Most cited documents in this series:

Year	Title	Cited
2002	Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks RePEc:bpj:sndecm:v:6:y:2002:i:2:n:3 [Citation Analysis]	45
1998	The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income RePEc:bpj:sndecm:v:3:y:1998:i:1:n:2 [Citation Analysis]	31
1997	Inference in TAR Models RePEc:bpj:sndecm:v:2:y:1997:i:1:n:1 [Citation Analysis]	30
1998	Smooth-Transition GARCH Models RePEc:bpj:sndecm:v:3:y:1998:i:2:n:1 [Citation Analysis]	27
1997	Investigating Cyclical Asymmetries RePEc:bpj:sndecm:v:2:y:1997:i:1:n:2 [Citation Analysis]	24
2003	Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists RePEc:bpj:sndecm:v:7:y:2003:i:4:n:3 [Citation Analysis]	21
1998	GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model RePEc:bpj:sndecm:v:2:y:1998:i:4:n:4 [Citation Analysis]	20
2005	A Practitioners Guide to Lag Order Selection For VAR Impulse Response Analysis RePEc:bpj:sndecm:v:9:y:2005:i:1:n:2 [Citation Analysis]	18
2004	Household Income Dynamics in Two Transition Economies RePEc:bpj:sndecm:v:8:y:2004:i:3:n:4 [Citation Analysis]	18
1996	A Check on the Robustness of Hamiltons Markov Switching Model Approach to the Economic Analysis of the Business Cycle RePEc:bpj:sndecm:v:1:y:1996:i:1:n:re1 [Citation Analysis]	15
2004	The Long Memory of the Efficient Market RePEc:bpj:sndecm:v:8:y:2004:i:3:n:1 [Citation Analysis]	15
2002	Microeconomic Models for Long Memory in the Volatility of Financial Time Series RePEc:bpj:sndecm:v:5:y:2002:i:4:n:3 [Citation Analysis]	15
2001	Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis RePEc:bpj:sndecm:v:5:y:2001:i:3:n:1 [Citation Analysis]	13
2004	Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation RePEc:bpj:sndecm:v:8:y:2004:i:2:n:14 [Citation Analysis]	13
2006	Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models RePEc:bpj:sndecm:v:10:y:2006:i:3:n:2 [Citation Analysis]	12
2004	Nonlinear Monetary Policy Rules: Some New Evidence for the U.S. RePEc:bpj:sndecm:v:8:y:2004:i:3:n:2 [Citation Analysis]	12
1998	Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles? RePEc:bpj:sndecm:v:3:y:1998:i:1:n:1 [Citation Analysis]	11
1999	Stability Analysis of Continuous-Time Macroeconometric Systems RePEc:bpj:sndecm:v:3:y:1999:i:4:n:1 [Citation Analysis]	11
2007	Jump-and-Rest Effect of U.S. Business Cycles RePEc:bpj:sndecm:v:11:y:2007:i:4:n:3 [Citation Analysis]	11
2005	Forecasting Stock Market Volatility with Regime-Switching GARCH Models RePEc:bpj:sndecm:v:9:y:2005:i:4:n:6 [Citation Analysis]	10
2006	Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor Rule for the United Kingdom RePEc:bpj:sndecm:v:10:y:2006:i:4:n:1 [Citation Analysis]	10
2006	The Nature of Power Spikes: A Regime-Switch Approach RePEc:bpj:sndecm:v:10:y:2006:i:3:n:3 [Citation Analysis]	9
1999	Monetary Policy with a Nonlinear Phillips Curve and Asymmetric Loss RePEc:bpj:sndecm:v:3:y:1999:i:4:n:4 [Citation Analysis]	9
1997	Endogenous Cycles in Competitive Models: An Overview RePEc:bpj:sndecm:v:1:y:1997:i:4:n:1 [Citation Analysis]	9
2002	Characterizing the Degree of Stability of Non-linear Dynamic Models RePEc:bpj:sndecm:v:6:y:2002:i:1:n:3 [Citation Analysis]	9
1996	Optimal Cycles and Chaos: A Survey RePEc:bpj:sndecm:v:1:y:1996:i:1:n:3 [Citation Analysis]	9
2008	Threshold Adjustment of Deviations from the Law of One Price RePEc:bpj:sndecm:v:12:y:2008:i:3:n:8 [Citation Analysis]	9
1997	Finite Sample Properties of the Efficient Method of Moments RePEc:bpj:sndecm:v:2:y:1997:i:2:n:2 [Citation Analysis]	8
2005	Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance RePEc:bpj:sndecm:v:9:y:2005:i:4:n:5 [Citation Analysis]	8
2004	Mixture Processes for Financial Intradaily Durations RePEc:bpj:sndecm:v:8:y:2004:i:2:n:8 [Citation Analysis]	8
1998	Information-Theoretic Analysis of Serial Dependence and Cointegration RePEc:bpj:sndecm:v:3:y:1998:i:3:n:1 [Citation Analysis]	7
1996	Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data RePEc:bpj:sndecm:v:1:y:1996:i:1:n:da1 [Citation Analysis]	7
2009	Changes in U.S. Inflation Persistence RePEc:bpj:sndecm:v:13:y:2009:i:4:n:1 [Citation Analysis]	7
2006	Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area? RePEc:bpj:sndecm:v:10:y:2006:i:2:n:3 [Citation Analysis]	7
2006	Measuring the Interaction of Wage and Price Phillips Curves for the U.S. Economy RePEc:bpj:sndecm:v:10:y:2006:i:4:n:2 [Citation Analysis]	7
2003	Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach RePEc:bpj:sndecm:v:7:y:2003:i:4:n:5 [Citation Analysis]	7
1999	Sectoral Investigation of Asymmetries in the Conditional Mean Dynamics of the Real U.S. GDP RePEc:bpj:sndecm:v:3:y:1999:i:4:n:2 [Citation Analysis]	7
	repec:bpj:sndecm:v:2:y:1997:i:2:n:1 [Citation Analysis]	7
2004	An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests RePEc:bpj:sndecm:v:8:y:2004:i:1:n:4 [Citation Analysis]	7
2002	Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation RePEc:bpj:sndecm:v:6:y:2002:i:3:n:3 [Citation Analysis]	7
2005	The International CAPM and a Wavelet-Based Decomposition of Value at Risk RePEc:bpj:sndecm:v:9:y:2005:i:4:n:4 [Citation Analysis]	6
1996	SIMANN: A Global Optimization Algorithm using Simulated Annealing RePEc:bpj:sndecm:v:1:y:1996:i:3:n:al1 [Citation Analysis]	6
2003	The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses RePEc:bpj:sndecm:v:7:y:2003:i:4:n:4 [Citation Analysis]	6
2005	Can GARCH Models Capture Long-Range Dependence? RePEc:bpj:sndecm:v:9:y:2005:i:4:n:1 [Citation Analysis]	6
1996	If Nonlinear Models Cannot Forecast, What Use Are They? RePEc:bpj:sndecm:v:1:y:1996:i:2:n:1 [Citation Analysis]	6
2001	Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator RePEc:bpj:sndecm:v:5:y:2001:i:1:n:2 [Citation Analysis]	5
2002	Power Properties of Nonlinearity Tests for Time Series with Markov Regimes RePEc:bpj:sndecm:v:6:y:2002:i:3:n:2 [Citation Analysis]	5
2007	Wavelet Variance Analysis of Output in G-7 Countries RePEc:bpj:sndecm:v:11:y:2007:i:3:n:6 [Citation Analysis]	5
2003	Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle. RePEc:bpj:sndecm:v:7:y:2003:i:1:n:1 [Citation Analysis]	5
2005	Inflation Dynamics of Turkey: A Structural Estimation RePEc:bpj:sndecm:v:9:y:2005:i:1:n:re1 [Citation Analysis]	5

Citing documents used to compute impact factor 12:

Year	Title	See
2010	Robust M-estimation of multivariate GARCH models RePEc:eee:csdana:v:54:y:2010:i:11:p:2459-2469	[Citation Analysis]
2010	Purchasing power parity in OECD countries: nonlinear unit root tests revisited RePEc:nbs:wpaper:2010/3	[Citation Analysis]
2010	Understanding the ADR premium under market segmentation RePEc:ess:wpaper:id:2826	[Citation Analysis]
2010	Collateralizable Wealth, Asset Returns, and Systemic Risk: International Evidence RePEc:nip:nipewp:15/2010	[Citation Analysis]
2010	Multivariate Option Pricing with Time Varying Volatility and Correlations RePEc:aah:create:2010-19	[Citation Analysis]
2010	Multivariate Option Pricing With Time Varying Volatility and Correlations RePEc:cir:cirwor:2010s-23	[Citation Analysis]
2010	Multivariate Option Pricing with Time Varying Volatility and Correlations RePEc:lvl:lacicr:1020	[Citation Analysis]
2010	Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model RePEc:ijf:ijfiec:v:15:y:2010:i:4:p:331-350	[Citation Analysis]
2010	The Feldstein Horioka Puzzle by groups of OECD members: the panel approach. RePEc:pra:mprapa:25848	[Citation Analysis]
2010	The Feldstein –Horioka Puzzle and structural breaks: evidence from EU members. RePEc:pra:mprapa:26010	[Citation Analysis]
2010	Forecasting with nonlinear time series models RePEc:aah:create:2010-01	[Citation Analysis]
2010	Measures of Analysis of Time Series (MATS): A MATLAB Toolkit for Computation of Multiple Measures on Time Series Data Bases RePEc:jss:jstsof:33:i05	[Citation Analysis]

Cites in year: CiY