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Wiley-Blackwell: Journal of Time Series Analysis
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Incl. Fee Electronic Paper A Gaussian Mixture Autoregressive Model for Univariate Time Series
Journal of Time Series Analysis, Vol. 36, Issue 2, pp. 247-266, 2015
Leena Kalliovirta , Mika Meitz and Pentti Saikkonen
Economics, HECER, Department of Political and Economic Studies , University of Helsinki - Department of Political and Economic Studies and University of Helsinki - Department of Statistics
Date Posted: February 13, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Asymptotics for the Conditional‐Sum‐Of‐Squares Estimator in Multivariate Fractional Time‐Series Models
Journal of Time Series Analysis, Vol. 36, Issue 2, pp. 154-188, 2015
Morten Ørregaard Nielsen
Queen's University (Canada) - Department of Economics
Date Posted: February 13, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Signal Extraction for Non‐Stationary Multivariate Time Series with Illustrations for Trend Inflation
Journal of Time Series Analysis, Vol. 36, Issue 2, pp. 209-227, 2015
Tucker McElroy
U.S. Census Bureau - Center for Statistical Research and Methodology
Date Posted: February 13, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Tests for Volatility Shifts in GARCH Against Long‐Range Dependence
Journal of Time Series Analysis, Vol. 36, Issue 2, pp. 127-153, 2015
Taewook Lee , Moosup Kim and Changryong Baek
Hankuk University of Foreign Studies , Seoul National University and Sungkyunkwan University
Date Posted: February 13, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Vine Copula Specifications for Stationary Multivariate Markov Chains
Journal of Time Series Analysis, Vol. 36, Issue 2, pp. 228-246, 2015
Brendan Kinnane Beare and Juwon Seo
University of California, San Diego and University of California, San Diego
Date Posted: February 13, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Wavelet‐Based Tests for Comparing Two Time Series with Unequal Lengths
Journal of Time Series Analysis, Vol. 36, Issue 2, pp. 189-208, 2015
Jonathan Decowski and Linyuan Li
University of New Hampshire and University of New Hampshire
Date Posted: February 13, 2015
Accepted Paper Series

Incl. Fee Electronic Paper A Joint Portmanteau Test for Conditional Mean and Variance Time‐Series Models
Journal of Time Series Analysis, Vol. 36, Issue 1, pp. 39-60, 2015
Carlos Velasco and Xuexin Wang
Universidad Carlos III de Madrid - Department of Economics and Xiamen University
Date Posted: December 30, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Definitions and Representations of Multivariate Long‐Range Dependent Time Series
Journal of Time Series Analysis, Vol. 36, Issue 1, pp. 1-25, 2015
Stefanos Kechagias and Vladas Pipiras
University of North Carolina (UNC) at Chapel Hill and University of North Carolina (UNC) at Chapel Hill - Department of Statistics
Date Posted: December 30, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Hypothesis Testing for ARCH Models: A Multiple Quantile Regressions Approach
Journal of Time Series Analysis, Vol. 36, Issue 1, pp. 26-38, 2015
Seonjin Kim
Miami University
Date Posted: December 30, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Inference for a Special Bilinear Time‐Series Model
Journal of Time Series Analysis, Vol. 36, Issue 1, pp. 61-66, 2015
Shiqing Ling , Liang Peng and Fukang Zhu
Hong Kong University of Science & Technology - Department of Mathematics , Georgia State University - Risk Management & Insurance Department and Jilin University (JLU)
Date Posted: December 30, 2014
Accepted Paper Series

Incl. Fee Electronic Paper On Self‐Normalization for Censored Dependent Data
Journal of Time Series Analysis, Vol. 36, Issue 1, pp. 109-124, 2015
Yinxiao Huang , Stanislav Volgushev and Xiaofeng Shao
University of Illinois at Urbana-Champaign - Department of Statistics , University of Bochum - Faculty of Mathematics and University of Illinois at Urbana-Champaign - Department of Statistics
Date Posted: December 30, 2014
Accepted Paper Series

Incl. Fee Electronic Paper On Weighted Portmanteau Tests for Time‐Series Goodness‐Of‐Fit
Journal of Time Series Analysis, Vol. 36, Issue 1, pp. 67-83, 2015
Colin Gallagher and Thomas Fisher
Clemson University and Miami University of Ohio
Date Posted: December 30, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Testing Equality of Means When the Observations are from Functional Time Series
Journal of Time Series Analysis, Vol. 36, Issue 1, pp. 84-108, 2015
Lajos Horváth and Gregory Rice
University of Utah and University of Utah
Date Posted: December 30, 2014
Accepted Paper Series

Incl. Fee Electronic Paper A Simple Example of an Indirect Estimator with Discontinuous Limit Theory in the MA(1) Model
Journal of Time Series Analysis, Vol. 35, Issue 6, pp. 536-557, 2014
Stelios Arvanitis
Athens University of Economics and Business
Date Posted: October 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Analysis of the Likelihood Function for Markov‐Switching VAR(CH) Models
Journal of Time Series Analysis, Vol. 35, Issue 6, pp. 624-639, 2014
Maddalena Cavicchioli
Advanced School of Economics in Venice
Date Posted: October 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Efficient Method of Moments Estimators for Integer Time Series Models
Journal of Time Series Analysis, Vol. 35, Issue 6, pp. 491-516, 2014
Vance L. Martin , Andrew Tremayne and Robert Jung
University of Melbourne , University of Liverpool and University of Hohenheim - Institute of Economics
Date Posted: October 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Non‐Parametric Estimation of High‐Frequency Spot Volatility for Brownian Semimartingale with Jumps
Journal of Time Series Analysis, Vol. 35, Issue 6, pp. 572-591, 2014
Yue Fang , Chao Yu , Xujie Zhao and Bo Zhang
University of Oregon - Department of Decision Sciences , University of International Business and Economics (UIBE) , University of International Business and Economics (UIBE) and School of Business, Renmin University of China
Date Posted: October 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Norming Rates and Limit Theory for Some Time‐Varying Coefficient Autoregressions
Journal of Time Series Analysis, Vol. 35, Issue 6, pp. 592-623, 2014
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Date Posted: October 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Robust Fitting of INARCH Models
Journal of Time Series Analysis, Vol. 35, Issue 6, pp. 517-535, 2014
Hanan Elsaied and Roland Fried
Suez Canal University and University of Dortmund
Date Posted: October 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Time‐Series Models with an EGB2 Conditional Distribution
Journal of Time Series Analysis, Vol. 35, Issue 6, pp. 558-571, 2014
Michele Caivano and Andrew Harvey
Bank of Italy and University of Cambridge - Department of Applied Economics
Date Posted: October 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper A Fast Fractional Difference Algorithm
Journal of Time Series Analysis, Vol. 35, Issue 5, pp. 428-436, 2014
Andreas Noack Jensen and Morten Ørregaard Nielsen
University of Copenhagen and Queen's University (Canada) - Department of Economics
Date Posted: August 27, 2014
Accepted Paper Series

Incl. Fee Electronic Paper A Parameter‐Driven Logit Regression Model for Binary Time Series
Journal of Time Series Analysis, Vol. 35, Issue 5, pp. 462-477, 2014
Rongning Wu and Yunwei Cui
CUNY Baruch College and University of Houston - Downtown
Date Posted: August 27, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Efficient Non‐Parametric Estimation of the Spectral Density in the Presence of Missing Observations
Journal of Time Series Analysis, Vol. 35, Issue 5, pp. 407-427, 2014
Sam Efromovich
University of Texas at Dallas
Date Posted: August 27, 2014
Accepted Paper Series

Incl. Fee Electronic Paper IV‐Based Cointegration Testing in Dependent Panels with Time‐Varying Variance
Journal of Time Series Analysis, Vol. 35, Issue 5, pp. 393-406, 2014
Matei Demetrescu , Christoph Hanck and Adina I. Tarcolea
Goethe University Frankfurt - Faculty of Economics and Business Administration , University of Dortmund - Department of Statistics and Goethe University Frankfurt
Date Posted: August 27, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Semi‐Parametric Estimation of Linear Cointegrating Models with Nonlinear Contemporaneous Endogeneity
Journal of Time Series Analysis, Vol. 35, Issue 5, pp. 437-461, 2014
Yiguo Sun
University of Guelph
Date Posted: August 27, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Significant Variable Selection and Autoregressive Order Determination for Time‐Series Partially Linear Models
Journal of Time Series Analysis, Vol. 35, Issue 5, pp. 478-490, 2014
Degao Li , Guodong Li and Jinhong You
Shanghai University of Finance and Economics , The University of Hong Kong - Department of Statistics & Actuarial Science and Shanghai University of Finance and Economics
Date Posted: August 27, 2014
Accepted Paper Series

Incl. Fee Electronic Paper A Frequency Domain Approach for the Estimation of Parameters of Spatio‐Temporal Stationary Random Processes
Journal of Time Series Analysis, Vol. 35, Issue 4, pp. 357-377, 2014
Tata Subba Rao , Sourav Das and Georgi N. Boshnakov
University of Manchester - School of Mathematics , National University of Singapore (NUS) and University of Manchester
Date Posted: June 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper A Hybrid Bootstrap Approach to Unit Root Tests
Journal of Time Series Analysis, Vol. 35, Issue 4, pp. 299-321, 2014
Chenlei Leng and Chih-Ling Tsai
University of Warwick and University of California, Davis - Graduate School of Management
Date Posted: June 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Efficient Estimation for Periodic Autoregressive Coefficients Via Residuals
Journal of Time Series Analysis, Vol. 35, Issue 4, pp. 378-389, 2014
L. Tang and Q. Shao
University of Toledo - Department of Mathematics and University of Toledo
Date Posted: June 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Modelling for the Wavelet Coefficients of ARFIMA Processes
Journal of Time Series Analysis, Vol. 35, Issue 4, pp. 341-356, 2014
Kei Nanamiya
Hitotsubashi University
Date Posted: June 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Quantile Periodogram and Time‐Dependent Variance
Journal of Time Series Analysis, Vol. 35, Issue 4, pp. 322-340, 2014
Ta‐Hsin Li
IBM - T. J. Watson Research Center
Date Posted: June 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Estimation of Autocovariance Matrices for Infinite Dimensional Vector Linear Process
Journal of Time Series Analysis, Vol. 35, Issue 3, pp. 262-281, 2014
Monika Bhattacharjee and Arup Bose
Indian Statistical Institute, Kolkata - Statistics and Mathematics Unit and Indian Statistical Institute, Kolkata - Statistics and Mathematics Unit
Date Posted: April 16, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Unified Interval Estimation for Random Coefficient Autoregressive Models
Journal of Time Series Analysis, Vol. 35, Issue 3, pp. 282-297, 2014
Jonathan B. Hill and Liang Peng
University of North Carolina (UNC) at Chapel Hill – Department of Economics and Georgia Institute of Technology
Date Posted: April 16, 2014
Accepted Paper Series

Incl. Fee Electronic Paper On‐Line Monitoring of Pollution Concentrations with Autoregressive Moving Average Time Series
Journal of Time Series Analysis, Vol. 35, Issue 3, pp. 239-261, 2014
Christopher Dienes and Alexander Aue
University of California, Davis and University of California, Davis
Date Posted: April 16, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Portmanteau Autocorrelation Tests Under Q‐Dependence and Heteroskedasticity
Journal of Time Series Analysis, Vol. 35, Issue 3, pp. 203-217, 2014
David Harris and Hsein Kew
Department of Econometrics and Business Statistics, Monash University and Monash University - Department of Econometrics & Business Statistics
Date Posted: April 16, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean
Journal of Time Series Analysis, Vol. 35, Issue 3, pp. 218-238, 2014
Francisco Blasques
VU University Amsterdam
Date Posted: April 16, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Non‐Stationarity and Quasi‐Maximum Likelihood Estimation on a Double Autoregressive Model
Journal of Time Series Analysis, Vol. 35, Issue 3, pp. 189-202, 2014
Min Chen , Donghong Li and Shiqing Ling
Chinese Academy of Sciences (CAS) , Tsinghua University and Hong Kong University of Science & Technology
Date Posted: April 16, 2014
Accepted Paper Series

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
Dartmouth College
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 (UCV)
Date Posted: January 18, 2014
Accepted Paper Series


 

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