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Wiley-Blackwell: Journal of Time Series Analysis
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Incl. Fee Electronic Paper A Bayesian Non‐Parametric Dynamic Ar Model for Multiple Time Series Analysis
Journal of Time Series Analysis, Vol. 37, Issue 5, pp. 675-689, 2016
Luis E. Nieto‐Barajas and Fernando Quintana
Instituto Tecnológico Autónomo de México (ITAM) - Division of Actuarial Science, Statistics and Mathematics and Pontifical Catholic University of Chile - Institute of Economics
Date Posted: July 27, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Corrigendum to ‘Subsampling Inference for the Mean of Heavy‐Tailed Long‐Memory Time Series’ by a. Jach, T. S. Mcelroy and D. N. Politis
Journal of Time Series Analysis, Vol. 37, Issue 5, pp. 713-720, 2016
Agnieszka Jach, Tucker McElroy and Dimitris N. Politis
Hanken School of Economics, U.S. Census Bureau - Center for Statistical Research and Methodology and University of California, San Diego (UCSD) - Department of Mathematics
Date Posted: July 27, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Improved Tests for Forecast Comparisons in the Presence of Instabilities
Journal of Time Series Analysis, Vol. 37, Issue 5, pp. 650-659, 2016
Luis Filipe Martins and Pierre Perron
University Institute of Lisbon (IUL) - School of Business and Boston University - Department of Economics
Date Posted: July 27, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Local Information Theoretic Methods for Smooth Coefficients Dynamic Panel Data Models
Journal of Time Series Analysis, Vol. 37, Issue 5, pp. 690-708, 2016
Francesco Bravo
University of York - Department of Economics and Related Studies
Date Posted: July 27, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Tests for Linearity in Star Models: Supwald and Lm‐Type Tests
Journal of Time Series Analysis, Vol. 37, Issue 5, pp. 660-674, 2016
Rehim Kılıç
Government of the United States of America - Risk Analysis Division
Date Posted: July 27, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Bartlett Correction of Empirical Likelihood for Non‐Gaussian Short‐Memory Time Series
Journal of Time Series Analysis, Vol. 37, Issue 5, pp. 624-649, 2016
Kun Chen, Ngai Hang Chan and Chun Yip Yau
Southwestern University of Finance and Economics (SWUFE) - Statistical School and Center of Statistical Research, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Date Posted: July 27, 2016
Accepted Paper Series

Incl. Fee Electronic Paper On the Distribution Estimation of Power Threshold GARCH Processes
Journal of Time Series Analysis, Vol. 37, Issue 5, pp. 579-602, 2016
E. Gonçalves, Joana Leite Sr. and NazarÉ Mendes‐Lopes
Universidade de Coimbra - Department of Mathematics, Instituto Superior de Contabilidade e Administracao de Coimbra (ISCAC) and Universidade de Coimbra - Department of Mathematics
Date Posted: July 27, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Quantile Autoregression for Censored Data
Journal of Time Series Analysis, Vol. 37, Issue 5, pp. 603-623, 2016
Seokwoo Jake Choi and Stephen Portnoy
Michigan Technological University and University of Illinois at Urbana-Champaign - Department of Statistics
Date Posted: July 27, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Discriminant Analysis of Time Series in the Presence of Within‐Group Spectral Variability
Journal of Time Series Analysis, Vol. 37, Issue 4, pp. 435-450, 2016
Robert Krafty
Temple University - Department of Statisitcs
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Inference on a Structural Break in Trend with Fractionally Integrated Errors
Journal of Time Series Analysis, Vol. 37, Issue 4, pp. 555-574, 2016
Seong Yeon Chang and Pierre Perron
Xiamen University and Boston University - Department of Economics
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Multivariate Wavelet Whittle Estimation in Long‐Range Dependence
Journal of Time Series Analysis, Vol. 37, Issue 4, pp. 476-512, 2016
Sophie Achard and Irène Gannaz
Université Grenoble Alpes and Université de Lyon
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Parametric and Semi‐Parametric Efficient Tests for Parameter Instability
Journal of Time Series Analysis, Vol. 37, Issue 4, pp. 451-475, 2016
Dong Jin Lee
The Bank of Korea
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Powerful Unit Root Tests Free of Nuisance Parameters
Journal of Time Series Analysis, Vol. 37, Issue 4, pp. 533-554, 2016
Mehdi Hosseinkouchack and Uwe Hassler
Goethe University Frankfurt - Faculty of Economics and Business Administration and Goethe University Frankfurt - Faculty of Economics and Business Administration
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Statistical Inference for Unified GARCH–Itô Models with High‐Frequency Financial Data
Journal of Time Series Analysis, Vol. 37, Issue 4, pp. 513-532, 2016
Donggyu Kim
University of Wisconsin - Madison - Department of Statistics
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A New Test for Checking the Equality of the Correlation Structures of Two Time Series
Journal of Time Series Analysis, Vol. 37, Issue 3, pp. 355-368, 2016
Lei Jin and Suojin Wang
Texas A&M University and Texas A&M University - Department of Statistics
Date Posted: April 11, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series
Journal of Time Series Analysis, Vol. 37, Issue 3, pp. 315-336, 2016
Roberto Baragona, Francesco Battaglia and Domenico Cucina
University of Rome I, Universita La Sapienza - Dipartimento di Statistica, Probabilita e Statistiche Applicate and University of Rome I
Date Posted: April 11, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Filtering, Prediction and Simulation Methods for Noncausal Processes
Journal of Time Series Analysis, Vol. 37, Issue 3, pp. 405-430, 2016
Christian Gourieroux and Joann Jasiak
University of Toronto - Department of Economics and York University - Department of Economics
Date Posted: April 11, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Generalized Resampling Scheme with Application to Spectral Density Matrix in Almost Periodically Correlated Class of Time Series
Journal of Time Series Analysis, Vol. 37, Issue 3, pp. 369-404, 2016
Łukasz Lenart
Cracow University of Economics
Date Posted: April 11, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Poisson QMLE of Count Time Series Models
Journal of Time Series Analysis, Vol. 37, Issue 3, pp. 291-314, 2016
Ali Ahmad and Christian Francq
University of Lille III and University of Lille III
Date Posted: April 11, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Separation of Uncorrelated Stationary Time Series Using Autocovariance Matrices
Journal of Time Series Analysis, Vol. 37, Issue 3, pp. 337-354, 2016
Jari Miettinen, Katrin Illner, Klaus Nordhausen, Hannu Oja, Sara Taskinen and Fabian J. Theis
University of Jyväskylä, Helmholtz Center Munich, University of Turku, University of Turku, University of Jyväskylä and Technische Universität München (TUM)
Date Posted: April 11, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Note on the Behaviour of Nonparametric Density and Spectral Density Estimators at Zero Points of Their Support
Journal of Time Series Analysis, Vol. 37, Issue 2, pp. 182-194, 2016
Efstathios Paparoditis and Dimitris N. Politis
University of Cyprus - Department of Mathematics and Statistics and University of California, San Diego (UCSD) - Department of Mathematics
Date Posted: January 26, 2016
Accepted Paper Series

Incl. Fee Electronic Paper An Unbiased Measure of Integrated Volatility in the Frequency Domain
Journal of Time Series Analysis, Vol. 37, Issue 2, pp. 147-164, 2016
Fangfang Wang
University of Illinois at Chicago - College of Business Administration
Date Posted: January 26, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Bounds, Breaks and Unit Root Tests
Journal of Time Series Analysis, Vol. 37, Issue 2, pp. 165-181, 2016
Josep Lluís Carrion‐I‐Silvestre and María Dolores Gadea
University of Barcelona and University of Zaragoza
Date Posted: January 26, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Composite Quantile Periodogram for Spectral Analysis
Journal of Time Series Analysis, Vol. 37, Issue 2, pp. 195-221, 2016
Yaeji Lim and Hee‐Seok Oh
Samsung Medical Center - Biostatistics and Clinical Epidemiology Center and Seoul National University
Date Posted: January 26, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Inference for the Fourth‐Order Innovation Cumulant in Linear Time Series
Journal of Time Series Analysis, Vol. 37, Issue 2, pp. 240-266, 2016
Maria Fragkeskou and Efstathios Paparoditis
University of Cyprus and University of Cyprus - Department of Mathematics and Statistics
Date Posted: January 26, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Local Power of Fixed‐T Panel Unit Root Tests with Serially Correlated Errors and Incidental Trends
Journal of Time Series Analysis, Vol. 37, Issue 2, pp. 222-239, 2016
Yiannis Karavias and Elias Tzavalis
University of Nottingham and Athens University of Economics and Business - Department of Economics
Date Posted: January 26, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Random Environment Integer‐Valued Autoregressive Process
Journal of Time Series Analysis, Vol. 37, Issue 2, pp. 267-287, 2016
Aleksandar S. Nastić, Petra N. Laketa and Miroslav M. Ristić
University of Niš - Faculty of Sciences and Mathematics, University of Niš - Faculty of Sciences and Mathematics and University of Niš
Date Posted: January 26, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Nonparametric Model for Stationary Time Series
Journal of Time Series Analysis, Vol. 37, Issue 1, pp. 126-142, 2016
Isadora Antoniano‐Villalobos and Stephen G. Walker
Bocconi University and University of Texas at Austin
Date Posted: December 22, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Testing for a Unit Root in Noncausal Autoregressive Models
Journal of Time Series Analysis, Vol. 37, Issue 1, pp. 99-125, 2016
Pentti Saikkonen and Rickard Sandberg
University of Helsinki - Department of Statistics and Stockholm School of Economics - Stockholm Institute of Transition Economics (SITE)
Date Posted: December 22, 2015
Accepted Paper Series

Incl. Fee Electronic Paper A Goodness-of-Fit Test for Integer-Valued Autoregressive Processes
Journal of Time Series Analysis, Vol. 37, Issue 1, pp. 77-98, 2016
Sebastian Schweer
University of Heidelberg
Date Posted: December 22, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Conditional Distributions of Mandelbrot–Van Ness Fractional Lévy Processes and Continuous‐Time ARMA-GARCH‐Type Models with Long Memory
Journal of Time Series Analysis, Vol. 37, Issue 1, pp. 30-45, 2016
Holger Fink
Chair of Financial Econometrics, Institute of Statistics, Ludwig-Maximilians-Universität München
Date Posted: December 22, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
Journal of Time Series Analysis, Vol. 37, Issue 1, pp. 46-76, 2016
Mohamed El Ghourabi, Christian Francq and Fedya Telmoudi
University of Tunis, Larodec, University of Lille III and University of Tunis
Date Posted: December 22, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Testing for Stationarity in Multivariate Locally Stationary Processes
Journal of Time Series Analysis, Vol. 37, Issue 1, pp. 3-29, 2016
Ruprecht Puchstein and Philip Preuß
Ruhr-University Bochum and Ruhr-University Bochum
Date Posted: December 22, 2015
Accepted Paper Series

Incl. Fee Electronic Paper A Gini Autocovariance Function for Time Series Modelling
Journal of Time Series Analysis, Vol. 36, Issue 6, pp. 817-838, 2015
Marcel Carcea and Robert Serfling
Western New England University and University of Texas at Dallas
Date Posted: October 20, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Mixed‐Norm Spaces and Prediction of SαS Moving Averages
Journal of Time Series Analysis, Vol. 36, Issue 6, pp. 853-875, 2015
Raymond Cheng and Charles B. Harris
Old Dominion University - Department of Mathematics and Statistics and Old Dominion University - Department of Mathematics and Statistics
Date Posted: October 20, 2015
Accepted Paper Series

Incl. Fee Electronic Paper On Uniqueness of Moving Average Representations of Heavy‐Tailed Stationary Processes
Journal of Time Series Analysis, Vol. 36, Issue 6, pp. 876-887, 2015
Christian Gourieroux and Jean-Michel Zakoïan
University of Toronto - Department of Economics and Université de Lille III
Date Posted: October 20, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Simulation of Real Discrete Time Gaussian Multivariate Stationary Processes with Given Spectral Densities
Journal of Time Series Analysis, Vol. 36, Issue 6, pp. 783-796, 2015
M. Azimmohseni, A.R. Soltani and M. Khalafi
Golestan University - Department of Statistics, Shiraz University - Department of Statistics and Golestan University - Department of Statistics
Date Posted: October 20, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series
Journal of Time Series Analysis, Vol. 36, Issue 6, pp. 797-816, 2015
Eric Ghysels and J. Isaac Miller
University of North Carolina Kenan-Flagler Business School and University of Missouri
Date Posted: October 20, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Zero‐Modified Geometric INAR(1) Process for Modelling Count Time Series with Deflation or Inflation of Zeros
Journal of Time Series Analysis, Vol. 36, Issue 6, pp. 839-852, 2015
Wagner Barreto‐Souza
Federal University of Minas Gerais (UFMG) - Cioncias Economicas
Date Posted: October 20, 2015
Accepted Paper Series

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 London - 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

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


 

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