ; Boswijk, H. Peter ; Rahbek, Anders ; Georgiev, Iliyan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190083. Full description at Econpapers \|\| Download paper
2019	Moments-Based Spillovers across Gold and Oil Markets. (2019). Wang, Shixuan ; GUPTA, RANGAN ; Marco, Chi Keung ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:201966. Full description at Econpapers \|\| Download paper
2019	High-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. Full description at Econpapers \|\| Download paper
2019	Testing the Inter-temporal Budget Constraint for Small States. (2019). Deonarine, Amrita ; Khadan, Jeetendra. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00097. Full description at Econpapers \|\| Download paper
2019	Long-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. Full description at Econpapers \|\| Download paper
2019	Intergenerational 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. Full description at Econpapers \|\| Download paper
2019	CUSUM 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. Full description at Econpapers \|\| Download paper
2019	Geometrically stopped Markovian random growth processes and Pareto tails. (2019). Toda, Alexis Akira ; Beare, Brendan. In: Papers. RePEc:arx:papers:1712.01431. Full description at Econpapers \|\| Download paper
2019	Cointegrated 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. Full description at Econpapers \|\| Download paper
2019	Representation of I(1) and I(2) autoregressive Hilbertian processes. (2019). Seo, Won-Ki ; Beare, Brendan K. In: Papers. RePEc:arx:papers:1701.08149. Full description at Econpapers \|\| Download paper
2019	Tests 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. Full description at Econpapers \|\| Download paper
2019	Functional 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. Full description at Econpapers \|\| Download paper
2019	Score-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. Full description at Econpapers \|\| Download paper
2019	Score-Driven Models for Realized Volatility. (2019). Harvey, Andrew ; Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1950. Full description at Econpapers \|\| Download paper
2019	Maximum 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. Full description at Econpapers \|\| Download paper
2019	Score-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. Full description at Econpapers \|\| Download paper
2019	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
2019	Climate 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. Full description at Econpapers \|\| Download paper
2019	Saltos, tendencias y la atribuciÃ³n del cambio climÃ¡tico: un anÃ¡lisis de series de tiempo. (2019). Perron, Pierre ; Estrada, Francisco. In: Revista EconomÃa. RePEc:pcp:pucrev:y:2019:i:83:p:1-31. Full description at Econpapers \|\| Download paper
2019	Hierarchical 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. Full description at Econpapers \|\| Download paper
2019	A 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. Full description at Econpapers \|\| Download paper
2019	Can 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. Full description at Econpapers \|\| Download paper
2019	Spot 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. Full description at Econpapers \|\| Download paper
2019	The 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. Full description at Econpapers \|\| Download paper
2019	Dynamics 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. Full description at Econpapers \|\| Download paper
2019	Rational 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. Full description at Econpapers \|\| Download paper
2019	A Brief History of Forecasting Competitions. (2019). Hyndman, Rob. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-3. Full description at Econpapers \|\| Download paper
2019	Dynamic Tobit models. (2019). Harvey, Andrew ; Liao, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1913. Full description at Econpapers \|\| Download paper
2019	A Bootstrap Test for the Existence of Moments for GARCH Processes. (2019). Heinemann, Alexander. In: Papers. RePEc:arx:papers:1902.01808. Full description at Econpapers \|\| Download paper
2019	Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH. (2019). Schlaak, Thore ; LÃÂ¼tkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:41-61. Full description at Econpapers \|\| Download paper
2019	A 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. Full description at Econpapers \|\| Download paper
2019	Properties 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. Full description at Econpapers \|\| Download paper
2019	Random 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. Full description at Econpapers \|\| Download paper
2019	Quantile-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. Full description at Econpapers \|\| Download paper
2019	Sentiment 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. Full description at Econpapers \|\| Download paper
2019	Zero-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. Full description at Econpapers \|\| Download paper
2019	On 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. Full description at Econpapers \|\| Download paper
2019
2019	Two-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. Full description at Econpapers \|\| Download paper
2019	Labor market effects of minimum wage shocks. (2019). Micheli, Martin. In: Ruhr Economic Papers. RePEc:zbw:rwirep:830. Full description at Econpapers \|\| Download paper
2019	On 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. Full description at Econpapers \|\| Download paper
2019	Asymptotic 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. Full description at Econpapers \|\| Download paper
2019	Testing 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.. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2019

Year	Citing document
2019	Forecasting under Long Memory and Nonstationarity. (2019). Hassler, Uwe ; Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:1910.08202. Full description at Econpapers \|\| Download paper
2019	A 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. Full description at Econpapers \|\| Download paper
2019	Market 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. Full description at Econpapers \|\| Download paper
2019	Bivariate 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. Full description at Econpapers \|\| Download paper
2019	Sequential Bayesian Inference for Vector Autoregressions with Stochastic Volatility. (2019). Zito, John ; Bognanni, Mark. In: Working Papers. RePEc:fip:fedcwq:86647. Full description at Econpapers \|\| Download paper
2019	Testing 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.. Full description at Econpapers \|\| Download paper

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	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

10 most frequent citing series

#	Series	H	Cites
1	MPRA Paper / University Library of Munich, Germany	90	158
2	Papers / arXiv.org	54	128
3	Journal of Econometrics / Elsevier	191	121
4	Journal of Time Series Analysis / Wiley Blackwell	28	105
5	Statistics & Probability Letters / Elsevier	26	57
6	Computational Statistics & Data Analysis / Elsevier	38	52
7	Energy Economics / Elsevier	118	50
8	Empirical Economics / Springer	56	45
9	Journal of Multivariate Analysis / Elsevier	40	41
10	Econometrics / MDPI, Open Access Journal	11	40
11	Physica A: Statistical Mechanics and its Applications / Elsevier	54	39