Citation analysis for Journal of Time Series Econometrics / De Gruyter

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

5 Years H

Impact Factor

0.06

5 Years IF

0.28

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	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1991	0	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1992	0	0.09	0	0	0	0	0		0	0		0			0		0	0.04
1993	0	0.1	0	0	0	0	0		0	0		0			0		0	0.05
1994	0	0.11	0	0	0	0	0		0	0		0			0		0	0.06
1995	0	0.2	0	0	0	0	0		0	0		0			0		0	0.08
1996	0	0.22	0	0	0	0	0		0	0		0			0		0	0.1
1997	0	0.23	0	0	0	0	0		0	0		0			0		0	0.1
1998	0	0.27	0	0	0	0	0		0	0		0			0		0	0.12
1999	0	0.29	0	0	0	0	0		0	0		0			0		0	0.14
2000	0	0.34	0	0	0	0	0		0	0		0			0		0	0.15
2001	0	0.36	0	0	0	0	0		0	0		0			0		0	0.16
2002	0	0.4	0	0	0	0	0		0	0		0			0		0	0.21
2003	0	0.41	0	0	0	0	0		0	0		0			0		0	0.2
2004	0	0.46	0	0	0	0	0		0	0		0			0		0	0.21
2005	0	0.47	0	0	0	0	0		0	0		0			0		0	0.22
2006	0	0.47	0	0	0	0	0		0	0		0			0		0	0.21
2007	0	0.42	0	0	0	0	0		0	0		0			0		0	0.19
2008	0	0.45	0	0	0	0	0		3	0		0			0		0	0.21
2009	0	0.44	0.25	0	8	8	53	1	5	0		0			0	1	0.13	0.21
2010	1	0.44	0.56	1	8	16	34	8	14	8	8	8	8	1	12.5		0	0.18
2011	0.31	0.46	0.39	0.31	22	38	175	15	29	16	5	16	5		0	10	0.45	0.21
2012	0.67	0.47	0.68	0.71	9	47	25	29	61	30	20	38	27	1	3.4		0	0.19
2013	1.23	0.53	0.88	1	13	60	31	53	114	31	38	47	47		0	2	0.15	0.22
2014	0.18	0.55	0.73	0.65	4	64	13	47	161	22	4	60	39		0	4	1	0.21
2015	0.41	0.55	0.58	0.63	8	72	7	41	203	17	7	56	35		0	3	0.38	0.21
2016	0.17	0.56	0.51	0.52	8	80	4	41	244	12	2	56	29	1	2.4		0	0.2
2017	0.06	0.58	0.48	0.29	8	88	0	42	286	16	1	42	12		0		0	0.21
2018	0.13	0.7	0.34	0.17	8	96	2	33	319	16	2	41	7	1	3	1	0.13	0.28
2019	0.06	0.88	0.38	0.28	8	104	0	40	359	16	1	36	10		0		0	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	2011	Evaluating Automatic Model Selection. (2011). Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:8. Full description at Econpapers \|\| Download paper	51
2	2011	Noncausal Autoregressions for Economic Time Series. (2011). Saikkonen, Pentti ; Lanne, Markku. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:3:n:2. Full description at Econpapers \|\| Download paper	44
3	2011	Econometric Modelling of Time Series with Outlying Observations. (2011). Mizon, Grayham ; Hendry, David. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:6. Full description at Econpapers \|\| Download paper	21
4	2011	Estimation and Inference in Time Series with Omitted I(1) Variables. (2011). Everaert, Gerdie. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2011:i:2:n:2. Full description at Econpapers \|\| Download paper	19
5	2010	The PCSE Estimator is Good -- Just Not As Good As You Think. (2010). Reed, W. ; Webb, Rachel . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:8. Full description at Econpapers \|\| Download paper	19
6	2013	On Identifying Structural VAR Models via ARCH Effects. (2013). Yang, Minxian ; Milunovich, George ; George, Milunovich ; Minxian, Yang. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:5:y:2013:i:2:p:117-131:n:5. Full description at Econpapers \|\| Download paper	16
7	2011	Consideration of Trends in Time Series. (2011). White, Halbert ; Granger, Clive ; Clive W. J. Granger, . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:2. Full description at Econpapers \|\| Download paper	16
8	2009	Price Level Convergence, Purchasing Power Parity and Multiple Structural Breaks in Panel Data Analysis: An Application to U.S. Cities. (2009). Carrion-i-Silvestre, Josep ; Basher, Syed ; Josep Lluis Carrion-i-Silvestre, . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:3. Full description at Econpapers \|\| Download paper	16
9	2009	Selecting Instrumental Variables in a Data Rich Environment. (2009). Ng, Serena ; Bai, Jushan. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:4. Full description at Econpapers \|\| Download paper	14
10	2014	Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in the Presence of Individual and Time Effects. (2014). Okui, Ryo. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:6:y:2014:i:2:p:53:n:4. Full description at Econpapers \|\| Download paper	12
11	2009	Asymptotics of the QMLE for Non-Linear ARCH Models. (2009). Rahbek, Anders ; Kristensen, Dennis. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:2. Full description at Econpapers \|\| Download paper	10
12	2012	Testing for Cointegration in the Presence of Moving Average Errors. (2012). Lence, Sergio ; Mallory, Mindy. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:4:y:2012:i:2:n:2. Full description at Econpapers \|\| Download paper	9
13	2011	Some New Results for Threshold AR(1) Models. (2011). Knight, John ; Satchell, Stephen. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:2:n:1. Full description at Econpapers \|\| Download paper	7
14	2012	Testing for Structural Change in Heterogeneous Panels with an Application to the Euros Trade Effect. (2012). Pauwels, Laurent ; Chan, Felix. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:4:y:2012:i:2:n:3. Full description at Econpapers \|\| Download paper	7
15	2009	The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series. (2009). Vogelsang, Timothy ; Schmidt, Peter ; Amsler, Christine. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:5. Full description at Econpapers \|\| Download paper	7
16	2013	Asymptotic Theory for Regressions with Smoothly Changing Parameters. (2013). Medeiros, Marcelo ; Hillebrand, Eric ; Eric, Hillebrand ; Junyue, Xu ; Medeiros Marcelo C., . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:5:y:2013:i:2:p:133-162:n:3. Full description at Econpapers \|\| Download paper	7
17	2011	Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index. (2011). Xu, Fang ; LÃÂ¼tkepohl, Helmut ; Luetkepohl, Helmut . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:7. Full description at Econpapers \|\| Download paper	7
18	2010	Has the Volatility of U.S. Inflation Changed and How?. (2010). Proietti, Tommaso ; Grassi, Stefano. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:6. Full description at Econpapers \|\| Download paper	6
19	2009	Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes. (2009). Demetrescu, Matei. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:2:n:3. Full description at Econpapers \|\| Download paper	6
20	2011	HYBRID GARCH Models and Intra-Daily Return Periodicity. (2011). Ghysels, Eric ; Chen, Xilong ; Wang, Fangfang. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:11. Full description at Econpapers \|\| Download paper	5
21	2016	On the Univariate Representation of BEKK Models with Common Factors. (2016). Palm, Franz ; Laurent, SÃÂ©bastien ; Hecq, Alain ; Franz, Palm ; Sebastien, Laurent . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:8:y:2016:i:2:p:91-113:n:4. Full description at Econpapers \|\| Download paper	5
22	2012	First Stage Estimation of Fractional Cointegration. (2012). Iacone, Fabrizio ; Hualde, Javier. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:4:y:2012:i:1:n:2. Full description at Econpapers \|\| Download paper	5
23	2011	Costationarity of Locally Stationary Time Series. (2011). Cardinali, Alessandro ; Nason, Guy P.. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2011:i:2:n:1. Full description at Econpapers \|\| Download paper	4
24	2013	Cycles, Syllogisms and Semantics: Examining the Idea of Spurious Cycles. (2013). Pollock, David ; Pollock D. S. G., . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:6:y:2013:i:1:p:81-102:n:2. Full description at Econpapers \|\| Download paper	4
25	2015	Constrained Hamiltonian Monte Carlo in BEKK GARCH with Targeting. (2015). Burda, Martin ; Martin, Burda . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:7:y:2015:i:1:p:19:n:3. Full description at Econpapers \|\| Download paper	3
26	2011	Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots. (2011). Nielsen, Morten ; Jansson, Michael. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:5. Full description at Econpapers \|\| Download paper	3
27	2011	Testing for a Deterministic Trend When There is Evidence of Unit Root. (2011). Ventosa-SantaulÃÂ ria, Daniel ; GÃÂ³mez-ZaldÃÂvar, Manuel ; Ventosa-Santaulria, Daniel ; Gmez-Zaldvar, Manuel . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2011:i:2:n:3. Full description at Econpapers \|\| Download paper	3
28	2010	A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels. (2010). Miller, J.. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:5. Full description at Econpapers \|\| Download paper	3
29	2011	Nonparametric Tests for Periodic Integration. (2011). Osborn, Denise ; del Barrio Castro, TomÃÂ¡s ; TomÃ¡s del Barrio Castro, . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:4. Full description at Econpapers \|\| Download paper	3
30	2011	Detecting Common Dynamics in Transitory Components. (2011). pagan, adrian ; Hurn, Stan ; Christensen, Timothy . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:3. Full description at Econpapers \|\| Download paper	3
31	2010	On Convergence of the QMLE for Misspecified GARCH Models. (2010). Lange, Theis ; Jensen, Anders Tolver . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:3. Full description at Econpapers \|\| Download paper	3
32	2013	Asymptotic Behavior of Temporal Aggregates in the Frequency Domain. (2013). Tsai, Henghsiu ; Hassler, Uwe ; Henghsiu, Tsai . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:5:y:2013:i:1:p:47-60:n:4. Full description at Econpapers \|\| Download paper	3
33	2013	A Covariate Residual-Based Cointegration Test Applied to the CDS-Bond Basis. (2013). Wu, Jason ; Aaron, Game . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:5:y:2013:i:2:p:163-192:n:2. Full description at Econpapers \|\| Download paper	2
34	2011	Forecasting with Universal Approximators and a Learning Algorithm. (2011). Kock, Anders. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:3:n:3. Full description at Econpapers \|\| Download paper	2
35	2010	Signal Extraction Revision Variances as a Goodness-of-Fit Measure. (2010). McElroy, Tucker ; Wildi, Marc . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:4. Full description at Econpapers \|\| Download paper	2
36	2018	What Proportion of Time is a Particular Market Inefficient? â¦ A Method for Analysing the Frequency of Market Efficiency when Equity Prices Follow Threshold Autoregressions. (2018). Farid, Ahmed Muhammad ; Stephen, Satchell . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:10:y:2018:i:2:p:22:n:1. Full description at Econpapers \|\| Download paper	2
37	2012	Bootstrap, Jackknife and COLS: Bias and Mean Squared Error in Estimation of Autoregressive Models. (2012). Phillips, Garry ; Liu-Evans, Gareth. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:4:y:2012:i:2:n:1. Full description at Econpapers \|\| Download paper	2
38	2015	Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes. (2015). Asai, Manabu ; Manabu, Asai ; So Mike K. P., . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:7:y:2015:i:1:p:26:n:2. Full description at Econpapers \|\| Download paper	2
39	2012	Markov Breaks in Regression Models. (2012). Smith, Aaron. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:4:y:2012:i:1:n:3. Full description at Econpapers \|\| Download paper	2
40	2010	Testing Unit Root Based on Partially Adaptive Estimation. (2010). Xiao, Zhijie ; Lima, Luiz. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:2. Full description at Econpapers \|\| Download paper	2
41	2011	Detection of Additive Outliers in Seasonal Time Series. (2011). SansÃÂ³, Andreu ; MontaÃÂ±ÃÂ©s, Antonio ; Haldrup, Niels ; Montaes, Antonio. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:2:n:2. Full description at Econpapers \|\| Download paper	1
42	2012	On the Exact Discretization of a Continuous Time AR(1) Model driven by either Long Memory or Antipersistent Innovations: A Fractional Algebra Approach. (2012). Simos, Theodore. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:4:y:2012:i:2:n:5. Full description at Econpapers \|\| Download paper	1
43	2015	Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests. (2015). Demetrescu, Matei ; Born, Benjamin ; Matei, Demetrescu . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:7:y:2015:i:2:p:143-179:n:2. Full description at Econpapers \|\| Download paper	1
44	2009	Statistical Fourier Analysis: Clarifications and Interpretations. (2009). Pollock, David ; Stephen D. S. G. Pollock, . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:1. Full description at Econpapers \|\| Download paper	1
45	2015	A Test of the Long Memory Hypothesis Based on Self-Similarity. (2015). Rambaccussing, Dooruj ; James, Davidson ; Dooruj, Rambaccussing . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:7:y:2015:i:2:p:115-141:n:4. Full description at Econpapers \|\| Download paper	1
46	2018	Sequential Testing with Uniformly Distributed Size. (2018). Anatolyev, Stanislav ; Grigory, Kosenok ; Stanislav, Anatolyev. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:10:y:2018:i:2:p:22:n:3. Full description at Econpapers \|\| Download paper	1
47	2014	Valid Locally Uniform Edgeworth Expansions for a Class of Weakly Dependent Processes or Sequences of Smooth Transformations. (2014). Demos, Antonis ; Stelios, Arvanitis . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:6:y:2014:i:2:p:53:n:1. Full description at Econpapers \|\| Download paper	1
48	2015	Testing for Multiple Structural Changes with Non-Homogeneous Regressors. (2015). Kurozumi, Eiji ; Eiji, Kurozumi . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:7:y:2015:i:1:p:35:n:1. Full description at Econpapers \|\| Download paper	1
49	2014	Optimal Signal Extraction with Correlated Components. (2014). McElroy, Tucker ; Maravall, Agustin ; Agustin, Maravall ; McElroy Tucker S., . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:6:y:2014:i:2:p:37:n:3. Full description at Econpapers \|\| Download paper	1
50	2011	On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance. (2011). Perron, Pierre ; Ren, Linxia . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:3:n:1. Full description at Econpapers \|\| Download paper	1

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

#	Year	Title	Cited
1	2011	Evaluating Automatic Model Selection. (2011). Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:8. Full description at Econpapers \|\| Download paper	7
2	2010	The PCSE Estimator is Good -- Just Not As Good As You Think. (2010). Reed, W. ; Webb, Rachel . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:8. Full description at Econpapers \|\| Download paper	7
3	2009	Selecting Instrumental Variables in a Data Rich Environment. (2009). Ng, Serena ; Bai, Jushan. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:4. Full description at Econpapers \|\| Download paper	6
4	2014	Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in the Presence of Individual and Time Effects. (2014). Okui, Ryo. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:6:y:2014:i:2:p:53:n:4. Full description at Econpapers \|\| Download paper	6
5	2011	Noncausal Autoregressions for Economic Time Series. (2011). Saikkonen, Pentti ; Lanne, Markku. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:3:n:2. Full description at Econpapers \|\| Download paper	6
6	2013	On Identifying Structural VAR Models via ARCH Effects. (2013). Yang, Minxian ; Milunovich, George ; George, Milunovich ; Minxian, Yang. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:5:y:2013:i:2:p:117-131:n:5. Full description at Econpapers \|\| Download paper	5
7	2011	Consideration of Trends in Time Series. (2011). White, Halbert ; Granger, Clive ; Clive W. J. Granger, . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:2. Full description at Econpapers \|\| Download paper	4
8	2016	On the Univariate Representation of BEKK Models with Common Factors. (2016). Palm, Franz ; Laurent, SÃÂ©bastien ; Hecq, Alain ; Franz, Palm ; Sebastien, Laurent . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:8:y:2016:i:2:p:91-113:n:4. Full description at Econpapers \|\| Download paper	3
9	2011	Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots. (2011). Nielsen, Morten ; Jansson, Michael. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:5. Full description at Econpapers \|\| Download paper	3
10	2011	Some New Results for Threshold AR(1) Models. (2011). Knight, John ; Satchell, Stephen. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:2:n:1. Full description at Econpapers \|\| Download paper	3
11	2013	Asymptotic Theory for Regressions with Smoothly Changing Parameters. (2013). Medeiros, Marcelo ; Hillebrand, Eric ; Eric, Hillebrand ; Junyue, Xu ; Medeiros Marcelo C., . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:5:y:2013:i:2:p:133-162:n:3. Full description at Econpapers \|\| Download paper	3
12	2011	Estimation and Inference in Time Series with Omitted I(1) Variables. (2011). Everaert, Gerdie. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2011:i:2:n:2. Full description at Econpapers \|\| Download paper	3
13	2015	Constrained Hamiltonian Monte Carlo in BEKK GARCH with Targeting. (2015). Burda, Martin ; Martin, Burda . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:7:y:2015:i:1:p:19:n:3. Full description at Econpapers \|\| Download paper	2
14	2012	Testing for Cointegration in the Presence of Moving Average Errors. (2012). Lence, Sergio ; Mallory, Mindy. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:4:y:2012:i:2:n:2. Full description at Econpapers \|\| Download paper	2
15	2018	What Proportion of Time is a Particular Market Inefficient? â¦ A Method for Analysing the Frequency of Market Efficiency when Equity Prices Follow Threshold Autoregressions. (2018). Farid, Ahmed Muhammad ; Stephen, Satchell . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:10:y:2018:i:2:p:22:n:1. Full description at Econpapers \|\| Download paper	2
16	2011	HYBRID GARCH Models and Intra-Daily Return Periodicity. (2011). Ghysels, Eric ; Chen, Xilong ; Wang, Fangfang. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:11. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor: 1

Year	Title
2019	Some Dynamic and Steady-State Properties of Threshold Auto-Regressions with Applications to Stationarity and Local Explosivity. (2019). Satchell, Stephen ; Ahmed, Muhammad Farid . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:123-:d:250648. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2018

Year	Citing document
2018	Stationary Threshold Vector Autoregressive Models. (2018). Stentoft, Lars ; Grynkiv, Galyna. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:45-:d:162047. Full description at Econpapers \|\| Download paper

Recent citations received in 2016

Year	Citing document

10 most frequent citing series

#	Series	H	Cites
1	Journal of Econometrics / Elsevier	191	12
2	MPRA Paper / University Library of Munich, Germany	90	10
3	Papers / arXiv.org	54	10
4	Econometrics / MDPI, Open Access Journal	11	7
5	Economics Letters / Elsevier	104	6
6	International Journal of Forecasting / Elsevier	67	6
7	Economics Series Working Papers / University of Oxford, Department of Economics	40	5
8	DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de EstadÃÂstica	9	5
9	Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research	33	5
10	Energy Economics / Elsevier	118	5
11	Journal of Risk and Financial Management / MDPI, Open Access Journal	8	4