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Journal of Time Series Econometrics

Walter de Gruyter

Economics
AJG 2ABDC B
Abstract coverage—see Methodology
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PaperYearCitations
Frontmatter
Unknown
20260 citations
A Basic Step-by-Step Weighted X-11 Algorithm and the Cascade Filters
Verónica L. Beritich et al.
20260 citations
Revisiting the Revenue-Spending Nexus in the United States: A Time-Frequency Perspective
Yu Wang
20251 citations
Forecasting High-Dimensional Portfolios
Raffaele Mattera
20250 citations
Frontmatter
Unknown
20250 citations
The Unit-Root Revolution Revisited: Where Do Non-Standard Sampling Distributions and Related Conundrums Stem From?
Aris Spanos
20250 citations
Forecasting High-Dimensional Non-Normal Time Series Using Averaged Quantile Regression
Tae Yeon Kim et al.
20250 citations
Frontmatter
Unknown
20250 citations
Out-of-Sample Density Prediction of the End-of-Month Price of Crude Oil and the U.S. Economic Policy Uncertainty Index
Nima Nonejad
20250 citations
Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation
Yongdeng Xu
20242 citations
Recurrent Neural Network GO-GARCH Model for Portfolio Selection
Martin Burda & Adrian K. Schroeder
20241 citations
Forecasting the Risk of Cryptocurrencies: Comparison and Combination of GARCH and Stochastic Volatility Models
Jan Prüser
20241 citations
Commodity Price and Indonesian Fiscal Policy: An SVAR Analysis with Non-Gaussian Errors
Alfan Mansur
20240 citations
Frontmatter
Unknown
20240 citations
Frontmatter
Unknown
20240 citations
VS-LTGARCHX: A Flexible Variable Selection in Log-TGARCHX Models
Samir Orujov et al.
20240 citations
In-Fill Asymptotic Distribution of the Change Point Estimator when Estimating Breaks One at a Time
Toshikazu Tayanagi & Eiji Kurozumi
20231 citations
Temporally Local Maximum Likelihood with Application to SIS Model
Christian Gouriéroux & Joann Jasiak
20230 citations
Simple Factor Realized Stochastic Volatility Models
Hiroyuki Kawakatsu
20230 citations
Frontmatter
Unknown
20230 citations

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