Econometric Reviews Short Title: Econom. Rev. Publisher: Taylor & Francis, Philadelphia, PA ISSN: 0747-4938; 1532-4168/e Online: http://www.tandfonline.com/loi/lecr20 Predecessor: Communications in Statistics. Econometric Reviews Documents Indexed: 912 Publications (since 1984) References Indexed: 882 Publications with 29,200 References. all top 5 Latest Issues 41, No. 6 (2022) 41, No. 5 (2022) 41, No. 4 (2022) 41, No. 3 (2022) 41, No. 2 (2022) 41, No. 1 (2022) 40, No. 10 (2021) 40, No. 9 (2021) 40, No. 8 (2021) 40, No. 7 (2021) 40, No. 6 (2021) 40, No. 5 (2021) 40, No. 4 (2021) 40, No. 3 (2021) 40, No. 2 (2021) 40, No. 1 (2021) 39, No. 10 (2020) 39, No. 9 (2020) 39, No. 8 (2020) 39, No. 7 (2020) 39, No. 6 (2020) 39, No. 5 (2020) 39, No. 4 (2020) 39, No. 3 (2020) 39, No. 2 (2020) 39, No. 1 (2020) 38, No. 10 (2019) 38, No. 9 (2019) 38, No. 8 (2019) 38, No. 7 (2019) 38, No. 6 (2019) 38, No. 5 (2019) 38, No. 4 (2019) 38, No. 3 (2019) 38, No. 2 (2019) 38, No. 1 (2019) 37, No. 10 (2018) 37, No. 9 (2018) 37, No. 8 (2018) 37, No. 7 (2018) 37, No. 6 (2018) 37, No. 5 (2018) 37, No. 4 (2018) 37, No. 3 (2018) 37, No. 2 (2018) 37, No. 1 (2018) 36, No. 10 (2017) 36, No. 6-9 (2017) 36, No. 5 (2017) 36, No. 4 (2017) 36, No. 1-3 (2017) 35, No. 8-10 (2016) 35, No. 7 (2016) 35, No. 6 (2016) 35, No. 5 (2016) 35, No. 4 (2016) 35, No. 3 (2016) 35, No. 2 (2016) 35, No. 1 (2016) 34, No. 6-10 (2015) 34, No. 5 (2015) 34, No. 4 (2015) 34, No. 3 (2015) 34, No. 1-2 (2015) 33, No. 8 (2014) 33, No. 7 (2014) 33, No. 5-6 (2014) 33, No. 1-4 (2014) 32, No. 8 (2013) 32, No. 7 (2013) 32, No. 5-6 (2013) 32, No. 4 (2013) 32, No. 3 (2013) 32, No. 2 (2013) 32, No. 1 (2013) 31, No. 6 (2012) 31, No. 5 (2012) 31, No. 4 (2012) 31, No. 3 (2012) 31, No. 2 (2012) 31, No. 1 (2012) 30, No. 6 (2011) 30, No. 5 (2011) 30, No. 4 (2011) 30, No. 3 (2011) 30, No. 2 (2011) 30, No. 1 (2011) 29, No. 5-6 (2010) 29, No. 4 (2010) 29, No. 3 (2010) 29, No. 2 (2010) 29, No. 1 (2010) 28, No. 6 (2009) 28, No. 5 (2009) 28, No. 4 (2009) 28, No. 1-3 (2009) 27, No. 4-6 (2008) 27, No. 1-3 (2008) 26, No. 6 (2007) 26, No. 5 (2007) ...and 69 more Volumes all top 5 Authors 23 Maasoumi, Esfandiar 18 McAleer, Michael 14 Baltagi, Badi H. 13 Ullah, Aman 11 Li, Qi 11 Phillips, Peter Charles Bonest 10 Pesaran, M. Hashem 10 Taylor, A. M. Robert 8 Cavaliere, Giuseppe 8 Gao, Jiti 8 Hall, Alastair R. 8 Hsiao, Cheng 7 Franses, Philip Hans 7 Westerlund, Joakim 6 Caner, Mehmet 6 Kao, Chihwa 6 Kumbhakar, Subal Chandra 6 Medeiros, Marcelo C. 6 Orme, Chris D. 6 Psaradakis, Zacharias 6 Racine, Jeffrey Scott 6 Soofi, Ehsan S. 6 Su, Liangjun 6 Teräsvirta, Timo 5 Asai, Manabu 5 Dagum, Estelle Bee 5 Davidson, Russell 5 Kilian, Lutz 5 Lee, Lung-Fei 5 Linton, Oliver Bruce 5 Perron, Pierre 5 White, Halbert Lynn jun. 5 Xiao, Zhijie 4 Ando, Tomohiro 4 Bierens, Herman J. 4 Breitung, Jorg 4 Cai, Zongwu 4 Dufour, Jean-Marie 4 Fan, Yanqin 4 Geweke, John F. 4 Godfrey, Leslie G. 4 Golan, Amos 4 Gospodinov, Nikolay 4 Kapetanios, George 4 King, Maxwell Leslie 4 Kurozumi, Eiji 4 Liu, Long 4 Lopes, Hedibert Freitas 4 Martins-Filho, Carlos 4 McElroy, Tucker S. 4 Palm, Franz C. 4 Proietti, Tommaso 4 Renault, Eric 4 Sickles, Robin C. 4 Simar, Léopold 4 Spanos, Aris 4 Tran, Kien C. 4 Tu, Yundong 4 Tzavalis, Elias 4 Urbain, Jean-Pierre 4 Wan, Alan T. K. 4 Wansbeek, Tom J. 3 Ai, Chunrong 3 Anatolyev, Stanislav 3 Bao, Yong 3 Bera, Anil K. 3 Blundell, Richard W. 3 Bun, Maurice J. G. 3 Caporin, Massimiliano 3 Chan, Joshua C. C. 3 Chang, Yoosoon 3 Chen, Yiting 3 Cribari-Neto, Francisco 3 Domínguez, Manuel A. 3 Fang, Ying 3 Fiebig, Denzil G. 3 Gourieroux, Christian 3 Guay, Alain 3 Harvey, David I. 3 Heckman, James Joseph 3 Hendry, David F. 3 Heshmati, Almas 3 Hsu, Yu-Chin 3 Hu, Yingyao 3 Inoue, Atsushi 3 Johansen, Søren Glud 3 Kiefer, Nicholas M. 3 Kock, Anders Bredahl 3 Koop, Gary 3 Koopman, Siem Jan 3 Lechner, Michael 3 Lee, Myoungjae 3 Lee, Tae-Hwy 3 Leybourne, Stephen J. 3 Lieberman, Offer 3 Lucas, André 3 Lütkepohl, Helmut 3 MacKinnon, James G. 3 Moon, Hyungsik Roger 3 Osborn, Denise R. ...and 1,083 more Authors all top 5 Fields 893 Statistics (62-XX) 188 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 119 Numerical analysis (65-XX) 28 Probability theory and stochastic processes (60-XX) 16 General and overarching topics; collections (00-XX) 9 Operations research, mathematical programming (90-XX) 6 Information and communication theory, circuits (94-XX) 5 Computer science (68-XX) 4 History and biography (01-XX) 3 Dynamical systems and ergodic theory (37-XX) 2 Special functions (33-XX) 2 Systems theory; control (93-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Functional analysis (46-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 411 Publications have been cited 3,980 times in 3,211 Documents Cited by ▼ Year ▼ Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Zbl 0850.62884Bollerslev, Tim; Wooldridge, Jeffrey M. 184 1992 Modelling the persistence of conditional variances. Zbl 0619.62105Engle, Robert F.; Bollerslev, Tim 144 1986 A test for independence based on the correlation dimension. Zbl 0893.62034Brock, W. A.; Dechert, W. D.; Scheinkman, J. A.; Le Baron, B. 122 1996 Automatic block-length selection for the dependent bootstrap. Zbl 1082.62076Politis, Dimitris N.; White, Halbert 113 2004 Modeling asset returns with alternative stable distributions. (With comments and reply). Zbl 0801.62096Mittnik, Stefan; Rachev, Svetlozar T. 85 1993 Using simulation methods for Bayesian econometric models: Inference, development, and communication. (With comments). Zbl 0930.62105Geweke, John 81 1999 Bayesian analysis of DSGE models. Zbl 1112.62015An, Sungbae; Schorfheide, Frank 77 2007 Forecasting and conditional projection using realistic prior distributions (with discussion). Zbl 0613.62142Doan, Thomas; Litterman, Robert; Sims, Christopher 75 1984 Smooth transition autoregressive models – a survey of recent developments. Zbl 1070.91047van Dijk, Dick; Teräsvirta, Timo; Franses, Philip Hans 68 2002 Multivariate stochastic volatility: a review. Zbl 1107.62108Asai, Manabu; McAleer, Michael; Yu, Jun 67 2006 On the asymptotics of ADF tests for unit roots. Zbl 1049.62096Chang, Yoosoon; Park, Joon Y. 65 2002 Bootstrap tests: How many bootstraps? Zbl 0949.62030Davidson, Russell; MacKinnon, James G. 56 2000 On Bartlett and Bartlett-type corrections. Zbl 0885.62021Cribari-Neto, Francisco; Cordeiro, Gauss M. 52 1996 Unit root tests under time-varying variances. Zbl 1133.62350Cavaliere, Giuseppe 52 2004 Correction to “automatic block-length selection for the dependent bootstrap” by D. Politis and H. White. Zbl 1400.62193Patton, Andrew; Politis, Dimitris N.; White, Halbert 49 2009 Nonparametric testing of closeness between two unknown distribution functions. Zbl 0893.62038Li, Qi 49 1996 Best spatial two-stage least squares estimators for a spatial autoregressive model with autoregressive disturbances. Zbl 1030.62069Lee, Lung-fei 48 2003 Continuous time Wishart process for stochastic risk. Zbl 1105.62104Gourieroux, C. 45 2006 Recent developments in bootstrapping time series (with comment). Zbl 0949.62022Berkowitz, Jeremy; Kilian, Lutz 45 2000 Realized volatility: a review. Zbl 1148.62089McAleer, Michael; Medeiros, Marcelo C. 45 2008 MIDAS regressions: further results and new directions. Zbl 1108.62092Ghysels, Eric; Sinko, Arthur; Valkanov, Rossen 40 2007 Bootstrapping time series models. (With discussion). Zbl 0855.62074Li, Hongyi; Maddala, G. S. 40 1996 A compendium to information theory in economics and econometrics. Zbl 0769.62003Maasoumi, Esfandiar 38 1993 The volatility of realized volatility. Zbl 1359.91032Corsi, Fulvio; Mittnik, Stefan; Pigorsch, Christian; Pigorsch, Uta 37 2008 Artificial neural networks: An econometric perspective. (With comments). Zbl 0832.62101Kuan, Chung-Ming; White, Halbert 36 1994 Empirical characteristic function estimation and its applications. Zbl 1123.62030Yu, Jun 35 2004 The generalized fluctuation test: A unifying view. Zbl 0832.62085Kuan, Chung-Ming; Hornik, Kurt 32 1995 Estimation and testing for unit root processes with GARCH(1,1) errors: theory and Monte Carlo evidence. Zbl 1106.62346Ling, Shiqing; Li, W. K.; McAleer, Michael 31 2003 Basic structure of the asymptotic theory in dynamic nonlinear econometric models. I: Consistency and approximation concepts. Zbl 0737.62096Pötscher, Benedikt M.; Prucha, Ingmar R. 30 1991 Asymptotic and bootstrap inference for AR(\(\infty\)) processes with conditional heteroskedasticity. Zbl 1126.62079Gonçalves, Sílvia; Kilian, Lutz 29 2007 In-sample or out-of-sample tests of predictability: which one should we use? Zbl 1062.62213Inoue, Atsushi; Kilian, Lutz 27 2004 Making Wald tests work for cointegrated VAR systems. Zbl 0893.62085Dolado, Juan J.; Lütkepohl, Helmut 26 1996 Factor multivariate stochastic volatility via Wishart processes. Zbl 1113.62131Philipov, Alexander; Glickman, Mark E. 25 2006 Multivariate stochastic volatility models: Bayesian estimation and model comparison. Zbl 1113.62133Yu, Jun; Meyer, Renate 25 2006 Bootstrap methods for heteroskedastic regression models: Evidence on estimation and testing. Zbl 0928.62049Cribari-Neto, Francisco; Zarkos, Spyros G. 25 1999 The role of the constant and linear terms in cointegration analysis of nonstationary variables. Zbl 0829.62086Johansen, Søren 24 1994 Generalized integer-valued autoregression. Zbl 1077.62530Brännäs, Kurt; Hellström, Jörgen 24 2001 Tests of specification in econometrics (with discussion). Zbl 0604.62115Ruud, Paul A. 23 1984 GMM estimation with persistent panel data: An application to production functions. Zbl 0953.62123Blundell, Richard; Bond, Stephen 23 2000 A consistent method for the selection of relevant instruments. Zbl 1181.62192Hall, Alastair R.; Peixe, Fernanda P. M. 22 2003 On testing equality of distributions of technical efficiency scores. Zbl 1106.62126Simar, Léopold; Zelenyuk, Valentin 21 2006 Asymmetric multivariate stochastic volatility. Zbl 1112.62116Asai, Manabu; McAleer, Michael 20 2006 Testing the martingale difference hypothesis. Zbl 1030.62066Domínguez, Manuel A.; Lobato, Ignacio N. 20 2003 How can we define the concept of long memory? An econometric survey. Zbl 1115.62346Guégan, Dominique 19 2005 Optimal portfolio diversification using the maximum entropy principle. Zbl 1482.91192Bera, Anil K.; Park, Sung Y. 19 2008 State space modeling of multiple time series. Zbl 0733.62098Aoki, Masanao; Havenner, Arthur 19 1991 Sampling returns for realized variance calculations: tick time or transaction time? Zbl 1359.62514Griffin, Jim E.; Oomen, Roel C. A. 19 2008 Finite sample evidence suggesting a heavy tail problem of the generalized empirical likelihood estimator. Zbl 1140.62025Guggenberger, Patrik 18 2008 Nonstationary panel data analysis: An overview of some recent developments. Zbl 0953.62126Phillips, Peter C. B.; Moon, Hyungsik R. 18 2000 A review of systems cointegration tests. Zbl 1044.62120Hubrich, Kirstin; Lütkepohl, Helmut; Saikkonen, Pentti 18 2001 Bootstrap \(M\) unit root tests. Zbl 1168.62080Cavaliere, Giuseppe; Taylor, A. M. Robert 17 2009 Structure and asymptotic theory for multivariate asymmetric conditional volatility. Zbl 1168.62083McAleer, Michael; Hoti, Suhejla; Chan, Felix 17 2009 Estimating partially linear panel data models with one-way error components. Zbl 0915.62095Li, Qi; Ullah, Aman 17 1998 An efficient algorithm to compute maximum entropy densities. Zbl 0932.62006Ormoneit, Dirk; White, Halbert 17 1999 Moving average-based estimators of integrated variance. Zbl 1148.62088Hansen, Peter R.; Large, Jeremy; Lunde, Asger 17 2008 Confidence intervals for impulse responses under departures from normality. Zbl 0893.62040Kilian, Lutz 16 1998 A residual-based test of the null of cointegration in panel data. Zbl 0896.62131McCoskey, Suzanne; Kao, Chihwa 16 1998 Classical and Bayesian analysis of univariate and multivariate stochastic volatility models. Zbl 1113.62130Liesenfeld, Roman; Richard, Jean-François 16 2006 Vector autoregression and causality: A theoretical overview and simulation study. Zbl 0829.62087Toda, Hiro Y.; Philips, Peter C. B. 16 1994 An introduction to hypergeometric functions for economists. Zbl 1073.91526Abadir, Karim M. 16 1999 Is adaptive estimation useful for panel models with heteroskedasticity in the individual specific error component? Some Monte Carlo evidence.. Zbl 1034.62059Roy, Nilanjana 16 2002 Detecting parameter shift in GARCH models. Zbl 0832.62099Chu, Chia-Shang James 15 1995 Locally optimal one-sided tests for multiparameter hypotheses. Zbl 0891.62011King, Maxwell L.; Wu, Ping X. 15 1997 Using high-frequency data in dynamic portfolio choice. Zbl 1359.91030Bandi, Federico M.; Russell, Jeffrey R.; Zhu, Yinghua 15 2008 Inferences from cross-sectional, stochastic frontier models. Zbl 1180.62194Simar, Léopold; Wilson, Paul W. 14 2010 Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling. Zbl 1205.91138Gengenbach, Christian; Palm, Franz C.; Urbain, Jean-Pierre 14 2010 A unified approach to structural change tests based on ML scores, \(F\) statistics, and OLS residuals. Zbl 1080.62012Zeileis, Achim 14 2005 The performance of panel unit root and stationarity tests: results from a large scale simulation study. Zbl 1225.62118Hlouskova, Jaroslava; Wagner, Martin 13 2006 Bootstrapping a consistent nonparametric goodness-of-fit test. Zbl 0832.62038Fan, Yanqin 13 1995 Double length artificial regressions for testing spatial dependence. Zbl 1018.62049Baltagi, Badi H.; Li, Dong 13 2001 Estimation of long-run inefficiency levels: a dynamic frontier approach. Zbl 1179.62160Ahn, Seung C.; Good, David H.; Sickles, Robin C. 13 2000 Reliable inference for GMM estimators? Finite sample properties of alternative test procedures in linear panel data models. Zbl 1061.62023Bond, Stephen; Windmeijer, Frank 13 2005 Predicting the daily covariance matrix for S&P 100 stocks using intraday data-but which frequency to use? Zbl 1359.62522de Pooter, Michiel; Martens, Martin; van Dijk, Dick 13 2008 Dynamic asymmetric leverage in stochastic volatility models. Zbl 1075.62092Asai, Manabu; McAleer, Michael 13 2005 Adaptive estimation of non-linear regression models (with discussion). Zbl 0607.62034Manski, Charles F. 12 1984 A class of improved parametrically guided nonparametric regression estimators. Zbl 1140.62034Martins-Filho, Carlos; Mishra, Santosh; Ullah, Aman 12 2008 Bayesian clustering of many GARCH models. Zbl 1112.62016Bauwens, L.; Rombouts, J. V. K. 12 2007 An introduction to econometric applications of empirical process theory for dependent random variables. Zbl 0802.62099Andrews, Donald W. K. 12 1993 Problems related to confidence intervals for impulse responses of autoregressive processes. Zbl 0962.62080Benkwitz, Alexander; Lütkepohl, Helmut; Neumann, Michael H. 12 2000 The exact risk performance of a pre-test estimator in a heteroskedastic linear regression model under the balanced loss function. Zbl 0891.62045Ohtani, Kazuhiro; Giles, David E. A.; Giles, Judith A. 12 1997 Testing, estimation in GMM and CUE with nearly-weak identification. Zbl 1187.62040Caner, Mehmet 12 2010 Long-run structural modelling. Zbl 1104.91061Pesaran, M. Hashem; Shin, Yongcheol 12 2002 Multivariate stochastic volatility models with correlated errors. Zbl 1113.62127Chan, David; Kohn, Robert; Kirby, Chris 11 2006 Testing the significance of categorical predictor variables in nonparametric regression models. Zbl 1106.62046Racine, Jeffery S.; Hart, Jeffrey; Li, Qi 11 2006 Normalization in econometrics. Zbl 1112.62135Hamilton, James D.; Waggoner, Daniel F.; Zha, Tao 11 2007 Forecasting performance of an open economy DSGE model. Zbl 1112.62133Adolfson, Malin; Lindé, Jesper; Villani, Mattias 11 2007 Nuisance parameter free properties of correlation integral based statistics. Zbl 0905.62118de Lima, Pedro J. F. 11 1996 A Monte Carlo comparison of various asymptotic approximations to the distribution of instrumental variables estimators. Zbl 1034.62007Hahn, Jinyong; Inoue, Atsushi 11 2002 Unit root tests with infinite variance errors. Zbl 1044.62090Ahn, Sung K.; Fotopoulos, Stergios B.; He, Lijian 11 2001 Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration. Zbl 1080.62059Nielsen, Morten Ørregaard; Frederiksen, Per Houmann 11 2005 Bayes estimate and inference for entropy and information index of fit. Zbl 1482.62026Mazzuchi, Thomas A.; Soofi, Ehsan S.; Soyer, Refik 10 2008 A separability result for GMM estimation, with applications to GLS prediction and conditional moment tests. Zbl 0832.62046Ahn, Seung C.; Schmidt, Peter 10 1995 A test for the presence of conditional heteroskedasticity within ARCH-M framework. Zbl 0836.62068Bera, Anil K.; Ra, Sungsup 10 1995 A generalized dynamic conditional correlation model: Simulation and application to many assets. Zbl 1172.62036Hafner, Christian M.; Franses, Philip Hans 10 2009 Regularity of the generalized quadratic production model: a counterexample. Zbl 1106.91341Barnett, William A.; Pasupathy, Meenakshi 10 2003 A consistent model specification test based on the kernel sum of squares of residuals. Zbl 1033.62038Fan, Yanqin; Li, Qi 10 2002 Fast double bootstrap tests of nonnested linear regression models. Zbl 1049.62074Davidson, Russell; MacKinnon, James G. 10 2002 Evaluating direct multistep forecasts. Zbl 1080.62049Clark, Todd E.; McCracken, Michael W. 10 2005 The size and power of bootstrap and Bartlett-corrected tests of hypotheses on the cointegrating vectors. Zbl 1087.62099Omtzigt, Pieter; Fachin, Stefano 9 2006 Benefits and limitations of panel data (with discussion). Zbl 0616.62148Hsiao, Cheng 9 1985 The continuous limit of weak GARCH. Zbl 07484565Alexander, Carol; Lazar, Emese 1 2021 Common factors and spatial dependence: an application to US house prices. 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Zbl 07534625Amsler, Christine; Prokhorov, Artem; Schmidt, Peter 2 2014 A goodness-of-fit test for copulas. Zbl 07534634Huang, Wanling; Prokhorov, Artem 1 2014 On two-step estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors. Zbl 07534771Drukker, David M.; Egger, Peter; Prucha, Ingmar R. 2 2013 Two-stage least squares estimation of spatial autoregressive models with endogenous regressors and many instruments. Zbl 07534772Liu, Xiaodong; Lee, Lung-Fei 2 2013 An intersection test for panel unit roots. Zbl 07534734Hanck, Christoph 1 2013 Long memory regressors and predictive testing: a two-stage rebalancing approach. Zbl 07534739Maynard, Alex; Smallwood, Aaron; Wohar, Mark E. 1 2013 State space models and MIDAS regressions. Zbl 07534761Bai, Jennie; Ghysels, Eric; Wright, Jonathan H. 1 2013 Estimation in single-index panel data models with heterogeneous link functions. 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Mahinda; Knight, Keith 7 2009 Econometric applications of the forward search in regression: robustness, diagnostics, and graphics. Zbl 1161.62446Atkinson, Anthony C. 6 2009 A robust entropy-based test of asymmetry for discrete and continuous processes. Zbl 1156.62054Maasoumi, Esfandiar; Racine, Jeffrey S. 6 2009 Regular variation and extremal dependence of GARCH residuals with application to market risk measures. Zbl 1161.62072Laurini, Fabrizio; Tawn, Jonathan A. 5 2009 ...and 311 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 3,934 Authors 42 McAleer, Michael 35 Taylor, A. M. Robert 30 Cavaliere, Giuseppe 26 Cribari-Neto, Francisco 22 Politis, Dimitris Nicolas 20 Rachev, Svetlozar T. 18 Pesaran, M. Hashem 18 Phillips, Peter Charles Bonest 18 Shin, Dongwan 17 Westerlund, Joakim 17 White, Halbert Lynn jun. 15 Asai, Manabu 15 Cordeiro, Gauss Moutinho 14 Baltagi, Badi H. 14 Demetrescu, Matei 14 Ferrari, Silvia Lopes de Paula 14 Gourieroux, Christian 14 Lee, Lung-Fei 14 Mittnik, Stefan 14 Tsionas, Efthymios G. 13 Bollerslev, Tim 13 Ghysels, Eric 13 Lütkepohl, Helmut 13 Maasoumi, Esfandiar 12 Kumbhakar, Subal Chandra 12 Sentana, Enrique 12 Ullah, Aman 11 Dufour, Jean-Marie 11 Franses, Philip Hans 11 Hall, Alastair R. 11 Horváth, Lajos 11 Kapetanios, George 11 Kerstens, Kristiaan 11 Kozubowski, Tomasz J. 11 Linton, Oliver Bruce 11 Rahbek, Anders 11 Saikkonen, Pentti 10 Barnett, William A. 10 del Barrio Castro, Tomas 10 Hafner, Christian Matthias 10 Medeiros, Marcelo C. 10 Park, Joon Y. 10 Rodrigues, Paulo M. M. 10 Serletis, Apostolos 9 Chang, Yoosoon 9 Escanciano, Juan Carlos 9 Forsyth, Peter A. 9 Godfrey, Leslie G. 9 Gupta, Rangan 9 Harvey, David I. 9 Koop, Gary 9 Lahiri, Soumendra Nath 9 Leybourne, Stephen J. 9 Li, Qi 9 Martin, Gael M. 9 Meintanis, Simos G. 9 Panorska, Anna K. 9 Renault, Eric 9 So, Mike K. P. 9 Tzavalis, Elias 9 van de Woestyne, Ignace 8 Abadir, Karim M. 8 Bera, Anil K. 8 Breitung, Jorg 8 Fiorentini, Gabriele 8 Georgiev, Iliyan 8 Hassler, Uwe 8 Hong, Yongmiao 8 Inoue, Atsushi 8 King, Maxwell Leslie 8 Kokoszka, Piotr S. 8 Lee, Sangyeol 8 Nordman, Daniel J. 8 Palm, Franz C. 8 Prucha, Ingmar R. 8 Rombouts, Jeroen V. K. 8 Shukur, Ghazi 8 Smeekes, Stephan 8 Su, Liangjun 8 Wang, Lihong 8 Xiao, Zhijie 8 Zeileis, Achim 7 Baillie, Richard T. 7 Bekiros, Stelios D. 7 Boswijk, H. Peter 7 Bravo, Francesco 7 Clark, Todd E. 7 Corradi, Valentina 7 Escobar, Marcos 7 Gonçalves, Sílvia 7 Gospodinov, Nikolay 7 Guay, Alain 7 Heun Song, Seuck 7 Hušková, Marie 7 Kilian, Lutz 7 Koopman, Siem Jan 7 Lemonte, Artur José 7 Osborn, Denise R. 7 Paparoditis, Efstathios 7 Patton, Andrew J. ...and 3,834 more Authors all top 5 Cited in 243 Journals 651 Journal of Econometrics 280 Econometric Reviews 154 Computational Statistics and Data Analysis 153 Economics Letters 150 Econometric Theory 111 Journal of Economic Dynamics & Control 100 Communications in Statistics. Theory and Methods 76 Communications in Statistics. 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Advances in Statistical Analysis 9 The Annals of Applied Statistics 8 International Journal of Systems Science 8 Scandinavian Journal of Statistics 8 Physica D 8 Macroeconomic Dynamics 8 Journal of Statistical Theory and Practice 7 Applied Mathematics Letters 7 Chaos 7 Methodology and Computing in Applied Probability 7 Journal of Econometric Methods 6 The Canadian Journal of Statistics 6 Metron 6 Statistical Science 6 Stochastic Processes and their Applications 6 Applied Mathematical Finance 6 Statistical Inference for Stochastic Processes 6 Science China. Mathematics 5 Psychometrika 5 The Annals of Applied Probability 5 Studies in Nonlinear Dynamics and Econometrics 5 Communications in Nonlinear Science and Numerical Simulation 5 Brazilian Journal of Probability and Statistics 5 AStA. Allgemeines Statistisches Archiv 5 Statistical Modelling 5 Entropy 4 Computers & Mathematics with Applications 4 Journal of Computational Physics 4 Applied Mathematics and Computation 4 International Economic Review 4 Acta Mathematicae Applicatae Sinica. English Series 4 Neural Computation 4 Linear Algebra and its Applications 4 Applied Mathematics. Series B (English Edition) 4 Statistica Sinica 4 Mathematical Finance 4 Australian & New Zealand Journal of Statistics 4 Journal of Economic Growth 4 ASTIN Bulletin 4 Review of Derivatives Research 4 Thai Journal of Mathematics 4 Statistical Methodology 4 SIAM Journal on Financial Mathematics 4 Sankhyā. Series B 4 Journal of the Japan Statistical Society. Japanese Issue 3 Journal of Mathematical Analysis and Applications 3 Lithuanian Mathematical Journal 3 Automatica 3 Biometrics 3 Fuzzy Sets and Systems 3 Information Sciences 3 Kybernetika 3 Journal of Economics ...and 143 more Journals all top 5 Cited in 38 Fields 2,712 Statistics (62-XX) 1,015 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 408 Numerical analysis (65-XX) 260 Probability theory and stochastic processes (60-XX) 87 Operations research, mathematical programming (90-XX) 35 Computer science (68-XX) 32 Systems theory; control (93-XX) 30 Dynamical systems and ergodic theory (37-XX) 25 Information and communication theory, circuits (94-XX) 18 Biology and other natural sciences (92-XX) 17 Statistical mechanics, structure of matter (82-XX) 11 Linear and multilinear algebra; matrix theory (15-XX) 11 Geophysics (86-XX) 8 General and overarching topics; collections (00-XX) 6 History and biography (01-XX) 5 Partial differential equations (35-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 4 Special functions (33-XX) 3 Mechanics of deformable solids (74-XX) 2 Number theory (11-XX) 2 Measure and integration (28-XX) 2 Integral transforms, operational calculus (44-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Differential geometry (53-XX) 2 Fluid mechanics (76-XX) 1 Mathematical logic and foundations (03-XX) 1 Combinatorics (05-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Approximations and expansions (41-XX) 1 Integral equations (45-XX) 1 Functional analysis (46-XX) 1 Operator theory (47-XX) 1 Convex and discrete geometry (52-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Optics, electromagnetic theory (78-XX) 1 Quantum theory (81-XX) 1 Astronomy and astrophysics (85-XX) 1 Mathematics education (97-XX) Citations by Year