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Citation Profile [Updated: 2024-06-03 11:54:30]
5 Years H Index
53
Impact Factor (IF)
0.38
5 Years IF
0.47
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 0.03 0.11 0.56 0.03 27 27 177 15 15 60 2 147 4 0 0 0.05
1991 0.02 0.1 0.4 0.03 26 53 125 21 36 54 1 152 5 0 0 0.05
1992 0.09 0.11 0.26 0.05 34 87 346 23 59 53 5 154 8 0 0 0.05
1993 0.07 0.13 0.22 0.06 47 134 401 30 89 60 4 147 9 0 0 0.06
1994 0.01 0.14 0.12 0.02 46 180 661 22 111 81 1 161 4 0 1 0.02 0.07
1995 0.11 0.22 0.53 0.13 40 220 395 115 228 93 10 180 24 54 47 2 0.05 0.1
1996 0.13 0.25 0.49 0.16 35 255 410 126 354 86 11 193 31 0 4 0.11 0.12
1997 0.21 0.25 0.45 0.25 36 291 293 131 485 75 16 202 50 0 2 0.06 0.11
1998 0.14 0.28 0.41 0.25 46 337 971 138 623 71 10 204 50 0 3 0.07 0.13
1999 0.22 0.31 0.35 0.18 44 381 373 133 757 82 18 203 36 0 1 0.02 0.15
2000 0.22 0.36 0.48 0.22 37 418 473 197 957 90 20 201 45 0 5 0.14 0.16
2001 0.16 0.39 0.46 0.21 40 458 487 206 1166 81 13 198 42 0 4 0.1 0.17
2002 0.39 0.41 0.55 0.33 35 493 400 261 1436 77 30 203 66 0 1 0.03 0.21
2003 0.48 0.44 0.68 0.43 44 537 595 359 1800 75 36 202 87 32 8.9 14 0.32 0.22
2004 0.66 0.5 0.8 0.57 55 592 552 469 2274 79 52 200 113 61 13 12 0.22 0.22
2005 0.35 0.51 0.75 0.46 54 646 414 477 2757 99 35 211 97 56 11.7 11 0.2 0.23
2006 0.5 0.51 0.76 0.59 46 692 899 522 3282 109 55 228 135 4 0.8 12 0.26 0.23
2007 0.35 0.47 0.57 0.44 42 734 367 415 3704 100 35 234 104 4 1 3 0.07 0.2
2008 0.69 0.49 0.75 0.6 54 788 534 589 4295 88 61 241 145 19 3.2 10 0.19 0.23
2009 0.56 0.48 0.71 0.59 36 824 276 587 4882 96 54 251 148 24 4.1 10 0.28 0.24
2010 0.46 0.49 0.58 0.49 44 868 356 507 5389 90 41 232 113 22 4.3 8 0.18 0.21
2011 0.55 0.52 0.6 0.58 57 925 276 552 5942 80 44 222 128 0 2 0.04 0.24
2012 0.4 0.52 0.7 0.44 74 999 262 703 6645 101 40 233 102 0 4 0.05 0.22
2013 0.31 0.56 0.7 0.49 57 1056 521 737 7383 131 41 265 129 24 3.3 13 0.23 0.24
2014 0.4 0.55 0.66 0.4 38 1094 235 721 8106 131 52 268 106 33 4.6 9 0.24 0.23
2015 0.65 0.55 0.64 0.49 51 1145 200 730 8836 95 62 270 133 31 4.2 10 0.2 0.23
2016 0.49 0.53 0.61 0.46 49 1194 198 725 9561 89 44 277 128 37 5.1 5 0.1 0.21
2017 0.36 0.54 0.59 0.49 53 1247 255 736 10297 100 36 269 132 42 5.7 8 0.15 0.22
2018 0.36 0.56 0.57 0.49 57 1304 295 738 11035 102 37 248 121 10 1.4 12 0.21 0.24
2019 0.47 0.57 0.62 0.42 53 1357 137 846 11881 110 52 248 103 0 8 0.15 0.23
2020 0.65 0.69 0.76 0.59 51 1408 52 1073 12954 110 72 263 156 50 4.7 2 0.04 0.33
2021 0.45 0.83 0.68 0.63 40 1448 26 978 13932 104 47 263 165 61 6.2 4 0.1 0.31
2022 0.3 0.89 0.65 0.68 48 1496 29 977 14909 91 27 254 173 42 4.3 4 0.08 0.27
2023 0.38 1.03 0.55 0.47 24 1520 5 831 15740 88 33 249 117 18 2.2 2 0.08 0.3
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
#YearTitleCited
11980AN INTRODUCTION TO LONG‐MEMORY 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.

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847
21998Error‐correction Mechanism Tests for Cointegration in a Single‐equation 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

358
31983THE 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.

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354
41983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL 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.

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337
52006A 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.

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272
61986ON 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.

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244
72013Combining non-cointegration tests. (2013). Bayer, Christian ; Hanck, Christoph . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:83-95.

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225
81998Unit roots and smooth transitions. (1998). Leybourne, Stephen ; Vougas, Dimitrios ; Newbold, Paul. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:1:p:83-97.

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221
91992VECTOR 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.

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220
101996MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES. (1996). Masry, Elias . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:17:y:1996:i:6:p:571-599.

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193
111983NONPARAMETRIC 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.

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188
121982AN 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.

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178
131989ON 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.

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178
142008Fractional 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.

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165
151994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES. (1994). Bai, Jushan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:15:y:1994:i:5:p:453-472.

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159
161998The mean squared error of Geweke and Porter‐Hudaks estimator of the memory parameter of a long‐memory 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.

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158
171995ALTERNATIVE 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.

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150
182002Comparison of unit root tests for time series with level shifts. (2002). Lütkepohl, Helmut ; Lanne, Markku ; Saikkonen, Pentti ; Lutkepohl, Helmut. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:23:y:2002:i:6:p:667-685.

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138
192005Unit‐root testing against the alternative hypothesis of up to m structural breaks. (2005). Kapetanios, George. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:26:y:2005:i:1:p:123-133.

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123
202003A Sieve Bootstrap For The Test Of A Unit Root. (2003). Park, Joon ; Chang, Yoosoon. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:4:p:379-400.

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115
212006Integer-Valued GARCH Process. (2006). Latour, Alain ; Ferland, Rene ; Oraichi, Driss. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:6:p:923-942.

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105
221994ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR 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.

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102
231982TESTING 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.

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97
242000Fast 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.

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95
252010A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component. (2010). Perron, Pierre ; Kejriwal, Mohitosh. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:5:p:305-328.

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94
262013Structural breaks in time series. (2013). Horvath, Lajos ; Aue, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:1-16.

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92
272000Least‐squares 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.

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89
282003ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS. (2003). Spagnolo, Fabio ; Psaradakis, Zacharias. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:2:p:237-252.

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88
292018Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987.

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82
302000Semiparametric 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.

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79
311995BAYESIAN 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.

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79
322004A Dependence Metric for Possibly Nonlinear Processes. (2004). Racine, Jeffrey ; Maasoumi, Esfandiar ; Granger, Clive. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:5:p:649-669.

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79
331988ON 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.

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76
341993POWER OF THE NEURAL NETWORK LINEARITY TEST. (1993). Teräsvirta, Timo ; Terasvirta, Timo ; Lin, Chienfu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:14:y:1993:i:2:p:209-220.

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74
352001Testing 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.

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72
361995ESTIMATION 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.

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71
371993BIAS 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.

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71
381984ARMA MODELS WITH ARCH ERRORS. (1984). Weiss, Andrew A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:5:y:1984:i:2:p:129-143.

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70
391999Gaussian Semiparametric Estimation of Non‐stationary Time Series. (1999). Velasco, Carlos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:20:y:1999:i:1:p:87-127.

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68
401993A 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.

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65
411999Two 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.

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62
421984ORDER 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.

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62
431985COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS. (1985). Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:6:y:1985:i:1:p:35-52.

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61
442006Uniform Limit Theory for Stationary Autoregression. (2006). Phillips, Peter ; Giraitis, Liudas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:1:p:51-60.

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61
451994STATISTICAL 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.

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61
461990A 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.

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61
471991NONLINEAR 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.

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60
482017Testing for Panel Cointegration Using Common Correlated Effects Estimators. (2017). Carrion-i-Silvestre, Josep ; Banerjee, Anindya. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:610-636.

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60
492007Effects of outliers on the identification and estimation of GARCH models. (2007). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:4:p:471-497.

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58
501996UNIT 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.

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54
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
11998Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework. (1998). Mestre, Ricardo ; 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

118
22013Combining 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

72
31983THE 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

56
42018Change 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

51
51980AN INTRODUCTION TO LONG‐MEMORY 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

50
62006A 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

41
72017Testing 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

36
82013Structural 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

28
91986ON 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

25
101983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL 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

25
112006Integer-Valued GARCH Process. (2006). Latour, Alain ; Ferland, Rene ; Oraichi, Driss. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:6:p:923-942.

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22
121987FIRST‐ORDER INTEGER‐VALUED AUTOREGRESSIVE (INAR(1)) PROCESS. (1987). Alzaid, A A ; Alosh, M A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:8:y:1987:i:3:p:261-275.

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21
131982AN 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.

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21
142017Time-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.

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18
151998Unit 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

16
161995BAYESIAN 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

16
171994LEAST 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

16
181989ON 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

15
192008Fractional 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

15
202017Volatility Modeling with a Generalized t Distribution. (2017). Rao, Tata Subba ; Lange, Rutger-Jan ; Harvey, Andrew ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:175-190.

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14
211994ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR 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
221996MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES. (1996). Masry, Elias . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:17:y:1996:i:6:p:571-599.

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13
231993POWER OF THE NEURAL NETWORK LINEARITY TEST. (1993). Teräsvirta, Timo ; Terasvirta, Timo ; Lin, Chienfu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:14:y:1993:i:2:p:209-220.

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241990A 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.

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12
252000Fast 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.

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262010A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component. (2010). Perron, Pierre ; Kejriwal, Mohitosh. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:5:p:305-328.

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272011A negative binomial integer‐valued GARCH model. (2011). Zhu, Fukang . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i:1:p:54-67.

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282005Unit‐root testing against the alternative hypothesis of up to m structural breaks. (2005). Kapetanios, George. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:26:y:2005:i:1:p:123-133.

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292016Poisson QMLE of Count Time Series Models. (2016). Francq, Christian ; Ahmad, Ali. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:37:y:2016:i:3:p:291-314.

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302016Filtering, Prediction and Simulation Methods for Noncausal Processes. (2016). Jasiak, Joann ; gourieroux, christian. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:37:y:2016:i:3:p:405-430.

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312019Long Memory, Realized Volatility and Heterogeneous Autoregressive Models. (2019). Rho, Seunghwa ; Cho, Dooyeon ; Calonaci, Fabio ; Baillie, Richard T. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:40:y:2019:i:4:p:609-628.

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322019Multivariate Quantile Impulse Response Functions. (2019). Montesrojas, Gabriel. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:40:y:2019:i:5:p:739-752.

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332014Time-series models with an EGB2 conditional distribution. (2014). Harvey, Andrew ; Caivano, Michele. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:6:p:558-571.

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341993A 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.

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352014A FAST FRACTIONAL DIFFERENCE ALGORITHM. (2014). Nielsen, Morten ; Noack, Andreas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:5:p:428-436.

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362015Vine 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.

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371992VECTOR 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.

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382015Testing for Mild Explosivity and Bubbles in LME Non-Ferrous Metals Prices. (2015). Kellard, Neil ; McCrorie, Roderick J ; Gilbert, Christopher L ; Figuerola-Ferretti, Isabel ; Coakley, Jerry ; Osborn, Denise . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:36:y:2015:i:5:p:763-782.

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392018Testing the CVAR in the Fractional CVAR Model. (2018). Nielsen, Morten ; Johansen, Soren. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:836-849.

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402018On the Comparison of Interval Forecasts. (2018). Askanazi, Ross ; Shin, Minchul ; Schorfheide, Frank ; Diebold, Francis X. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:953-965.

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412015Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models. (2015). Nielsen, Morten. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:36:y:2015:i:2:p:154-188.

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422006Uniform Limit Theory for Stationary Autoregression. (2006). Phillips, Peter ; Giraitis, Liudas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:1:p:51-60.

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432012Measuring nonlinear dependence in time‐series, a distance correlation approach. (2012). Zhou, Zhou. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:33:y:2012:i:3:p:438-457.

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442013Inference for single and multiple change-points in time series. (2013). MacNeill, Ian ; Jandhyala, Venkata ; Fotopoulos, Stergios ; Liu, Pengyu . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:4:p:423-446.

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452012First-order integer valued AR processes with zero inflated poisson innovations. (2012). Lai, Chin-Diew ; Jazi, Mansour Aghababaei ; Jones, Geoff. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:33:y:2012:i:6:p:954-963.

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462019Nonstationary Cointegration in the Fractionally Cointegrated VAR Model. (2019). Nielsen, Morten ; Johansen, Soren. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:40:y:2019:i:4:p:519-543.

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472014QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS. (2014). Fokianos, Konstantinos ; Christou, Vasiliki . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:1:p:55-78.

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482003A Sieve Bootstrap For The Test Of A Unit Root. (2003). Park, Joon ; Chang, Yoosoon. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:4:p:379-400.

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492004Analysis of low count time series data by poisson autoregression. (2004). McCabe, Brendan ; B. P. M. McCabe, ; B . P. M. McCabe, ; Freeland, R. K.. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:5:p:701-722.

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501998Existence and Stochastic Structure of a Non‐negative Integer‐valued Autoregressive Process. (1998). Latour, Alain. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:4:p:439-455.

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Citing documents used to compute impact factor: 33
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2023DeÂ…cit sustainability and the Fiscal Theory of the Price Level: the case of Italy, 1861-2020. (2023). Esteve, Vicente ; Daz-Roldn, Silviano Carmen ; Congregado, Emilio. In: Working Papers. RePEc:eec:wpaper:2301.

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2023Testing for explosive bubbles: a review. (2023). Anton, Skrobotov. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:26:n:1.

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2023National forest timber bids and export price interlinkages in the USA: The bounds testing approach. (2023). Prestemon, Jeffrey ; Henderson, Jesse D ; Korhonen, Jaana. In: Forest Policy and Economics. RePEc:eee:forpol:v:152:y:2023:i:c:s1389934123000825.

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2023Periodic Integration and Seasonal Unit Roots. (2023). del Barrio Castro, Tomás ; Osborn, Denise R. In: MPRA Paper. RePEc:pra:mprapa:117935.

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2023A pulse check on recent developments in time series econometrics. (2023). Chan, Felix ; Oxley, Les. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:3-6.

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2023A higher-order correct fast moving-average bootstrap for dependent data. (2023). Scaillet, Olivier ; Moor, Alban ; la Vecchia, Davide. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:65-81.

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2023Impulse response function analysis for Markov switching var models. (2023). Cavicchioli, Maddalena. In: Economics Letters. RePEc:eee:ecolet:v:232:y:2023:i:c:s0165176523003828.

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2023Structural inference in sparse high-dimensional vector autoregressions. (2023). Trenkler, C ; Paparoditis, E ; Krampe, J. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:276-300.

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2023Johansen Test with Fourier-Type Smooth Nonlinear Trends in Cointegrating Relations. (2023). Shintani, Mototsugu ; Kurita, Takamitsu. In: CIRJE F-Series. RePEc:tky:fseres:2023cf1216.

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2023Toward Sustainable Development: Assessing the Effects of Financial Contagion on Human Well-Being in Romania. (2023). Georgescu, Irina ; Nica, Ionu ; Chiri, Nora ; Delcea, Camelia. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:11:p:204-:d:1283882.

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2023Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data. (2023). Hao, Hong-Xia ; Lin, Jin-Guan ; Fu, Jin-Yu. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1698-1712.

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2023High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192.

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2023Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511.

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2023Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1.

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2023An efficient approach to structural breaks and the case of automobile gasoline consumption in Australia. (2023). Hensher, David A ; Zeng, Jingjing ; Li, Zheng. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:169:y:2023:i:c:s0965856423000149.

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Recent citations received in 2023

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