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Wiley-Blackwell: Journal of Time Series Analysis
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Incl. Fee Electronic Paper Asymptotic Inferences for an AR(1) Model with a Change Point: Stationary and Nearly Non‐Stationary Cases
Journal of Time Series Analysis, Vol. 35, Issue 2, pp. 133-150, 2014
Tianxiao Pang , Danna Zhang and Terence T. L. Chong
Zhejiang University , Zhejiang University and Institute of Global Economics and Finance
Date Posted: February 11, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Binomial Autoregressive Processes with Density‐Dependent Thinning
Journal of Time Series Analysis, Vol. 35, Issue 2, pp. 115-132, 2014
Christian Weiß and Philip K. Pollett
University of the German Federal Armed Forces - Department of Mathematics and Statistics and University of Queensland - Department of Mathematics
Date Posted: February 07, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Determining the Number of Regimes in Markov Switching VAR and VMA Models
Journal of Time Series Analysis, Vol. 35, Issue 2, pp. 173-186, 2014
Maddalena Cavicchioli
Advanced School of Economics in Venice
Date Posted: February 07, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Studentizing Weighted Sums of Linear Processes
Journal of Time Series Analysis, Vol. 35, Issue 2, pp. 151-172, 2014
Violetta Dalla , Liudas Giraitis and Hira Koul
London School of Economics & Political Science (LSE) - Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) , Queen Mary and Michigan State University
Date Posted: February 07, 2014
Accepted Paper Series

Incl. Fee Electronic Paper A Flexible State Space Model and its Applications
Journal of Time Series Analysis, Vol. 35, Issue 2, pp. 79-88, 2014
Hang Qian
Iowa State University
Date Posted: February 07, 2014
Accepted Paper Series

Incl. Fee Electronic Paper A Generalized Block Bootstrap for Seasonal Time Series
Journal of Time Series Analysis, Vol. 35, Issue 2, pp. 89-114, 2014
Anna E. Dudek , Jacek Leśkow , Efstathios Paparoditis and Dimitris N. Politis
AGH University of Science and Technology , Cracow University of Technology - Department of Econometrics , University of Cyprus - Department of Mathematics and Statistics and University of California, San Diego (UCSD) - Department of Mathematics
Date Posted: February 07, 2014
Accepted Paper Series

Incl. Fee Electronic Paper A Wavelet‐Fisz Approach to Spectrum Estimation
Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 868-880, 2008
Piotr Fryzlewicz , Guy P. Nason and Rainer von Sachs
University of Bristol , affiliation not provided to SSRN and Catholic University of Louvain - Department of Statistics
Date Posted: January 18, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Assessing Time‐Reversibility Under Minimal Assumptions
Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 881-905, 2008
Zacharias Psaradakis
University of London, Birkbeck College - School of Economics, Mathematics and Statistics
Date Posted: January 18, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Break Detection for a Class of Nonlinear Time Series Models
Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 834-867, 2008
Richard A. Davis , Thomas C.M. Lee and Gabriel A. Rodriguez‐Yam
Columbia University , The Chinese University of Hong Kong (CUHK) and Universidad Autonoma Chapingo
Date Posted: January 18, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Fitting Stochastic Volatility Models in the Presence of Irregular Sampling Via Particle Methods and the EM Algorithm
Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 811-833, 2008
Jeongeun Kim and David Stoffer
University of Maryland and University of Pittsburgh - Department of Statistics
Date Posted: January 18, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Local Asymptotic Normality and Efficient Estimation for Inar(P) Models
Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 783-801, 2008
Feike C. Drost , Ramon Van den Akker and Bas J. M. Werker
Tilburg University - Center for Economic Research (CentER) , Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Date Posted: January 18, 2014
Accepted Paper Series

Incl. Fee Electronic Paper The Sampling Properties of Conditional Independence Graphs for I(1) Structural VAR Models
Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 802-810, 2008
Granville Tunnicliffe Wilson and Marco Reale
Lancaster University and University of Canterbury
Date Posted: January 18, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Uniform Limit Theorems for the Integrated Periodogram of Weakly Dependent Time Series and Their Applications to Whittle's Estimate
Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 906-945, 2008
Jean-Marc Bardet , Paul Doukhan and José Rafael León
University of Paris 1 Pantheon-Sorbonne - MATISSE-ISYS , University of Cergy-Pontoise and Universidad Central de Venezuela
Date Posted: January 18, 2014
Accepted Paper Series

Incl. Fee Electronic Paper An Extended Portmanteau Test for Varma Models with Mixing Nonlinear Constraints
Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 741-761, 2008
Ignacio Arbués
affiliation not provided to SSRN
Date Posted: January 18, 2014
Accepted Paper Series

Incl. Fee Electronic Paper On Residual Empirical Processes of Garch‐Sm Models: Application to Conditional Symmetry Tests
Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 762-782, 2008
Naâmane Laïb , Mohamed Lemdani and Elias Ould‐Saïd
Université Paris VI Pierre et Marie Curie , University of Lille II and Université du Littoral Côte d'Opale (ULCO)
Date Posted: January 18, 2014
Accepted Paper Series

Incl. Fee Electronic Paper A Fixed‐ B Test for a Break in Level at an Unknown Time Under Fractional Integration
Journal of Time Series Analysis, Vol. 35, Issue 1, pp. 40-54, 2014
Fabrizio Iacone , Stephen J. Leybourne and A. M. Robert Taylor
University of York (UK) - Department of Economics and Related Studies , University of Nottingham and University of Essex
Date Posted: December 17, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Quasi‐Likelihood Inference for Negative Binomial Time Series Models
Journal of Time Series Analysis, Vol. 35, Issue 1, pp. 55-78, 2014
Vasiliki Christou and Konstantinos Fokianos
University of Cyprus and University of Cyprus - Department of Mathematics and Statistics
Date Posted: December 17, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Contemporaneous Aggregation of Triangular Array of Random‐Coefficient AR(1) Processes
Journal of Time Series Analysis, Vol. 35, Issue 1, pp. 16-39, 2014
Anne Philippe , Donata Puplinskaite and Donatas Surgailis
University of Nantes , University of Nantes and Institute of Mathematics and Informatics, Lithuania
Date Posted: December 17, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Non‐Parametric Estimation Under Strong Dependence
Journal of Time Series Analysis, Vol. 35, Issue 1, pp. 4-15, 2014
Zhibiao Zhao , Yiyun Zhang and Runze Li
Pennsylvania State University , Novartis Oncology and Pennsylvania State University
Date Posted: December 17, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Frequency Domain Generalized Empirical Likelihood Method
Journal of Time Series Analysis, Vol. 34, Issue 6, pp. 691-716, 2013
Yoshihide Kakizawa
Hokkaido University
Date Posted: November 16, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Multivariate Limit Theorems in the Context of Long‐Range Dependence
Journal of Time Series Analysis, Vol. 34, Issue 6, pp. 717-743, 2013
Shuyang Bai and Murad S. Taqqu
Boston University and Boston University - Department of Mathematics and Statistics
Date Posted: November 16, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Two‐Step Estimation of a Multi‐Variate Lévy Process
Journal of Time Series Analysis, Vol. 34, Issue 6, pp. 668-690, 2013
C. Klüppelberg and Habib Esmaeili
Technische Universität München (TUM) and Technische Universität München (TUM)
Date Posted: November 16, 2013
Accepted Paper Series

Incl. Fee Electronic Paper A Non‐Gaussian Family of State‐Space Models with Exact Marginal Likelihood
Journal of Time Series Analysis, Vol. 34, Issue 6, pp. 625-645, 2013
Dani Gamerman , Thiago Rezende dos Santos and Glaura C. Franco
Universidade Federal do Rio de Janeiro (UFRJ) , Federal University of Minas Gerais (UFMG) and Federal University of Minas Gerais (UFMG)
Date Posted: November 16, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Bootstrap for Random Coefficient Autoregressive Models
Journal of Time Series Analysis, Vol. 34, Issue 6, pp. 646-667, 2013
Thorsten Fink and Jens‐Peter Kreiss
Technische Universität Braunschweig and Technische Universität Carolo-Wilhelmina zu Braunschweig
Date Posted: November 16, 2013
Accepted Paper Series

Incl. Fee Electronic Paper On Mixture Memory GARCH Models
Journal of Time Series Analysis, Vol. 34, Issue 6, pp. 606-624, 2013
Muyi Li , Wai Keung Li and Guodong Li
Xiamen University , Chinese University of Hong Kong and University of Hong Kong - Department of Statistics & Actuarial Science
Date Posted: November 16, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Continuous‐Time Autoregressive Moving Average Processes in Discrete Time: Representation and Embeddability
Journal of Time Series Analysis, Vol. 34, Issue 5, pp. 552-561, 2013
Michael A. Thornton and Marcus J. Chambers
University of York (UK) and University of Essex - Department of Economics
Date Posted: August 24, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Effect of Temporal Aggregation on Multiple Time Series in the Frequency Domain
Journal of Time Series Analysis, Vol. 34, Issue 5, pp. 562-573, 2013
Uwe Hassler
Goethe University Frankfurt - Faculty of Economics and Business Administration
Date Posted: August 24, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Estimation of Stationary Autoregressive Models with the Bayesian LASSO
Journal of Time Series Analysis, Vol. 34, Issue 5, pp. 517-531, 2013
Daniel Schmidt and Enes Makalic
University of Melbourne and University of Melbourne
Date Posted: August 24, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Regulated Fractionally Integrated Processes
Journal of Time Series Analysis, Vol. 34, Issue 5, pp. 591-601, 2013
Mirza Trokić
McGill University
Date Posted: August 24, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Spectral Estimates for High‐Frequency Sampled Continuous‐Time Autoregressive Moving Average Processes
Journal of Time Series Analysis, Vol. 34, Issue 5, pp. 532-551, 2013
Vicky Fasen and Florian Fuchs
Karlsruhe Institute of Technology and Technische Universität München (TUM) - HVB Institute for Mathematical Finance
Date Posted: August 24, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Transformation to Approximate Independence for Locally Stationary Gaussian Processes
Journal of Time Series Analysis, Vol. 34, Issue 5, pp. 574-590, 2013
Joseph Guinness and Michael Stein
North Carolina State University and University of Chicago
Date Posted: August 24, 2013
Accepted Paper Series

Incl. Fee Electronic Paper A Bootstrap Test for Additive Outliers in Non‐Stationary Time Series
Journal of Time Series Analysis, Vol. 34, Issue 4, pp. 454-465, 2013
Sam Astill , David I. Harvey and A. M. Robert Taylor
University of Nottingham , University of Nottingham - School of Economics and University of Nottingham
Date Posted: June 19, 2013
Accepted Paper Series

Incl. Fee Electronic Paper A Computationally Convenient Unit Root Test with Covariates, Conditional Heteroskedasticity and Efficient Detrending
Journal of Time Series Analysis, Vol. 34, Issue 4, pp. 477-495, 2013
Joakim Westerlund
Deakin University
Date Posted: June 19, 2013
Accepted Paper Series

Incl. Fee Electronic Paper A Geometric Time Series Model with Dependent Bernoulli Counting Series
Journal of Time Series Analysis, Vol. 34, Issue 4, pp. 466-476, 2013
Miroslav M. Ristić , Aleksandar S. Nastić and Ana V. Miletić Ilić
University of Niš , University of Niš - Faculty of Sciences and Mathematics and University of Niš - Faculty of Sciences and Mathematics
Date Posted: June 19, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Distributions for Residual Autocovariances in Parsimonious Periodic Vector Autoregressive Models with Applications
Journal of Time Series Analysis, Vol. 34, Issue 4, pp. 496-507, 2013
Pierre Duchesne and Pierre Lafaye de Micheaux
University of Montreal - Department of Mathematics and Statistics and Université Montpellier II
Date Posted: June 19, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Gaussian Inference in General AR(1) Models Based on Difference
Journal of Time Series Analysis, Vol. 34, Issue 4, pp. 447-453, 2013
Jhih‐Gang Chen and Biing-Shen Kuo
National Chengchi University (NCCU) and Dept. International Business, National Chengchi University
Date Posted: June 19, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Inference for Non‐Stationary Time‐Series Autoregression
Journal of Time Series Analysis, Vol. 34, Issue 4, pp. 508-516, 2013
Zhou Zhou
University of Toronto
Date Posted: June 19, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Inference for Single and Multiple Change‐Points in Time Series
Journal of Time Series Analysis, Vol. 34, Issue 4, pp. 423-446, 2013
Venkata Jandhyala , Stergios Fotopoulos , Ian Alexander Macneill and Pengyu Liu
Washington State University , Washington State University , University of Western Ontario and Philips Healthcare
Date Posted: June 19, 2013
Accepted Paper Series

Incl. Fee Electronic Paper High‐Frequency Sampling and Kernel Estimation for Continuous‐Time Moving Average Processes
Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 385-404, 2013
Peter Brockwell , Vincenzo Ferrazzano and C. Klüppelberg
Colorado State University , Technische Universität München (TUM) and Technische Universität München (TUM)
Date Posted: April 26, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Unit Root Testing with Stationary Covariates and a Structural Break in the Trend Function
Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 368-384, 2013
Sebastian Fossati
University of Alberta - Department of Economics
Date Posted: April 26, 2013
Accepted Paper Series

Incl. Fee Electronic Paper A Class of Optimal Tests for Contemporaneous Non‐Causality in VAR Models
Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 330-344, 2013
Maria Caterina Bramati
Belgian National Institute of Statistics
Date Posted: April 26, 2013
Accepted Paper Series

Incl. Fee Electronic Paper A Note on Non‐Parametric Testing for Gaussian Innovations in AR–Arch Models
Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 362-367, 2013
Natalie Neumeyer and Leonie Selk
University of Hamburg - Department of Mathematics and University of Hamburg - Department of Mathematics
Date Posted: April 26, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Estimation of the Long‐Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends
Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 285-301, 2013
Adam McCloskey
Brown University - Department of Economics
Date Posted: April 26, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Modelling Long‐Run Trends and Cycles in Financial Time Series Data
Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 405-421, 2013
Guglielmo Maria Caporale , Juncal Cuñado and Luis A. Gil‐Alana
Brunel University - Centre for Empirical Finance , University of Navarra and University of Navarra
Date Posted: April 26, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Nonparametric Regression with Rescaled Time Series Errors
Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 345-361, 2013
José E. Figueroa‐López and Michael Levin
Purdue University and Purdue University
Date Posted: April 26, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Robust Estimation for Copula Parameter in SCOMDY Models
Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 302-314, 2013
Byungsoo Kim and Sangyeol Lee
Seoul National University and Seoul National University - Department of Statistics
Date Posted: April 26, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Score Statistics for Testing Serial Dependence in Count Data
Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 315-329, 2013
Jiajing Sun and Brendan P.M. McCabe
University of Liverpool and University of Liverpool - Management School (ULMS)
Date Posted: April 26, 2013
Accepted Paper Series

Incl. Fee Electronic Paper A Mixed Portmanteau Test for ARMA‐GARCH Models by the Quasi‐Maximum Exponential Likelihood Estimation Approach
Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 230-237, 2013
Ke. Zhu
affiliation not provided to SSRN
Date Posted: February 22, 2013
Accepted Paper Series

Incl. Fee Electronic Paper CUSUM‐Type Testing for Changing Parameters in a Spatial Autoregressive Model for Stock Returns
Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 221-229, 2013
Dominik Wied
TU Dortmund University
Date Posted: February 22, 2013
Accepted Paper Series
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Incl. Fee Electronic Paper Empirical Determination of the Frequencies of an Almost Periodic Time Series
Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 262-279, 2013
D. Dehay and H. L. Hurd
affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: February 22, 2013
Accepted Paper Series


 

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