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Wiley-Blackwell: Journal of Time Series Analysis
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Incl. Fee Electronic Paper A Spectral Domain Test for Stationarity of Spatio‐Temporal Data
Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 326-351, 2017
Soutir Bandyopadhyay, Carsten Jentsch and Suhasini Subba Rao
Lehigh University, University of Mannheim and Texas A&M University
Date Posted: February 08, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 225-242, 2017
Michael Eichler, Rainer Dahlhaus and Johannes Dueck
Maastricht University, University of Heidelberg and University of Heidelberg
Date Posted: February 08, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions
Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 204-224, 2017
Richard E. Chandler and Joao Jesus
University College London - Faculty of Mathematical and Physical Sciences (MAPS) - Department of Statistical Science and University College London
Date Posted: February 08, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting
Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 151-174, 2017
Alessandro Cardinali and Guy P. Nason
Plymouth University and University of Bristol
Date Posted: February 08, 2017
Accepted Paper Series

Incl. Fee Electronic Paper On the Frequency Variogram and on Frequency Domain Methods for the Analysis of Spatio‐Temporal Data
Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 308-325, 2017
Tata Subba Rao and Gyorgy Terdik
University of Manchester and University of Debrecen - Institute of Mathematics and Informatics
Date Posted: February 08, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Spectral Estimation of the Multivariate Impulse Response
Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 381-391, 2017
Granville Tunnicliffe-Wilson
Lancaster University - Mathematics and Statistics
Date Posted: February 08, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Volatility Modeling with a Generalized t Distribution
Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 175-190, 2017
Andrew Harvey and Rutger‐Jan Lange
University of Cambridge - Department of Applied Economics and Erasmus University Rotterdam (EUR)
Date Posted: February 08, 2017
Accepted Paper Series

Incl. Fee Electronic Paper A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula‐Based Tar Approach
Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 243-265, 2017
Shiu Fung Wong, Howell A. M. Tong, Tak-Kuen Siu and Zudi Lu
Macquarie University, London School of Economics & Political Science (LSE), Macquarie University, Faculty of Business and Economics and University of Southampton
Date Posted: February 08, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Adaptive Estimation in Multiple Time Series with Independent Component Errors
Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 191-203, 2017
Peter M. Robinson and L. Taylor
London School of Economics & Political Science (LSE) - Department of Economics and London School of Economics & Political Science (LSE) - London School of Economics
Date Posted: February 08, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Estimation for Dynamic and Static Panel Probit Models with Large Individual Effects
Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 266-284, 2017
Wei Gao, Wicher Bergsma and Qiwei Yao
Northeast Normal University, London School of Economics & Political Science (LSE) - Department of Statistics and London School of Economics & Political Science (LSE) - Department of Statistics
Date Posted: February 08, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Factor Modelling for High‐Dimensional Time Series: Inference and Model Selection
Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 285-307, 2017
Ngai Hang Chan, Ye Lu and Chun Yip Yau
The Chinese University of Hong Kong, City University of Hong Kong (CityUHK) - Faculty of Business and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Date Posted: February 08, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Some Properties of Local Gaussian Correlation and Other Nonlinear Dependence Measures
Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 352-380, 2017
Geir Drage Berentsen, Ricardo Cao, Mario Francisco‐Fernández and Dag Bjarne Tjostheim
University of Bergen, University of Coruña, University of La Coruña and University of Bergen
Date Posted: February 08, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Local Gaussian Autocorrelation and Tests for Serial Independence
Journal of Time Series Analysis, Vol. 38, Issue 1, pp. 51-71, 2017
Virginia Lacal and Dag Tjøstheim
University of Bergen and University of Bergen - Department of Mathematics
Date Posted: January 07, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Marginal Estimation of Parameter Driven Binomial Time Series Models
Journal of Time Series Analysis, Vol. 38, Issue 1, pp. 120-144, 2017
William T.M. Dunsmuir and Jieyi He
University of New South Wales and UNSW Australia - UNSW Australia
Date Posted: January 07, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Quantile Regression on Quantile Ranges – A Threshold Approach
Journal of Time Series Analysis, Vol. 38, Issue 1, pp. 99-119, 2017
Chung‐Ming Kuan, Christos Michalopoulos and Zhijie Xiao
National Taiwan University, Soochow University and Boston College - College of Arts and Sciences
Date Posted: January 07, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Residual Empirical Processes and Weighted Sums for Time‐Varying Processes with Applications to Testing for Homoscedasticity
Journal of Time Series Analysis, Vol. 38, Issue 1, pp. 72-98, 2017
Gabe Chandler and Wolfgang Polonik
Claremont Colleges - Pomona College and University of California
Date Posted: January 07, 2017
Accepted Paper Series

Incl. Fee Electronic Paper A Lagrange Multiplier‐Type Test for Idiosyncratic Unit Roots in the Exact Factor Model
Journal of Time Series Analysis, Vol. 38, Issue 1, pp. 22-50, 2017
Xingwu Zhou and Martin Solberger
Uppsala University and Uppsala University
Date Posted: January 07, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Functional Generalized Autoregressive Conditional Heteroskedasticity
Journal of Time Series Analysis, Vol. 38, Issue 1, pp. 3-21, 2017
Alexander Aue, Lajos Horváth and Daniel F. Pellatt
University of California, Davis, University of Utah and University of Utah
Date Posted: January 07, 2017
Accepted Paper Series

Incl. Fee Electronic Paper A Wavelet Characterization of Continuous‐Time Periodically Correlated Processes with Application to Simulation
Journal of Time Series Analysis, Vol. 37, Issue 6, pp. 741-762, 2016
Mitra Ghanbarzadeh and Mina Aminghafari
Amirkabir University of Technology and Amirkabir University of Technology
Date Posted: October 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Bayesian Deconvolution of Signals Observed on Arrays
Journal of Time Series Analysis, Vol. 37, Issue 6, pp. 837-850, 2016
Ming Lin, Eric A. Suess, Robert H. Shumway and Rong Chen
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), California State University, East Bay, University of California, Davis - Department of Statistics and Rutgers, The State University of New Jersey - Department of Statistics and Biostatistics
Date Posted: October 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Conditional and Marginal Mutual Information in Gaussian and Hyperbolic Decay Time Series
Journal of Time Series Analysis, Vol. 37, Issue 6, pp. 851-861, 2016
Gordon Chavez
New York University (NYU) - Courant Institute of Mathematical Sciences
Date Posted: October 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Exactly/Nearly Unbiased Estimation of Autocovariances of a Univariate Time Series with Unknown Mean
Journal of Time Series Analysis, Vol. 37, Issue 6, pp. 723-740, 2016
Timothy J. Vogelsang and Jingjing Yang
Michigan State University and University of Nevada, Reno
Date Posted: October 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Implementing Residual‐Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies
Journal of Time Series Analysis, Vol. 37, Issue 6, pp. 810-824, 2016
J. Isaac Miller and Xinghe Henry Wang
University of Missouri and University of Missouri at Columbia - Department of Economics
Date Posted: October 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Rate of Convergence for Empirical Quantiles and Distribution Functions for Time Series
Journal of Time Series Analysis, Vol. 37, Issue 6, pp. 825-836, 2016
Moritz Jirak
Humboldt University of Berlin - Department of Mathematics
Date Posted: October 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Testing for Change‐Points in Long‐Range Dependent Time Series by Means of a Self‐Normalized Wilcoxon Test
Journal of Time Series Analysis, Vol. 37, Issue 6, pp. 785-809, 2016
Annika Betken
Ruhr-University Bochum
Date Posted: October 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Tests Based on Simplicial Depth for AR(1) Models with Explosion
Journal of Time Series Analysis, Vol. 37, Issue 6, pp. 763-784, 2016
Christoph P. Kustosz, Anne Leucht and Christine H. Müller
Technical University of Dortmund, Technology University of Braunschweig - Department of Mathematics and Technical University of Dortmund
Date Posted: October 06, 2016
Accepted Paper Series

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 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


 

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