Citation analysis for Journal of Time Series Analysis / Wiley Blackwell

Citation Profile [Updated: 2023-01-07 21:26:51]

5 Years H Index

Impact Factor (IF)

0.45

5 Years IF

0.62

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
1980			0		13	13	0		0
1981			0		18	31	0		0
1982			0		24	55	0	1	0
1983			0		22	77	0	2	0
1984			0		20	97	0	3	0
1985			0		22	119	0	3	0
1986			0		24	143	0	3	0
1987			0		41	184	0	3	0
1988			0		33	217	0	6	0
1989			0		27	244	0	9	0
1990	0.03	0.1	0.06	0.03	27	271	164	15	15	60	2	147	4		0		0	0.05
1991	0.02	0.1	0.07	0.03	26	297	120	20	35	54	1	152	5		0		0	0.05
1992	0.09	0.11	0.07	0.05	34	331	336	22	57	53	5	154	7		0		0	0.05
1993	0.07	0.13	0.06	0.05	47	378	374	24	81	60	4	147	8		0		0	0.06
1994	0.01	0.14	0.05	0.02	46	424	596	22	103	81	1	161	4		0	1	0.02	0.06
1995	0.11	0.22	0.25	0.13	40	464	367	112	217	93	10	180	23	54	48.2	2	0.05	0.1
1996	0.12	0.25	0.25	0.16	35	499	368	123	340	86	10	193	30		0	4	0.11	0.12
1997	0.2	0.24	0.24	0.24	36	535	281	128	468	75	15	202	49		0	2	0.06	0.11
1998	0.14	0.28	0.23	0.24	46	581	875	134	602	71	10	204	49		0	3	0.07	0.13
1999	0.22	0.3	0.21	0.18	44	625	358	130	733	82	18	203	36		0	1	0.02	0.15
2000	0.21	0.35	0.29	0.22	37	662	434	186	922	90	19	201	44		0	5	0.14	0.16
2001	0.15	0.38	0.28	0.2	40	702	465	195	1120	81	12	198	40		0	4	0.1	0.17
2002	0.36	0.41	0.35	0.31	35	737	381	249	1378	77	28	203	63		0	1	0.03	0.21
2003	0.48	0.44	0.47	0.43	44	781	578	362	1745	75	36	202	86	32	8.8	14	0.32	0.22
2004	0.66	0.49	0.56	0.56	55	836	527	462	2212	79	52	200	112	61	13.2	12	0.22	0.22
2005	0.35	0.5	0.53	0.45	54	890	387	468	2686	99	35	211	95	56	12	11	0.2	0.23
2006	0.5	0.5	0.55	0.59	46	936	827	511	3200	109	55	228	135	4	0.8	12	0.26	0.23
2007	0.35	0.46	0.42	0.44	42	978	343	406	3613	100	35	234	102	4	1	3	0.07	0.2
2008	0.68	0.49	0.56	0.59	54	1032	503	580	4195	88	60	241	143	18	3.1	10	0.19	0.23
2009	0.57	0.47	0.54	0.59	36	1068	253	573	4768	96	55	251	148	24	4.2	10	0.28	0.23
2010	0.46	0.48	0.45	0.49	44	1112	325	501	5269	90	41	232	113	22	4.4	8	0.18	0.21
2011	0.5	0.52	0.46	0.56	57	1169	245	537	5807	80	40	222	124		0	2	0.04	0.24
2012	0.39	0.51	0.55	0.43	74	1243	234	684	6491	101	39	233	101		0	4	0.05	0.22
2013	0.31	0.56	0.55	0.48	57	1300	427	718	7211	131	41	265	128	24	3.3	13	0.23	0.24
2014	0.4	0.55	0.53	0.4	38	1338	205	713	7926	131	52	268	106	33	4.6	9	0.24	0.23
2015	0.64	0.55	0.51	0.49	51	1389	172	712	8638	95	61	270	131	31	4.4	10	0.2	0.23
2016	0.48	0.53	0.49	0.46	49	1438	169	706	9344	89	43	277	127	37	5.2	5	0.1	0.21
2017	0.36	0.55	0.48	0.49	53	1491	179	721	10065	100	36	269	132	42	5.8	7	0.13	0.21
2018	0.35	0.57	0.46	0.48	57	1548	214	715	10780	102	36	248	119	10	1.4	10	0.18	0.24
2019	0.46	0.6	0.52	0.41	53	1601	92	839	11619	110	51	248	101		0	8	0.15	0.24
2020	0.65	0.73	0.64	0.59	51	1652	32	1065	12684	110	71	263	154	50	4.7	2	0.04	0.34
2021	0.45	1.02	0.58	0.62	40	1692	11	977	13661	104	47	263	163	61	6.2	4	0.1	0.38

IF:	Two years Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for all series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Five years 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	1980	AN INTRODUCTION TO LONGÃ¢â¬ÂMEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING. (1980). Joyeux, Roselyne ; C. W. J. Granger, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:1:y:1980:i:1:p:15-29. Full description at Econpapers \|\| Download paper	816
2	1983	THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS. (1983). Porterhudak, Susan ; Geweke, John. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:4:p:221-238. Full description at Econpapers \|\| Download paper	317
3	1983	DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUAREDÃ¢â¬ÂRESIDUAL AUTOCORRELATIONS. (1983). Li, W K ; McLeod, A I. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:4:p:269-273. Full description at Econpapers \|\| Download paper	312
4	1998	ErrorÃ¢â¬Âcorrection Mechanism Tests for Cointegration in a SingleÃ¢â¬Âequation Framework. (1998). Mestre, Ricardo ; Dolado, Juan ; Banerjee, Anindya. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:3:p:267-283. Full description at Econpapers \|\| Download paper	291
5	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	244
6	1986	ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS. (1986). Tong, H ; Chan, K S. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:7:y:1986:i:3:p:179-190. Full description at Econpapers \|\| Download paper	230
7	1992	VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING. (1992). Ahn, Sung K ; Reinsel, Gregory C. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:13:y:1992:i:4:p:353-375. Full description at Econpapers \|\| Download paper	215
8	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	212
9	1983	NONPARAMETRIC ESTIMATORS FOR TIME SERIES. (1983). Robinson, P M. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:3:p:185-207. Full description at Econpapers \|\| Download paper	183
10	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	174
11	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	170
12	1989	ON GENERALIZED FRACTIONAL PROCESSES. (1989). ZHANG, NIEN FAN ; Gray, Henry L ; Woodward, Wayne A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:10:y:1989:i:3:p:233-257. Full description at Econpapers \|\| Download paper	169
13	1982	AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM. (1982). Stoffer, D S ; Shumway, R H. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:3:y:1982:i:4:p:253-264. Full description at Econpapers \|\| Download paper	162
14	1998	The mean squared error of Geweke and PorterÃ¢â¬ÂHudaks estimator of the memory parameter of a longÃ¢â¬Âmemory time series. (1998). Hurvich, Clifford ; Brodsky, Julia ; Deo, Rohit. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:1:p:19-46. Full description at Econpapers \|\| Download paper	157
15	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	156
16	1995	ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS. (1995). Fuller, Wayne A ; Park, Heon Jin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:16:y:1995:i:4:p:415-429. Full description at Econpapers \|\| Download paper	147
17	1994	LEAST 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. Full description at Econpapers \|\| Download paper	146
18	2002	Comparison of unit root tests for time series with level shifts. (2002). LÃÆÃÂ¼tkepohl, 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	134
19	2005	UnitÃ¢â¬Âroot 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	115
20	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	111
21	1982	TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES. (1982). Hinich, Melvin J. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:3:y:1982:i:3:p:169-176. Full description at Econpapers \|\| Download paper	98
22	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	94
23	2003	ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOVÃ¢â¬ÂSWITCHING 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	87
24	2000	LeastÃ¢â¬Âsquares Estimation of an Unknown Number of Shifts in a Time Series. (2000). Lavielle, Marc ; Moulines, Eric . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:21:y:2000:i:1:p:33-59. Full description at Econpapers \|\| Download paper	86
25	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	84
26	2000	Fast Filtering and Smoothing for Multivariate State Space Models. (2000). Koopman, S J ; Durbin, J. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:21:y:2000:i:3:p:281-296. Full description at Econpapers \|\| Download paper	83
27	2000	Semiparametric Inference in Seasonal and Cyclical Long Memory Processes. (2000). Arteche, Josu ; Robinson, Peter M. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:21:y:2000:i:1:p:1-25. Full description at Econpapers \|\| Download paper	78
28	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	75
29	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	73
30	1994	ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NONÃ¢â¬ÂLINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY. (1994). Mak, T K ; Li, W 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	73
31	2001	Testing Stochastic Cycles in Macroeconomic Time Series. (2001). Gil-Alana, Luis ; Gilalana, L A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:22:y:2001:i:4:p:411-430. Full description at Econpapers \|\| Download paper	71
32	1993	BIAS IN AN ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER. (1993). Wohar, Mark ; Agiakloglou, Christos ; Newbold, Paul. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:14:y:1993:i:3:p:235-246. Full description at Econpapers \|\| Download paper	71
33	1995	BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS. (1995). Lee, Jack C. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:16:y:1995:i:5:p:483-492. Full description at Econpapers \|\| Download paper	67
34	1995	ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES. (1995). Ray, Bonnie K ; Hurvich, Clifford M. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:16:y:1995:i:1:p:17-41. Full description at Econpapers \|\| Download paper	66
35	1999	Gaussian Semiparametric Estimation of NonÃ¢â¬Âstationary 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	66
36	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	65
37	1993	POWER OF THE NEURAL NETWORK LINEARITY TEST. (1993). TerÃÆÃÂ¤svirta, Timo ; Terasvirta, Timo ; Lin, Chienfu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:14:y:1993:i:2:p:209-220. Full description at Econpapers \|\| Download paper	62
38	1999	Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers. (1999). Vogelsang, Timothy. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:20:y:1999:i:2:p:237-252. Full description at Econpapers \|\| Download paper	61
39	1988	ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS. (1988). Bollerslev, Tim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:9:y:1988:i:2:p:121-131. Full description at Econpapers \|\| Download paper	61
40	1993	A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION. (1993). Tsai, Chihling ; Hurvich, Clifford M. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:14:y:1993:i:3:p:271-279. Full description at Econpapers \|\| Download paper	59
41	1991	NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES. (1991). Hallman, Jeff ; C. W. J. Granger, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:12:y:1991:i:3:p:207-224. Full description at Econpapers \|\| Download paper	59
42	1985	COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS. (1985). LÃÆÃÂ¼tkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:6:y:1985:i:1:p:35-52. Full description at Econpapers \|\| Download paper	59
43	1984	ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS. (1984). Paulsen, Jostein . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:5:y:1984:i:2:p:115-127. Full description at Econpapers \|\| Download paper	59
44	1994	STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS. (1994). Tsay, Ruey S ; McCulloch, Robert E. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:15:y:1994:i:5:p:523-539. Full description at Econpapers \|\| Download paper	57
45	2006	Uniform Limit Theory for Stationary Autoregression. (2006). Phillips, Peter ; Giraitis, Liudas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:1:p:51-60. Full description at Econpapers \|\| Download paper	56
46	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	54
47	2003	Gaussian SemiÃ¢â¬Âparametric 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	54
48	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	53
49	1996	UNIT ROOTS IN PERIODIC AUTOREGRESSIONS. (1996). Franses, Philip Hans ; Boswijk, H. Peter. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:17:y:1996:i:3:p:221-245. Full description at Econpapers \|\| Download paper	52
50	1990	A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS. (1990). Piccolo, Domenico. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:11:y:1990:i:2:p:153-164. Full description at Econpapers \|\| Download paper	51

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

#	Year	Title	Cited
1	1998	ErrorÃ¢â¬Âcorrection Mechanism Tests for Cointegration in a SingleÃ¢â¬Âequation Framework. (1998). Mestre, Ricardo ; Dolado, Juan ; Banerjee, Anindya. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:3:p:267-283. Full description at Econpapers \|\| Download paper	186
2	1980	AN INTRODUCTION TO LONGÃ¢â¬ÂMEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING. (1980). Joyeux, Roselyne ; C. W. J. Granger, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:1:y:1980:i:1:p:15-29. Full description at Econpapers \|\| Download paper	118
3	1983	THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS. (1983). Porterhudak, Susan ; Geweke, John. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:4:p:221-238. Full description at Econpapers \|\| Download paper	112
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	62
5	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	59
6	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	43
7	1983	DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUAREDÃ¢â¬ÂRESIDUAL AUTOCORRELATIONS. (1983). Li, W K ; McLeod, A I. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:4:p:269-273. Full description at Econpapers \|\| Download paper	43
8	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	40
9	1986	ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS. (1986). Tong, H ; Chan, K S. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:7:y:1986:i:3:p:179-190. Full description at Econpapers \|\| Download paper	35
10	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	31
11	1994	LEAST 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. Full description at Econpapers \|\| Download paper	27
12	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	27
13	1982	AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM. (1982). Stoffer, D S ; Shumway, R H. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:3:y:1982:i:4:p:253-264. Full description at Econpapers \|\| Download paper	26
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24	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	16
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27	1992	VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING. (1992). Ahn, Sung K ; Reinsel, Gregory C. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:13:y:1992:i:4:p:353-375. Full description at Econpapers \|\| Download paper	16
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30	1998	The mean squared error of Geweke and PorterÃ¢â¬ÂHudaks estimator of the memory parameter of a longÃ¢â¬Âmemory time series. (1998). Hurvich, Clifford ; Brodsky, Julia ; Deo, Rohit. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:1:p:19-46. Full description at Econpapers \|\| Download paper	15
31	1994	ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NONÃ¢â¬ÂLINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY. (1994). Mak, T K ; Li, W 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	14
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34	2017	Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478. Full description at Econpapers \|\| Download paper	14
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50	2002	Comparison of unit root tests for time series with level shifts. (2002). LÃÆÃÂ¼tkepohl, 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	10

Citing documents used to compute impact factor: 47

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2021	Monitoring memory parameter change-points in long-memory time series. (2021). Chen, Zhanshou ; Li, Fuxiao ; Xiao, Yanting. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:5:d:10.1007_s00181-020-01840-4. Full description at Econpapers \|\| Download paper
2021	On formulations of skew factor models: Skew factors and/or skew errors. (2021). McLachlan, Geoffrey J ; Lee, Sharon X. In: Statistics & Probability Letters. RePEc:eee:stapro:v:168:y:2021:i:c:s0167715220302388. Full description at Econpapers \|\| Download paper
2021	Vector Autoregressive Models with Spatially Structured Coefficients for Time Series on a Spatial Grid. (2021). Genton, Marc G ; Huang, Hsin-Cheng ; Yan, Yuan. In: Journal of Agricultural, Biological and Environmental Statistics. RePEc:spr:jagbes:v:26:y:2021:i:3:d:10.1007_s13253-021-00444-4. Full description at Econpapers \|\| Download paper
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2021	The tail behavior of safe haven currencies: A cross-quantilogram analysis. (2021). Cho, Dooyeon ; Han, Heejoon. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:70:y:2021:i:c:s1042443120301414. Full description at Econpapers \|\| Download paper
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2021	Effectives of Monetary Policy under the High and Low Economic Uncertainty States: Evidence from the Major Asian Economies. (2021). Balcilar, Mehmet ; Ozdemir, Zeynel Abidin ; Wohar, Mark E ; Aygun, Gurcan. In: IZA Discussion Papers. RePEc:iza:izadps:dp14420. Full description at Econpapers \|\| Download paper
2021	A new test for common breaks in heterogeneous panel data models. (2021). Kurozumi, Eiji ; Jiang, Peiyun. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-107. Full description at Econpapers \|\| Download paper
2021	Hierarchical random effects model for insurance pricing of vehicles belonging to a fleet. (2021). Dionne, Georges ; Lu, Yang ; Desjardins, Denise. In: Working Papers. RePEc:ris:crcrmw:2021_002. Full description at Econpapers \|\| Download paper
2021	The predictive distributions of thinning?based count processes. (2021). Lu, Yang. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:1:p:42-67. Full description at Econpapers \|\| Download paper
2021	Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968. Full description at Econpapers \|\| Download paper
2021	An empirical study on the parsimony and descriptive power of TARMA models. (2021). Goracci, Greta. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:1:d:10.1007_s10260-020-00516-8. Full description at Econpapers \|\| Download paper
2021	Modeling fractional cointegration between high and low stock prices in Asian countries. (2021). Sibbertsen, Philipp ; Afzal, Alia. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:2:d:10.1007_s00181-019-01784-4. Full description at Econpapers \|\| Download paper
2021	Consumption, Aggregate Wealth and Expected Stock Returns: An FCVAR Approach. (2021). Quineche, Ricardo. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:13:y:2021:i:1:p:21-42:n:4. Full description at Econpapers \|\| Download paper
2021	The impact of RMBâs SDR inclusion on price discovery in onshore-offshore markets. (2021). Xu, KE ; Chen, Yu-Lun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:127:y:2021:i:c:s0378426621000820. Full description at Econpapers \|\| Download paper
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2021	A comparison of semiparametric tests for fractional cointegration. (2021). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:4:d:10.1007_s00362-020-01169-1. Full description at Econpapers \|\| Download paper
2021	Pitfalls in Bootstrapping Spurious Regression. (2021). Phillips, Peter. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:19:y:2021:i:1:d:10.1007_s40953-021-00268-6. Full description at Econpapers \|\| Download paper
2021	On the predictability of the distribution of excess returns in currency markets. (2021). Cho, Dooyeon. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:511-530. Full description at Econpapers \|\| Download paper
2021	Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging. (2021). Salmon, Nicholas ; Sengupta, Indranil. In: Papers. RePEc:arx:papers:2105.02325. Full description at Econpapers \|\| Download paper
2021	New Dataset for Forecasting Realized Volatility: Is the Tokyo Stock Exchange Co-Location Dataset Helpful for Expansion of the Heterogeneous Autoregressive Model in the Japanese Stock Market?. (2021). Tanaka, Katsuyuki ; Hamori, Shigeyuki ; Higashide, Takuo ; Kinkyo, Takuji. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:215-:d:551574. Full description at Econpapers \|\| Download paper
2021	Economic policy uncertainty: Persistence and cross-country linkages. (2021). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Aikins, Emmanuel Joel. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000635. Full description at Econpapers \|\| Download paper
2021	Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging. (2021). Sengupta, Indranil ; Salmon, Nicholas. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:4:d:10.1007_s10436-021-00394-4. Full description at Econpapers \|\| Download paper
2021	Spurious relationships in high-dimensional systems with strong or mild persistence. (2021). Gonzalo, Jesus ; Pitarakis, Jean-Yves. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1480-1497. Full description at Econpapers \|\| Download paper
2021	Modeling high-dimensional unit-root time series. (2021). Tsay, Ruey S ; Gao, Zhaoxing. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1535-1555. Full description at Econpapers \|\| Download paper
2021	Semiparametric method and theory for continuously indexed spatio-temporal processes. (2021). Wang, Haonan ; Zhu, Jun ; Chu, Tingjin ; Liu, Jialuo. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:183:y:2021:i:c:s0047259x21000130. Full description at Econpapers \|\| Download paper
2021	The impact of the coronavirus crisis on the market price of risk. (2021). Theodossiou, Panayiotis ; Savva, Christos S ; Delis, Manthos D. In: Journal of Financial Stability. RePEc:eee:finsta:v:53:y:2021:i:c:s1572308920301431. Full description at Econpapers \|\| Download paper
2021	Energy commodities and advanced stock markets: A post-crisis approach. (2021). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309181. Full description at Econpapers \|\| Download paper
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2021	Robust tests for time series comparison based on Laplace periodograms. (2021). Jin, Lei. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:160:y:2021:i:c:s0167947321000578. Full description at Econpapers \|\| Download paper
2021	Necessary and sufficient conditions for the identifiability of observation?driven models. (2021). Sim, Tepmony ; Roueff, Franois ; Douc, Randal. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:2:p:140-160. Full description at Econpapers \|\| Download paper
2021	Time?varying dynamics of expected shortfall in commodity futures markets. (2021). Auer, Benjamin R ; Mehlitz, Julia S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:895-925. Full description at Econpapers \|\| Download paper
2021	Thresholds in financeâgrowth nexus: Evidence from G?7 economies. (2021). Dharani, Munusamy ; Swamy, Vighneswara. In: Australian Economic Papers. RePEc:bla:ausecp:v:60:y:2021:i:1:p:1-40. Full description at Econpapers \|\| Download paper
2021	SUBJECTIVE WELL-BEING IN ITALIAN REGIONS: A PANEL DATA APPROACH. (2021). Leogrande, Angelo ; Magazzino, Cosimo. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:21:y:2021:i:1_1. Full description at Econpapers \|\| Download paper
2021	Role of FDI in Decomposing of Scale and Technique Effects on Chinaâs Energy Consumption. (2021). Sinha, Avik ; Shahbaz, Muhammad ; Jiao, Zhilun ; Ahmad, Shabbir ; Wang, Zhaohua. In: MPRA Paper. RePEc:pra:mprapa:111231. Full description at Econpapers \|\| Download paper
2021	Aggregation of Seasonal Long-Memory Processes. (2021). del Barrio Castro, TomÃÂ¡s ; Rachinger, Heiko. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:95-106. Full description at Econpapers \|\| Download paper
2021	Robust empirical likelihood for time series. (2021). Huang, Rui ; Chen, Kun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:1:p:4-18. Full description at Econpapers \|\| Download paper
2021	On the usage of joint diagonalization in multivariate statistics. (2021). Ruiz-Gazen, Anne ; Nordhausen, Klaus. In: TSE Working Papers. RePEc:tse:wpaper:126185. Full description at Econpapers \|\| Download paper
2021	Generalized Spectral Tests for High Dimensional Multivariate Martingale Difference Hypotheses. (2021). Wang, Xuexin. In: Working Papers. RePEc:wyi:wpaper:002596. Full description at Econpapers \|\| Download paper
2021	A flexible univariate moving average time-series model for dispersed count data. (2021). Cui, Fanyu ; Melville, Sean ; Arab, Ali ; Sellers, Kimberly F. In: Journal of Statistical Distributions and Applications. RePEc:spr:jstada:v:8:y:2021:i:1:d:10.1186_s40488-021-00115-2. Full description at Econpapers \|\| Download paper
2021	Recent advances in directional statistics. (2021). Garcia-Portugues, Eduardo ; Pewsey, Arthur. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:30:y:2021:i:1:d:10.1007_s11749-021-00759-x. Full description at Econpapers \|\| Download paper
2021	Validating intra-day risk premium in cross-sectional return curves. (2021). Zhao, Yuqian. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s154461232100101x. Full description at Econpapers \|\| Download paper
2021	On the intraday return curves of Bitcoin: Predictability and trading opportunities. (2021). Wang, Shixuan ; Bouri, Elie ; Zhao, Yuqian ; Saeed, Tareq ; Marco, Chi Keung. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001228. Full description at Econpapers \|\| Download paper
2021	Indirect inference for time series using the empirical characteristic function and control variates. (2021). Kluppelberg, Claudia ; Do, Thiago ; Davis, Richard A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:5-6:p:653-684. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2021

Year	Citing document
2021	. Full description at Econpapers \|\| Download paper
2021	Financial bubbles and sustainability of public debt: The case of Spain. (2021). Prats, Maria A ; Esteve, Vicente. In: Working Papers. RePEc:eec:wpaper:2111. Full description at Econpapers \|\| Download paper
2021	Testing for rational bubbles in Australian housing market from a long-term perspective. (2021). Prats, Maria A ; Esteve, Vicente. In: Working Papers. RePEc:eec:wpaper:2113. Full description at Econpapers \|\| Download paper
2021	Designing a statistical procedure for monitoring global carbon dioxide emissions. (2021). Bennedsen, Mikkel. In: Climatic Change. RePEc:spr:climat:v:166:y:2021:i:3:d:10.1007_s10584-021-03123-y. Full description at Econpapers \|\| Download paper

Recent citations received in 2020

Year	Citing document
2020	Estimating the mean under strong persistence. (2020). Hassler, Uwe ; Hosseinkouchack, Mehdi. In: Economics Letters. RePEc:eee:ecolet:v:188:y:2020:i:c:s0165176520300069. Full description at Econpapers \|\| Download paper
2020	A Coronavirus Asset Pricing Model: The Role of Skewness. (2020). Savva, Christos ; Delis, Manthos ; Theodossiou, Panayiotis. In: MPRA Paper. RePEc:pra:mprapa:100877. Full description at Econpapers \|\| Download paper

Recent citations received in 2019

Year	Citing document
2019	Spectral Analysis of Multivariate Time Series. (2019). von Sachs, Rainer. In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences). RePEc:aiz:louvad:2019008. Full description at Econpapers \|\| Download paper
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
2019	Time-Varying Cointegration and the Kalman Filter. (2019). Miller, J. ; Yigit, Taner ; Eroglu, Burak Alparslan. In: Working Papers. RePEc:umc:wpaper:1905. 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	Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; LÃÆÃÂ¼tkepohl, Helmut ; Lutkepohl, Helmut. In: Lodz Economics Working Papers. RePEc:ann:wpaper:4/2018. 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	Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices. (2018). Phillips, Peter ; PEter, ; Lieberman, Offer. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2151. Full description at Econpapers \|\| Download paper
2018	Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; LÃÆÃÂ¼tkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1762. Full description at Econpapers \|\| Download paper
2018	Threshold regression asymptotics: From the compound Poisson process to two-sided Brownian motion. (2018). Phillips, Peter ; Yu, Ping ; PEter, . In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:123-126. Full description at Econpapers \|\| Download paper
2018	Monetary Policy across Space and Time. (2018). Matthes, Christian ; Liu, Laura ; Petrova, Katerina. In: Working Paper. RePEc:fip:fedrwp:18-14. Full description at Econpapers \|\| Download paper
2018	Ã¢â¬ÅTime connectedness of fearÃ¢â¬Â. (2018). Sosvilla-Rivero, Simon ; Fernandez-Rodriguez, Fernando ; Fernandez-Perez, Adrian ; Andrada-Felixa, Julian. In: IREA Working Papers. RePEc:ira:wpaper:201818. 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
2018	Nonstationary Cointegration In The Fractionally Cointegrated Var Model. (2018). Nielsen, Morten ; Johansen, Soren. In: Working Paper. RePEc:qed:wpaper:1405. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	80	297
2	MPRA Paper / University Library of Munich, Germany	119	236
3	Journal of Time Series Analysis / Wiley Blackwell	51	197
4	Journal of Econometrics / Elsevier	220	164
5	Statistical Papers / Springer	17	112
6	Empirical Economics / Springer	67	109
7	Econometrics and Statistics / Elsevier	10	104
8	Energy Economics / Elsevier	148	87
9	Computational Statistics & Data Analysis / Elsevier	51	85
10	Journal of Multivariate Analysis / Elsevier	50	79
11	Econometrics / MDPI	17	79