Edit Profile (opens in new tab) Granger, Clive William John Compute Distance To: Compute Author ID: granger.clive-william-john Published as: Granger, C. W. J.; Granger, Clive W. J.; Granger, Clive; Granger, Clive William John; Granger, C. W. more...less External Links: MGP · Wikidata · dblp · GND · IdRef Awards: Nobel Memorial Prize in Economic Sciences (2003) Documents Indexed: 81 Publications since 1963, including 8 Books 1 Contribution as Editor · 3 Further Contributions Biographic References: 7 Publications Co-Authors: 43 Co-Authors with 57 Joint Publications 457 Co-Co-Authors all top 5 Co-Authors 26 single-authored 6 Newbold, Paul 4 Engle, Robert Fry 4 Swanson, Norman Rasmus 4 Teräsvirta, Timo 3 Andersen, Allan Paul 3 Jeon, Yongil 3 Lin, Jin-Lung 3 Watson, Mark W. 3 White, Halbert Lynn jun. 2 Ding, Zhuanxin 2 Ghysels, Eric 2 Hylleberg, Svend 2 Lee, Tae-Hwy 2 Siklos, Pierre L. 2 Timmermann, Allan G. 1 Anderson, Oliver D. 1 Ashley, Richard A. 1 Ball, R. J. 1 Barari, M. 1 Barnard, George A. 1 Beale, Evelyn Martin Lansdowne 1 Blasing, T. J. 1 Bulmer, M. G. 1 Chambers, Paul E. 1 Chu, Yea-Jane 1 Deistler, Manfred 1 Denman, K. 1 Dittmann, Ingolf 1 Elliott, Graham 1 Emanuel, William R. 1 Ermini, Luigi 1 Francis, Neville 1 Giacomini, Raffaella 1 Gibbs, Tanton H. 1 Gowdy, C. M. 1 Hall, Stephen G. F. 1 Hallman, Jeff 1 Hendry, David F. 1 Hunter, Edward 1 Hyung, Namwon 1 Inoue, Tomoo 1 Jenkins, Gwilym Meirion 1 Joyeux, Roselyne 1 Kelley, J. C. 1 Kendall, Maurice George 1 King, Maxwell Leslie 1 Kirk, Bernadette L. 1 Lee, Hahn Shik 1 Liou, R. W. 1 Maasoumi, Esfandiar 1 Machina, Mark J. 1 Man, K. S. 1 Mao, Ching-Sheng 1 Morin, Norman 1 Mulholland, Robert J. 1 Neave, Henry R. 1 Nelson, Harold L. 1 Orr, Daniel 1 Overton, W. Scott 1 Patton, Andrew J. 1 Platt, Trevor 1 Poole, Robert W. 1 Reed, G. V. 1 Rust, Bert W. 1 Schmalensee, Richard 1 Seeley, R. G. 1 Shugart, H. H. jun. 1 Silvapulle, Paramsothy 1 Teeri, J. A. 1 Tiao, George C. 1 Tjøstheim, Dag B. 1 Tsay, Ruey S. 1 Uhlig, Harald F. 1 van der Vaart, H. Robert 1 Waung, W. Y.-Y. 1 Weiss, Andrew A. 1 West, D. C. 1 Whittle, Peter 1 Yau, Ruey 1 Yoo, Byung Sam 1 Zellner, Arnold all top 5 Serials 26 Journal of Econometrics 6 Journal of Time Series Analysis 5 Econometrica 3 Journal of the American Statistical Association 3 Macroeconomic Dynamics 2 Econometric Society Monographs 2 Advanced Texts in Econometrics 1 Metrika 1 Information and Control 1 International Economic Review 1 Journal of the Operational Research Society 1 Statistica Neerlandica 1 Ricerche Economiche 1 Econometric Reviews 1 Economics Letters 1 Journal of the Royal Statistical Society. Series B 1 Stochastic Processes and their Applications 1 Statistica Sinica 1 Studies in Nonlinear Dynamics and Econometrics 1 The Econometrics Journal 1 Journal of Applied Statistics 1 Econometric Theory 1 Quantitative Finance 1 Operational Research Quarterly 1 Angewandte Statistik und Ökonometrie 1 Journal of Time Series Econometrics 1 Revue de l’Institut International de Statistique 1 Handbooks in Economics all top 5 Fields 69 Statistics (62-XX) 31 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 6 History and biography (01-XX) 6 Probability theory and stochastic processes (60-XX) 2 General and overarching topics; collections (00-XX) 2 Operations research, mathematical programming (90-XX) 2 Systems theory; control (93-XX) 1 Numerical analysis (65-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 73 Publications have been cited 3,408 times in 2,705 Documents Cited by ▼ Year ▼ Co-integration and error correction: Representation, estimation, and testing. Zbl 0613.62140Engle, Robert F.; Granger, C. W. J. 671 1987 An introduction to long-memory time series models and fractional differencing. Zbl 0503.62079Granger, C. W. J.; Joyeux, Roselyne 468 1980 Investigating causal relations by econometric models and cross-spectral methods. Zbl 1366.91115Granger, C. W. J. 426 1969 Long memory relationships and the aggregation of dynamic models. Zbl 0466.62108Granger, C. W. J. 191 1980 Modelling nonlinear economic relationships. Zbl 0893.90030Granger, Clive W. J.; Teräsvirta, Timo 150 1993 Seasonal integration and cointegration. Zbl 0709.62102Hylleberg, S.; Engle, R. F.; Granger, C. W. J.; Yoo, B. S. 149 1990 Spurious regressions in econometrics. Zbl 0319.62072Granger, C. W. J.; Newbold, P. 123 1974 An introduction to bilinear time series models. Zbl 0379.62074Granger, Clive William John; Andersen, Allan Paul 117 1978 Modeling volatility persistence of speculative returns: a new approach. Zbl 1075.91626Ding, Zhuanxin; Granger, Clive W. J. 103 1996 Forecasting economic time series. 2nd ed. Zbl 0642.90001Granger, C. W. J.; Newbold, Paul 92 1986 Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests. Zbl 0766.62055Lee, Tae-Hwy; White, Halbert; Granger, Clive W. J. 73 1993 Varieties of long memory models. Zbl 0854.62100Granger, Clive W. J.; Ding, Zhuanxin 50 1996 Prediction with a generalized cost of error function. Zbl 0174.21901Granger, C. W. J. 48 1969 Modelling nonlinear economic time series. Zbl 1305.62010Teräsvirta, Timo; Tjøstheim, Dag; Granger, Clive W. J. 47 2010 Forecasting transformed series. Zbl 0344.62076Granger, C. W. J.; Newbold, P. 46 1976 On the invertibility of time series models. Zbl 0387.62076Granger, C. W. J.; Andersen, Allan 42 1978 An introduction to stochastic unit-root processes. Zbl 0885.62100Granger, Clive W. J.; Swanson, Norman R. 37 1997 A dependence metric for possibly nonlinear processes. Zbl 1062.62178Granger, C. W.; Maasoumi, E.; Racine, J. 37 2004 A simple nonlinear time series model with misleading linear properties. Zbl 0918.90044Granger, Clive W. J.; Teräsvirta, Timo 34 1999 On the synthesis of time series and econometric models. Zbl 0541.62106Granger, C. W. J. 34 1980 Nonlinear transformations of integrated time series. Zbl 0721.62088Granger, C. W. J.; Hallman, Jeff 33 1991 Seasonal cointegration. The Japanese consumption function (with discussion). Zbl 0761.62164Engle, R. F.; Granger, C. W. J.; Hylleberg, S.; Lee, H. S. 31 1993 Spectral analysis of economic time series. Zbl 0128.14701Granger, C. W. J. 27 1964 Properties of nonlinear transformations of fractionally integrated processes. Zbl 1043.62071Dittmann, Ingolf; Granger, Clive W. J. 26 2002 Using the mutual information coefficient to identify lags in nonlinear models. Zbl 0807.62067Granger, Clive; Lin, Jin-Lung 26 1994 Advertising and aggregate consumption: An analysis of causality. Zbl 0442.90012Ashley, R.; Granger, C. W. J.; Schmalensee, R. 23 1980 Modelling nonlinear relationships between extended-memory variables. Zbl 0826.90022Granger, C. W. J. 23 1995 “Infinite variance” and research strategy in time series analysis. Zbl 0237.62056Granger, Clive W. J.; Orr, Daniel 21 1972 Time series analysis of error-correction models. Zbl 0547.62060Granger, C. W. J.; Weiss, A. A. 18 1983 Comments on testing economic theories and the use of model selection criteria. Zbl 0925.62521Granger, Clive W. J.; King, Maxwell L.; White, Halbert 18 1995 Economic processes involving feedback. Zbl 0123.37502Granger, C. W. J. 17 1963 Impulse response functions based on a causal approach to residual orthogonalization in vector autoregressions. Zbl 0889.62076Swanson, Norman R.; Granger, Clive W. J. 15 1997 Aggregation of space-time processes. Zbl 1034.62092Giacomini, Raffaella; Granger, Clive W. J. 13 2004 Forecasting in business and economics. Zbl 0458.90003Granger, C. W. J. 12 1980 Non-linear models: where do we go next - time varying parameter models? Zbl 1193.91115Granger, Clive W. J. 11 2008 Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence. Zbl 0925.62520Granger, C. W. J.; Siklos, Pierre L. 10 1995 Non-linear time series modelling. Zbl 0465.62085Granger, C. W. J.; Andersen, A. 10 1978 Common factors in conditional distributions for bivariate time series. Zbl 1337.62263Granger, Clive W. J.; Teräsvirta, Timo; Patton, Andrew J. 10 2006 The past and future of empirical finance: some personal comments. Zbl 1334.62004Granger, Clive W. J. 9 2005 Some generalizations on the algebra of I(1) processes. Zbl 0772.62065Ermini, Luigi; Granger, Clive W. J. 8 1993 Nonlinear stochastic trends. Zbl 0944.62122Granger, Clive W. J.; Inoue, Tomoo; Morin, Norman 8 1997 Some thoughts on the development of cointegration. Zbl 1431.62617Granger, Clive W. J. 7 2010 Consideration of trends in time series. Zbl 1266.62071White, Halbert; Granger, Clive W. J. 6 2011 Experience with using the Box-Cox transformation when forecasting economic time series. Zbl 0399.62116Nelson, Harold L.; Granger, C. W. J. 6 1979 Generating mechanisms, models, and causality. Zbl 0533.62095Granger, C. W. J. 6 1982 Handbook of economic forecasting. Volume 1. Zbl 1273.91014 6 2006 Implications of seeing economic variables through an aggregation window. Zbl 0808.90041Granger, C. W. J. 5 1993 Essays in econometrics: collected papers of Clive W. J. Granger. Vol. I: Spectral analysis, seasonality, nonlinearity, methodology, and forecasting. Edited by Eric Ghysels, Norman R. Swanson and Mark W. Watson. Zbl 1051.01013Granger, Clive W. J. 5 2001 Large returns, conditional correlation and portfolio diversification: a value-at-risk approach. Zbl 1405.91573Silvapulle, P.; Granger, C. W. J. 5 2001 The effect of aggregation on nonlinearity. Zbl 1063.62605Granger, Clive W. J.; Lee, Tae-Hwy 4 1999 Overview of nonlinear macroeconometric empirical models. Zbl 1004.91063Granger, Clive W. J. 4 2001 A dialogue concerning a new instrument for econometric modeling. Zbl 1161.62453Granger, Clive W. J.; Hendry, David F. 4 2005 Applications of spectral analysis in econometrics. Zbl 0536.62096Granger, C. W. J.; Engle, Robert 4 1983 A quick test for serial correlation suitable for use with non-stationary time series. Zbl 0114.10704Granger, C. W. J. 4 1963 Models that generate trends. Zbl 0669.93070Granger, C. W. J. 3 1988 Regime-sensitive cointegration with an application to interest-rate parity. Zbl 0916.90051Siklos, Pierre L.; Granger, Clive W. J. 3 1997 Nearer-normality and some econometric models. Zbl 0413.62010Granger, C. W. J. 3 1979 Data mining with local model specification uncertainty: A discussion of Hoover and Perez. Zbl 0962.91529Granger, Clive; Timmermann, Allan 3 1999 Management of supply chain: an alternative modelling technique for forecasting. Zbl 1163.90362Datta, S.; Granger, C. W. J.; Barari, M.; Gibbs, T. 2 2007 Reasonable extreme-bounds analysis. Zbl 0693.62095Granger, Clive W. J.; Uhlig, Harald F. 2 1990 Extracting information from mega-panels and high-frequency data. Zbl 0924.62122Granger, C. W. J. 2 1998 A time series approach to econometric models of Taiwan’s economy. (With comments and rejoinder). Zbl 0916.62088Tiao, G. C.; Tsay, R. S.; Man, K. S.; Chu, Y. J.; Xu, K. K.; Chen, C.; Lin, J. L.; Hsu, C. M.; Lin, C. F.; Mao, C. S.; Ho, C. S.; Liou, R. W.; Yang, Y. F. 2 1998 Forecasting performance of information criteria with many macro series. Zbl 1121.62383Granger, Clive W. J.; Jeon, Yongil 2 2004 Dynamics of model overfitting measured in terms of autoregressive roots. Zbl 1126.62117Granger, Clive W. J.; Jeon, Yongil 2 2006 Introduction to m-m processes. Zbl 1337.62153Granger, Clive W. J.; Hyung, Namwon 2 2006 Useful conclusions from surprising results. Zbl 1443.62263Granger, Clive W. J. 2 2012 Positively related processes and cointegration. Zbl 0879.62080Granger, C. W. J. 1 1993 Essays in econometrics: collected papers of Clive W. J. Granger. Vol. II: Causality, integration and cointegration, and long memory. Edited by Eric Ghysels, Norman R. Swanson and Mark W. Watson. Zbl 1051.01014Granger, Clive W. J. 1 2001 Identification of two-way causal systems. Zbl 0385.62073Granger, C. W. J.; Newbold, P. 1 1977 Forecasting – looking back and forward: paper to celebrate the 50th anniversary of the Econometrics Institute at the Erasmus University, Rotterdam. Zbl 1420.01019Granger, Clive W. J. 1 2007 Macroeconometrics – past and future. (With comments). Zbl 1099.62550Granger, Clive W. J. 1 2001 The use of \(R^2\) to determine the appropriate transformation of regression variables. Zbl 0333.62043Granger, C. W. J.; Newbold, P. 1 1976 Tendency towards normality of linear combinations of random variables. Zbl 0346.62024Granger, C. W. J. 1 1976 Useful conclusions from surprising results. Zbl 1443.62263Granger, Clive W. J. 2 2012 Consideration of trends in time series. Zbl 1266.62071White, Halbert; Granger, Clive W. J. 6 2011 Modelling nonlinear economic time series. Zbl 1305.62010Teräsvirta, Timo; Tjøstheim, Dag; Granger, Clive W. J. 47 2010 Some thoughts on the development of cointegration. Zbl 1431.62617Granger, Clive W. J. 7 2010 Non-linear models: where do we go next - time varying parameter models? Zbl 1193.91115Granger, Clive W. J. 11 2008 Management of supply chain: an alternative modelling technique for forecasting. Zbl 1163.90362Datta, S.; Granger, C. W. J.; Barari, M.; Gibbs, T. 2 2007 Forecasting – looking back and forward: paper to celebrate the 50th anniversary of the Econometrics Institute at the Erasmus University, Rotterdam. Zbl 1420.01019Granger, Clive W. J. 1 2007 Common factors in conditional distributions for bivariate time series. Zbl 1337.62263Granger, Clive W. J.; Teräsvirta, Timo; Patton, Andrew J. 10 2006 Handbook of economic forecasting. Volume 1. Zbl 1273.91014 6 2006 Dynamics of model overfitting measured in terms of autoregressive roots. Zbl 1126.62117Granger, Clive W. J.; Jeon, Yongil 2 2006 Introduction to m-m processes. Zbl 1337.62153Granger, Clive W. J.; Hyung, Namwon 2 2006 The past and future of empirical finance: some personal comments. Zbl 1334.62004Granger, Clive W. J. 9 2005 A dialogue concerning a new instrument for econometric modeling. Zbl 1161.62453Granger, Clive W. J.; Hendry, David F. 4 2005 A dependence metric for possibly nonlinear processes. Zbl 1062.62178Granger, C. W.; Maasoumi, E.; Racine, J. 37 2004 Aggregation of space-time processes. Zbl 1034.62092Giacomini, Raffaella; Granger, Clive W. J. 13 2004 Forecasting performance of information criteria with many macro series. Zbl 1121.62383Granger, Clive W. J.; Jeon, Yongil 2 2004 Properties of nonlinear transformations of fractionally integrated processes. Zbl 1043.62071Dittmann, Ingolf; Granger, Clive W. J. 26 2002 Essays in econometrics: collected papers of Clive W. J. Granger. Vol. I: Spectral analysis, seasonality, nonlinearity, methodology, and forecasting. Edited by Eric Ghysels, Norman R. Swanson and Mark W. Watson. Zbl 1051.01013Granger, Clive W. J. 5 2001 Large returns, conditional correlation and portfolio diversification: a value-at-risk approach. Zbl 1405.91573Silvapulle, P.; Granger, C. W. J. 5 2001 Overview of nonlinear macroeconometric empirical models. Zbl 1004.91063Granger, Clive W. J. 4 2001 Essays in econometrics: collected papers of Clive W. J. Granger. Vol. II: Causality, integration and cointegration, and long memory. Edited by Eric Ghysels, Norman R. Swanson and Mark W. Watson. Zbl 1051.01014Granger, Clive W. J. 1 2001 Macroeconometrics – past and future. (With comments). Zbl 1099.62550Granger, Clive W. J. 1 2001 A simple nonlinear time series model with misleading linear properties. Zbl 0918.90044Granger, Clive W. J.; Teräsvirta, Timo 34 1999 The effect of aggregation on nonlinearity. Zbl 1063.62605Granger, Clive W. J.; Lee, Tae-Hwy 4 1999 Data mining with local model specification uncertainty: A discussion of Hoover and Perez. Zbl 0962.91529Granger, Clive; Timmermann, Allan 3 1999 Extracting information from mega-panels and high-frequency data. Zbl 0924.62122Granger, C. W. J. 2 1998 A time series approach to econometric models of Taiwan’s economy. (With comments and rejoinder). Zbl 0916.62088Tiao, G. C.; Tsay, R. S.; Man, K. S.; Chu, Y. J.; Xu, K. K.; Chen, C.; Lin, J. L.; Hsu, C. M.; Lin, C. F.; Mao, C. S.; Ho, C. S.; Liou, R. W.; Yang, Y. F. 2 1998 An introduction to stochastic unit-root processes. Zbl 0885.62100Granger, Clive W. J.; Swanson, Norman R. 37 1997 Impulse response functions based on a causal approach to residual orthogonalization in vector autoregressions. Zbl 0889.62076Swanson, Norman R.; Granger, Clive W. J. 15 1997 Nonlinear stochastic trends. Zbl 0944.62122Granger, Clive W. J.; Inoue, Tomoo; Morin, Norman 8 1997 Regime-sensitive cointegration with an application to interest-rate parity. Zbl 0916.90051Siklos, Pierre L.; Granger, Clive W. J. 3 1997 Modeling volatility persistence of speculative returns: a new approach. Zbl 1075.91626Ding, Zhuanxin; Granger, Clive W. J. 103 1996 Varieties of long memory models. Zbl 0854.62100Granger, Clive W. J.; Ding, Zhuanxin 50 1996 Modelling nonlinear relationships between extended-memory variables. Zbl 0826.90022Granger, C. W. J. 23 1995 Comments on testing economic theories and the use of model selection criteria. Zbl 0925.62521Granger, Clive W. J.; King, Maxwell L.; White, Halbert 18 1995 Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence. Zbl 0925.62520Granger, C. W. J.; Siklos, Pierre L. 10 1995 Using the mutual information coefficient to identify lags in nonlinear models. Zbl 0807.62067Granger, Clive; Lin, Jin-Lung 26 1994 Modelling nonlinear economic relationships. Zbl 0893.90030Granger, Clive W. J.; Teräsvirta, Timo 150 1993 Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests. Zbl 0766.62055Lee, Tae-Hwy; White, Halbert; Granger, Clive W. J. 73 1993 Seasonal cointegration. The Japanese consumption function (with discussion). Zbl 0761.62164Engle, R. F.; Granger, C. W. J.; Hylleberg, S.; Lee, H. S. 31 1993 Some generalizations on the algebra of I(1) processes. Zbl 0772.62065Ermini, Luigi; Granger, Clive W. J. 8 1993 Implications of seeing economic variables through an aggregation window. Zbl 0808.90041Granger, C. W. J. 5 1993 Positively related processes and cointegration. Zbl 0879.62080Granger, C. W. J. 1 1993 Nonlinear transformations of integrated time series. Zbl 0721.62088Granger, C. W. J.; Hallman, Jeff 33 1991 Seasonal integration and cointegration. Zbl 0709.62102Hylleberg, S.; Engle, R. F.; Granger, C. W. J.; Yoo, B. S. 149 1990 Reasonable extreme-bounds analysis. Zbl 0693.62095Granger, Clive W. J.; Uhlig, Harald F. 2 1990 Models that generate trends. Zbl 0669.93070Granger, C. W. J. 3 1988 Co-integration and error correction: Representation, estimation, and testing. Zbl 0613.62140Engle, Robert F.; Granger, C. W. J. 671 1987 Forecasting economic time series. 2nd ed. Zbl 0642.90001Granger, C. W. J.; Newbold, Paul 92 1986 Time series analysis of error-correction models. Zbl 0547.62060Granger, C. W. J.; Weiss, A. A. 18 1983 Applications of spectral analysis in econometrics. Zbl 0536.62096Granger, C. W. J.; Engle, Robert 4 1983 Generating mechanisms, models, and causality. Zbl 0533.62095Granger, C. W. J. 6 1982 An introduction to long-memory time series models and fractional differencing. Zbl 0503.62079Granger, C. W. J.; Joyeux, Roselyne 468 1980 Long memory relationships and the aggregation of dynamic models. Zbl 0466.62108Granger, C. W. J. 191 1980 On the synthesis of time series and econometric models. Zbl 0541.62106Granger, C. W. J. 34 1980 Advertising and aggregate consumption: An analysis of causality. Zbl 0442.90012Ashley, R.; Granger, C. W. J.; Schmalensee, R. 23 1980 Forecasting in business and economics. Zbl 0458.90003Granger, C. W. J. 12 1980 Experience with using the Box-Cox transformation when forecasting economic time series. Zbl 0399.62116Nelson, Harold L.; Granger, C. W. J. 6 1979 Nearer-normality and some econometric models. Zbl 0413.62010Granger, C. W. J. 3 1979 An introduction to bilinear time series models. Zbl 0379.62074Granger, Clive William John; Andersen, Allan Paul 117 1978 On the invertibility of time series models. Zbl 0387.62076Granger, C. W. J.; Andersen, Allan 42 1978 Non-linear time series modelling. Zbl 0465.62085Granger, C. W. J.; Andersen, A. 10 1978 Identification of two-way causal systems. Zbl 0385.62073Granger, C. W. J.; Newbold, P. 1 1977 Forecasting transformed series. Zbl 0344.62076Granger, C. W. J.; Newbold, P. 46 1976 The use of \(R^2\) to determine the appropriate transformation of regression variables. Zbl 0333.62043Granger, C. W. J.; Newbold, P. 1 1976 Tendency towards normality of linear combinations of random variables. Zbl 0346.62024Granger, C. W. J. 1 1976 Spurious regressions in econometrics. Zbl 0319.62072Granger, C. W. J.; Newbold, P. 123 1974 “Infinite variance” and research strategy in time series analysis. Zbl 0237.62056Granger, Clive W. J.; Orr, Daniel 21 1972 Investigating causal relations by econometric models and cross-spectral methods. Zbl 1366.91115Granger, C. W. J. 426 1969 Prediction with a generalized cost of error function. Zbl 0174.21901Granger, C. W. J. 48 1969 Spectral analysis of economic time series. Zbl 0128.14701Granger, C. W. J. 27 1964 Economic processes involving feedback. Zbl 0123.37502Granger, C. W. J. 17 1963 A quick test for serial correlation suitable for use with non-stationary time series. Zbl 0114.10704Granger, C. W. J. 4 1963 all cited Publications top 5 cited Publications all top 5 Cited by 3,410 Authors 24 Franses, Philip Hans 24 Phillips, Peter Charles Bonest 24 Surgailis, Donatas 23 Gil-Alana, Luis Alberiko 23 Granger, Clive William John 22 Taylor, A. M. Robert 20 Tjøstheim, Dag B. 19 Beran, Jan 17 Hassler, Uwe 17 Hendry, David F. 17 Kapetanios, George 14 Leipus, Remigijus 14 Teräsvirta, Timo 13 Nielsen, Morten Ørregaard 13 Petrović, Ljiljana 13 Taqqu, Murad S. 12 Giraitis, Liudas 12 Guégan, Dominique 12 Robinson, Peter Michael 12 Rodrigues, Paulo M. M. 11 del Barrio Castro, Tomas 11 Gourieroux, Christian 11 Lee, Tae-Hwy 11 Östermark, Ralf 11 Peiris, M. Shelton 10 Baillie, Richard T. 10 Boswijk, H. Peter 10 Chen, Cathy W. S. 10 Chiu, Mei Choi 10 Cook, Steven C. 10 Ghysels, Eric 10 Hidalgo, Javier 10 Lütkepohl, Helmut 10 Reisen, Valdério Anselmo 10 Saikkonen, Pentti 10 White, Halbert Lynn jun. 9 Dufour, Jean-Marie 9 Haldrup, Niels 9 Hualde, Javier 9 Johansen, Søren Glud 9 King, Maxwell Leslie 9 Leonenko, Nikolai N. 9 McAleer, Michael 9 Paruolo, Paolo 9 Shang, Pengjian 9 Shin, Dongwan 9 Shin, Yongcheol 9 Sibbertsen, Philipp 9 Swanson, Norman Rasmus 9 Valjarević, Dragana 9 Wang, Shouyang 9 Wong, Hoi Ying 9 Xiao, Zhijie 9 Zaffaroni, Paolo 8 Bibi, Abdelouahab 8 Caporale, Guglielmo Maria 8 Eichler, Michael 8 Gao, Jiti 8 Hong, Yongmiao 8 Koul, Hira Lal 8 Lieberman, Offer 8 Maasoumi, Esfandiar 8 Newbold, Paul 8 Osborn, Denise R. 8 Perron, Pierre 8 Pesaran, M. Hashem 8 Poskitt, Donald Stephen 8 Triacca, Umberto 8 Wang, Qiying 8 Wu, Wei Biao 7 Ahn, Sung Ki 7 Bisaglia, Luisa 7 Ghosh, Sucharita 7 Hallin, Marc 7 Horváth, Lajos 7 Inoue, Akihiko 7 Kokoszka, Piotr S. 7 Lu, Zudi 7 Palma, Wilfredo 7 Park, Joon Y. 7 Proietti, Tommaso 7 Psaradakis, Zacharias 7 Sabzikar, Farzad 7 Serletis, Apostolos 7 Sornette, Didier 7 Stanley, H. Eugene 7 Thavaneswaran, Aerambamoorthy 7 Trapani, Lorenzo 7 Tsai, Henghsiu 7 Velasco, Carlos I. Hoyos 7 Wang, Lihong 6 Blake, Andrew Peter 6 Bollerslev, Tim 6 Breitung, Jorg 6 Castle, Jennifer L. 6 Diongue, Abdou Kâ 6 Engle, Robert Fry 6 Faes, Luca 6 Franchi, Massimo 6 Jasiak, Joann ...and 3,310 more Authors all top 5 Cited in 291 Serials 453 Journal of Econometrics 182 Economics Letters 163 Journal of Time Series Analysis 106 Econometric Theory 92 Econometric Reviews 76 Journal of Economic Dynamics & Control 73 Computational Statistics and Data Analysis 70 Statistics & Probability Letters 66 Journal of Applied Statistics 60 Quantitative Finance 53 Journal of Statistical Planning and Inference 51 Communications in Statistics. Theory and Methods 46 Communications in Statistics. Simulation and Computation 41 Journal of Statistical Computation and Simulation 37 European Journal of Operational Research 32 The Annals of Statistics 31 Physica A 28 Mathematics and Computers in Simulation 25 Journal of Multivariate Analysis 24 Statistical Papers 22 The Econometrics Journal 19 Computational Statistics 18 Mathematical and Computer Modelling 18 Chaos 17 Biological Cybernetics 17 International Journal of Theoretical and Applied Finance 16 Stochastic Processes and their Applications 15 Computational Economics 13 Chaos, Solitons and Fractals 13 Open Economies Review 13 Electronic Journal of Statistics 13 Journal of Time Series Econometrics 12 Annals of the Institute of Statistical Mathematics 12 Automatica 12 Insurance Mathematics & Economics 12 Statistical Methods and Applications 11 Kybernetika 11 Neural Computation 11 Bernoulli 11 Macroeconomic Dynamics 10 Lithuanian Mathematical Journal 10 Statistical Science 10 Annals of Operations Research 10 Journal of Computational Neuroscience 10 Asia-Pacific Financial Markets 10 Annals of Finance 9 International Journal of Systems Science 9 Applied Mathematics and Computation 9 Journal of the American Statistical Association 9 Applied Stochastic Models in Business and Industry 8 Computers & Mathematics with Applications 8 International Journal of Control 8 Metrika 8 Stochastic Analysis and Applications 8 Nonlinear Dynamics 8 Studies in Nonlinear Dynamics and Econometrics 8 Philosophical Transactions of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 8 Communications in Nonlinear Science and Numerical Simulation 8 Journal of Statistical Theory and Practice 8 European Journal of Pure and Applied Mathematics 8 Statistics and Computing 7 Advances in Applied Probability 7 The Canadian Journal of Statistics 7 Physica D 7 Statistics 7 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering 7 Mathematical Problems in Engineering 7 Journal of Systems Science and Complexity 7 Entropy 7 Journal of Forecasting 7 Journal of the Korean Statistical Society 7 The Annals of Applied Statistics 6 Journal of Applied Probability 6 Fractals 6 Journal of Nonparametric Statistics 6 North American Actuarial Journal 5 Journal of Computational and Applied Mathematics 5 Probability Theory and Related Fields 5 International Journal of Approximate Reasoning 5 The Annals of Applied Probability 5 Lifetime Data Analysis 5 Journal of the Royal Statistical Society. Series B. Statistical Methodology 5 Discrete Dynamics in Nature and Society 5 Statistical Inference for Stochastic Processes 5 CEJOR. Central European Journal of Operations Research 5 AStA. Allgemeines Statistisches Archiv 5 Computational & Mathematical Methods in Medicine 5 Journal of the Italian Statistical Society 5 Science China. Mathematics 5 Japanese Journal of Statistics and Data Science 4 Journal of Mathematical Analysis and Applications 4 Scandinavian Journal of Statistics 4 Information Sciences 4 Sequential Analysis 4 Computers & Operations Research 4 Statistische Hefte 4 Test 4 Scandinavian Actuarial Journal 4 ASTIN Bulletin 4 Review of Derivatives Research ...and 191 more Serials all top 5 Cited in 38 Fields 2,105 Statistics (62-XX) 881 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 338 Probability theory and stochastic processes (60-XX) 258 Numerical analysis (65-XX) 90 Biology and other natural sciences (92-XX) 66 Operations research, mathematical programming (90-XX) 62 Systems theory; control (93-XX) 52 Dynamical systems and ergodic theory (37-XX) 48 Computer science (68-XX) 39 Information and communication theory, circuits (94-XX) 28 Geophysics (86-XX) 24 Harmonic analysis on Euclidean spaces (42-XX) 23 Statistical mechanics, structure of matter (82-XX) 17 Combinatorics (05-XX) 17 Ordinary differential equations (34-XX) 14 General and overarching topics; collections (00-XX) 14 Linear and multilinear algebra; matrix theory (15-XX) 13 History and biography (01-XX) 12 Real functions (26-XX) 9 Difference and functional equations (39-XX) 8 Measure and integration (28-XX) 7 Functional analysis (46-XX) 7 Operator theory (47-XX) 7 Calculus of variations and optimal control; optimization (49-XX) 5 Mathematical logic and foundations (03-XX) 5 Fluid mechanics (76-XX) 3 Special functions (33-XX) 2 Partial differential equations (35-XX) 2 Approximations and expansions (41-XX) 2 Mechanics of particles and systems (70-XX) 1 Category theory; homological algebra (18-XX) 1 Integral equations (45-XX) 1 General topology (54-XX) 1 Algebraic topology (55-XX) 1 Mechanics of deformable solids (74-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Quantum theory (81-XX) 1 Astronomy and astrophysics (85-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.