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Wiley-Blackwell: Journal of Time Series Analysis
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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 Claudia 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
University TU Dortmund
Date Posted: February 22, 2013
Accepted Paper Series

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

Incl. Fee Electronic Paper Estimation of Vector Error Correction Models with Mixed‐Frequency Data
Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 194-205, 2013
Byeongchan Seong , Sung K. Ahn and Peter A. Zadrozny
Chung-Ang University , affiliation not provided to SSRN and U.S. Bureau of Labor Statistics - Department of Labor
Date Posted: February 22, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Forecasting with Prediction Intervals for Periodic Autoregressive Moving Average Models
Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 187-193, 2013
Paul L. Anderson , Mark M. Meerschaert and Kai Zhang
Albion College - Department of Mathematics , University of Otago - Department of Mathematics & Statistics and affiliation not provided to SSRN
Date Posted: February 22, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Integration of Carma Processes and Spot Volatility Modelling
Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 156-167, 2013
Peter Brockwell and Alexander Lindner
Colorado State University and affiliation not provided to SSRN
Date Posted: February 22, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Least Tail‐Trimmed Squares for Infinite Variance Autoregressions
Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 168-186, 2013
Jonathan B. Hill
affiliation not provided to SSRN
Date Posted: February 22, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short– and Long–Memory Processes
Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 141-155, 2013
Md Atikur Rahman Khan and D. S. Poskitt
affiliation not provided to SSRN and Monash University - Department of Econometrics & Business Statistics
Date Posted: February 22, 2013
Accepted Paper Series

Incl. Fee Electronic Paper On Composite Likelihood Estimation of a Multivariate INAR(1) Model
Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 206-220, 2013
Xanthi Pedeli and Dimitris Karlis
affiliation not provided to SSRN and Athens University of Economics and Business
Date Posted: February 22, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Weak Identification in the ESTAR Model and a New Model
Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 238-261, 2013
Florian Heinen , Stefanie Michael and Philipp Sibbertsen
affiliation not provided to SSRN , affiliation not provided to SSRN and University of Hannover
Date Posted: February 22, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Combining Non‐Cointegration Tests
Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 83-95, 2013
Christian Bayer and Christoph Hanck
University of Bonn and University of Dortmund - Department of Statistics
Date Posted: December 23, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Determining the Order of the Functional Autoregressive Model
Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 116-129, 2013
Piotr Kokoszka and Matthew Reimherr
Utah State University - Department of Mathematics & Statistics and affiliation not provided to SSRN
Date Posted: December 23, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Estimation for Non‐Negative Time Series with Heavy‐Tail Innovations
Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 96-115, 2013
A. Bartlett and W. P. McCormick
affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: December 23, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Convergence Rates in Non‐Parametric Regression with Fractional Time Series Errors
Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 30-39, 2013
Yuanhua Feng and Jan Beran
University of Paderborn and affiliation not provided to SSRN
Date Posted: December 23, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Rate of Convergence in the Central Limit Theorem for Parameter Estimation in a Causal, Invertible Arma(P, Q) Model
Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 130-137, 2013
Sugata Sen Roy and Sankha Bhattacharya
affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: December 23, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Recursive Adjustment, Unit Root Tests and Structural Breaks
Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 62-82, 2013
Paulo M.M. Rodrigues
Banco de Portugal
Date Posted: December 23, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Structural Breaks in Time Series
Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 1-16, 2013
Alexander Aue and Lajos Horváth
University of California, Davis and affiliation not provided to SSRN
Date Posted: December 23, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Testing for Parameter Constancy in Non‐Gaussian Time Series
Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 17-29, 2013
Lu Han and Brendan P.M. McCabe
University of Liverpool and University of Liverpool - Management School (ULMS)
Date Posted: December 23, 2012
Accepted Paper Series

Incl. Fee Electronic Paper The Power of Unit Root Tests Against Nonlinear Local Alternatives
Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 40-61, 2013
Matei Demetrescu and Robinson Kruse
Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Aarhus
Date Posted: December 23, 2012
Accepted Paper Series

Incl. Fee Electronic Paper A Family of Markov‐Switching GARCH Processes
Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 892-902, 2012
Ji-Chun Liu
affiliation not provided to SSRN
Date Posted: October 17, 2012
Accepted Paper Series

Incl. Fee Electronic Paper A Mixed INAR(p) Model
Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 903-915, 2012
Miroslav M. Ristić and Aleksandar S. Nastić
affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: October 17, 2012
Accepted Paper Series

Incl. Fee Electronic Paper First‐Order Integer Valued AR Processes with Zero Inflated Poisson Innovations
Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 954-963, 2012
Mansour Aghababaei Jazi , Geoff Jones and Chin‐Diew Lai
affiliation not provided to SSRN , Massey University - School of Accountancy and affiliation not provided to SSRN
Date Posted: October 17, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Non‐Stationary Autoregressive Processes with Infinite Variance
Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 916-934, 2012
Ngai Hang Chan and Rong‐Mao Zhang
affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: October 17, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Subsampling Inference for the Autocovariances and Autocorrelations of Long‐Memory Heavy‐Tailed Linear Time Series
Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 935-953, 2012
Tucker McElroy and Agnieszka Jach
U.S. Census Bureau - Center for Statistical Research and Methodology and affiliation not provided to SSRN
Date Posted: October 17, 2012
Accepted Paper Series

Incl. Fee Electronic Paper A Note on Moving‐Average Models with Feedback
Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 873-879, 2012
Dong Li
University of Iowa
Date Posted: October 17, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Chi‐Squared Portmanteau Tests for Structural VARMA Models with Uncorrelated Errors
Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 863-872, 2012
Naoya Katayama
affiliation not provided to SSRN
Date Posted: October 17, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Least Squares Estimation of ARCH Models with Missing Observations
Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 880-891, 2012
Pascal Bondon and Natalia Bahamonde
National Center for Scientific Research (CNRS) - STIC, Sciences et Technologies de l'information et de la Communication and affiliation not provided to SSRN
Date Posted: October 17, 2012
Accepted Paper Series

Incl. Fee Electronic Paper A State Space Model Approach for HIV Infection Dynamics
Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 841-849, 2012
Jiabin Wang , Hua Liang and Rong Chen
affiliation not provided to SSRN , affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: August 30, 2012
Accepted Paper Series

Incl. Fee Electronic Paper A Test for Independence between a Point Process and an Analogue Signal
Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 824-840, 2012
Victor Solo and Ahmed Pasha
University of Michigan at Ann Arbor - Department of Electrical Engineering and Computer Science and affiliation not provided to SSRN
Date Posted: August 30, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Autocovariance Structures for Radial Averages in Small‐Angle X‐Ray Scattering Experiments
Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 704-717, 2012
F. Jay Breidt , Andreea Erciulescu and Mark van der Woerd
affiliation not provided to SSRN , affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: August 30, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Biological Applications of Time Series Frequency Domain Clustering
Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 744-756, 2012
Konstantinos Fokianos and Vasilis J. Promponas
University of Cyprus - Department of Mathematics and Statistics and affiliation not provided to SSRN
Date Posted: August 30, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Changepoints in Times Series of Counts
Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 757-770, 2012
Jürgen Franke , Claudia Kirch and Joseph Tadjuidje Kamgaing
Universität Kaiserslautern - Fachbereich Mathematik , affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: August 30, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Enveloping Spectral Surfaces: Covariate Dependent Spectral Analysis of Categorical Time Series
Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 797-806, 2012
Robert T. Krafty , Shuangyan Xiong , David Stoffer , Daniel J. Buysse and Martica Hall
affiliation not provided to SSRN , affiliation not provided to SSRN , University of Pittsburgh - Department of Statistics , affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: August 30, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Exploring Dependence between Brain Signals in a Monkey During Learning
Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 771-778, 2012
Cristina Gorrostieta , Hernando Ombao , Raquel Prado , Shaun Patel and Emad Eskandar
affiliation not provided to SSRN , University of Illinois at Urbana-Champaign - Department of Statistics , Universidad Simon Bolivar , affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: August 30, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Modelling the Nonlinear Time Dynamics of Multidimensional Hormonal Systems
Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 779-796, 2012
Daniel Keenan , Xin Wang , Steven Pincus and Johannes D. Veldhuis
affiliation not provided to SSRN , affiliation not provided to SSRN , affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: August 30, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Quantifying the Uncertainty in Change Points
Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 807-823, 2012
Christopher F. H. Nam , John A.D. Aston and Adam M. Johansen
affiliation not provided to SSRN , University of Warwick and affiliation not provided to SSRN
Date Posted: August 30, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Spectral‐Based Non‐Central F Mixed Effect Models, with Application to Otoacoustic Emissions
Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 850-862, 2012
Lai Wei , Peter F. Craigmile and Wayne King
affiliation not provided to SSRN , Ohio State University - Department of Statistics and affiliation not provided to SSRN
Date Posted: August 30, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Statistical Challenges in Microrheology
Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 724-743, 2012
Gustavo Didier , Scott A. McKinley , David Hill and John Fricks
Tulane University , affiliation not provided to SSRN , University of North Carolina (UNC) at Chapel Hill and affiliation not provided to SSRN
Date Posted: August 30, 2012
Accepted Paper Series

Incl. Fee Electronic Paper The Nicholson Blowfly Experiments: Some History and EDA
Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 718-723, 2012
David R. Brillinger
affiliation not provided to SSRN
Date Posted: August 30, 2012
Accepted Paper Series

Incl. Fee Electronic Paper Maximum Likelihood Estimation for Nearly Non‐Stationary Stable Autoregressive Processes
Journal of Time Series Analysis, Vol. 33, Issue 4, pp. 542-553, 2012
Rong‐Mao Zhang and Ngai Hang Chan
affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: June 19, 2012
Accepted Paper Series

Incl. Fee Electronic Paper A New Bayesian Approach to Quantile Autoregressive Time Series Model Estimation and Forecasting
Journal of Time Series Analysis, Vol. 33, Issue 4, pp. 684-698, 2012
Yuzhi Cai , Julian Stander and Neville Davies
affiliation not provided to SSRN , affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: June 15, 2012
Accepted Paper Series


 

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