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Wiley-Blackwell: Journal of Time Series Analysis
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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 , 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
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 - 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 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


 

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