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Wiley-Blackwell: Journal of Time Series Analysis
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Incl. Fee Electronic Paper Generalized Variance‐Ratio Tests in the Presence of Statistical Dependence
Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 687-705, 2015
John C. Nankervis , Periklis Kougoulis and Jerry Coakley
University of Essex - Department of Accounting, Finance & Management , Abu Dhabi University - College of Business Administration and University of Essex - Essex Business School
Date Posted: July 28, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Bias Correction of Persistence Measures in Fractionally Integrated Models
Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 721-740, 2015
Simone D. Grose , Gael M. Martin and Donald S. Poskitt
Monash University , Monash University - Department of Econometrics & Business Statistics and Monash University
Date Posted: July 28, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Double Bootstrap Confidence Intervals in the Two‐Stage DEA Approach
Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 653-662, 2015
Dimitris K. Chronopoulos , Claudia Girardone and John C. Nankervis
University of St. Andrews - School of Management , University of Essex - Essex Business School and University of Essex - Department of Accounting, Finance & Management
Date Posted: July 28, 2015
Accepted Paper Series

Incl. Fee Electronic Paper On the Transmission of Memory in GARCH‐In‐Mean Models
Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 706-720, 2015
Christian Conrad and Menelaos Karanasos
University of Heidelberg - Faculty of Economics and Social Studies and Brunel University - Economics and Finance
Date Posted: July 28, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Papers with John
Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 663-671, 2015
N. Eugene Savin
University of Iowa - Henry B. Tippie College of Business - Department of Economics
Date Posted: July 28, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Papers with John on the Demand for Mail
Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 650-652, 2015
Frank Rodriguez , Soterios Soteri and Leticia Veruete‐McKay
Oxera Compelling Economics , Royal Mail Group Plc and Royal Mail Group Plc
Date Posted: July 28, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Structural Break Inference Using Information Criteria in Models Estimated by Two‐Stage Least Squares
Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 741-762, 2015
Alastair R. Hall , Denise R. Osborn and Nikolaos Sakkas
North Carolina State University - Department of Economics , University of Manchester - School of Social Sciences and University of Bath
Date Posted: July 28, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Testing for a Unit Root in a Near‐Integrated Model with Skip‐Sampled Data
Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 630-649, 2015
Marcus J. Chambers
University of Essex - Department of Economics
Date Posted: July 28, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Testing for Mild Explosivity and Bubbles in LME Non‐Ferrous Metals Prices
Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 763-782, 2015
Isabel Figuerola‐Ferretti , Christopher L. Gilbert and J. Roderick McCrorie
Comillas Pontifical University , VU University Amsterdam - Faculty of Economics and Business Administration and University of St. Andrews - School of Economics and Finance
Date Posted: July 28, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Testing for Predictability in Financial Returns Using Statistical Learning Procedures
Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 672-686, 2015
Imanol Arrieta‐ibarra and Ignacio N. Lobato
Stanford University and Instituto Tecnológico Autónomo de México (ITAM) - Centro de Investigacion Economica
Date Posted: July 28, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Testing for Unit Roots Under Multiple Possible Trend Breaks and Non‐Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics
Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 603-629, 2015
Giuseppe Cavaliere , David I. Harvey , Stephen J. Leybourne and A. M. Robert Taylor
University of Bologna - Faculty of Statistical Science , University of Nottingham - School of Economics , University of Nottingham and University of Essex
Date Posted: July 28, 2015
Accepted Paper Series

Incl. Fee Electronic Paper A Quantile‐Based Test for Symmetry of Weakly Dependent Processes
Journal of Time Series Analysis, Vol. 36, Issue 4, pp. 587-598, 2015
Zacharias Psaradakis and Marián Vávra
University of London - Economics, Mathematics and Statistics and National Bank of Slovakia
Date Posted: June 03, 2015
Accepted Paper Series

Incl. Fee Electronic Paper The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending
Journal of Time Series Analysis, Vol. 36, Issue 4, pp. 562-586, 2015
Marcus J. Chambers
University of Essex - Department of Economics
Date Posted: June 03, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Estimation in Functional Lagged Regression
Journal of Time Series Analysis, Vol. 36, Issue 4, pp. 541-561, 2015
Siegfried Hörmann , Łukasz Kidziński and Piotr Kokoszka
Université Libre de Bruxelles (ULB) - Department of Mathematics , Ecole Polytechnique Fédérale de Lausanne and Utah State University - Department of Mathematics & Statistics
Date Posted: June 03, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Infinitely Divisible Distributions in Integer‐Valued GARCH Models
Journal of Time Series Analysis, Vol. 36, Issue 4, pp. 503-527, 2015
E. Gonçalves , N. Mendes‐Lopes and F. Silva
Universidade de Coimbra - Department of Mathematics , Universidade de Coimbra - Department of Mathematics and Universidade de Coimbra - Department of Mathematics
Date Posted: June 03, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Small‐B and Fixed‐B Asymptotics for Weighted Covariance Estimation in Fractional Cointegration
Journal of Time Series Analysis, Vol. 36, Issue 4, pp. 528-540, 2015
Javier Hualde and Fabrizio Iacone
University of Navarra and University of York - Department of Economics and Related Studies
Date Posted: June 03, 2015
Accepted Paper Series

Incl. Fee Electronic Paper A Smooth Block Bootstrap for Statistical Functionals and Time Series
Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 442-461, 2015
Karl B. Gregory , Soumendra N. Lahiri and Daniel Nordman
Texas A&M University , Iowa State University - Department of Statistics and Iowa State University - Department of Statistics
Date Posted: April 24, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Block Bootstrap for Poisson‐Sampled Almost Periodic Processes
Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 327-351, 2015
Dominique Dehay and Anna E. Dudek
University of Rennes II and AGH University of Science and Technology
Date Posted: April 24, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes
Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 416-441, 2015
Carsten Jentsch , Dimitris N. Politis and Efstathios Paparoditis
University of Mannheim , University of California, San Diego (UCSD) - Department of Mathematics and University of Cyprus - Department of Mathematics and Statistics
Date Posted: April 24, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components
Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 272-289, 2015
Giuseppe Cavaliere , Anders Rahbek and A. M. Robert Taylor
University of Bologna - Faculty of Statistical Science , University of Copenhagen - Department of Statistics and Operations Research and University of Essex - Essex Business School
Date Posted: April 24, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation
Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 481-502, 2015
Antoine Alex Djogbenou , Sílvia Gonçalves and Benoit Perron
University of Montreal - Department of Economics , University of Montreal - Department of Economics and University of Montreal - Department of Economics
Date Posted: April 24, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Bootstrap Joint Prediction Regions
Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 352-376, 2015
Michael Wolf and Dan Wunderli
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Date Posted: April 24, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Bootstrap Sequential Tests to Determine the Order of Integration of Individual Units in a Time Series Panel
Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 398-415, 2015
Stephan Smeekes
Maastricht University - Department of Quantitative Economics
Date Posted: April 24, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Bootstrapping Robust Statistics for Markovian Data Applications to Regenerative R‐Statistics and L‐Statistics
Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 462-480, 2015
Patrice Bertail , Stéphan Clémençon and Jessica Tressou
University Paris-Ouest and CREST-Insee , Telecom ParisTech and INRA
Date Posted: April 24, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Dependent Wild Bootstrap for the Empirical Process
Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 290-314, 2015
Paul Doukhan , Gabriel Lang , Anne Leucht and Michael H. Neumann
University of Cergy-Pontoise - Geometry and Modeling , INRA-AgroParisTech - Department Mathematical Modeling , Technology University of Braunschweig - Department of Mathematics and University of Jena
Date Posted: April 24, 2015
Accepted Paper Series

Incl. Fee Electronic Paper On the Vector Autoregressive Sieve Bootstrap
Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 377-397, 2015
Marco Meyer and Jens‐Peter Kreiss
Technology University of Braunschweig - Department of Mathematics and Technology University of Braunschweig - Department of Mathematics
Date Posted: April 24, 2015
Accepted Paper Series

Incl. Fee Electronic Paper The Dependent Random Weighting
Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 315-326, 2015
Srijan Sengupta , Xiaofeng Shao and Yingchuan Wang
University of Illinois at Urbana-Champaign - Department of Statistics , University of Illinois at Urbana-Champaign - Department of Statistics and University of Michigan at Ann Arbor - Statistics and Management Science
Date Posted: April 24, 2015
Accepted Paper Series
1 downloads

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 (HKUST) - 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


 

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