Class information for:
Level 2: LONG MEMORY//JOURNAL OF TIME SERIES ANALYSIS//JOURNAL OF ECONOMETRICS

Basic class information
ID Publications Average number
of references		 Avg. shr. active
ref. in WoS
445 15497 24.9 46%


Bar chart of Publication_year

Last years might be incomplete

Classes in level above (level 3)


ID, lev.
above		 Publications Label for level above
35 104217 STATISTICS & PROBABILITY//COMMUNICATIONS IN STATISTICS-THEORY AND METHODS//STAT

Classes in level below (level 1)


ID, lev. below Publications Label for level below
1034 2802 REALIZED VOLATILITY//GARCH//MARKET MICROSTRUCTURE NOISE
5618 1533 LONG MEMORY//FRACTIONAL INTEGRATION//FRACTIONAL COINTEGRATION
6216 1449 CHANGE POINT//CHANGE POINTS//EXTREME VALUE ASYMPTOTICS
6585 1397 SMOOTH FUNCTION MODEL//BLOCK BOOTSTRAP//EDGEWORTH EXPANSION
10582 985 GENERALIZED MOMENTS ESTIMATION//SPATIAL ERROR CORRELATION//UNIV PARIS 02
13122 795 NONNESTED HYPOTHESES//DOUBLE LENGTH REGRESSION//ARTIFICIAL REGRESSION
13425 774 EMPIRICAL LIKELIHOOD//WILKS THEOREM//GENERALIZED EMPIRICAL LIKELIHOOD
13790 750 SEASONAL COINTEGRATION//SEASONAL UNIT ROOT TESTS//SEASONAL UNIT ROOTS
13984 736 SEASONAL ADJUSTMENT//X 11//INNOVATION OUTLIER
14159 723 TIME SERIES OF COUNTS//INAR MODELS//BINOMIAL THINNING
14365 708 CONDITIONAL LIKELIHOOD FUNCTION//KRONECKER INDICES//CORNER METHOD
14530 697 ARRANGED AUTOREGRESSION//NONLINEAR TIME SERIES//SETAR MODELS
17010 558 WEAK INSTRUMENTS//MANY INSTRUMENTS//WEAK IDENTIFICATION
17018 558 PORTMANTEAU TEST//VARIANCE RATIO TEST//FIXED SMOOTHING ASYMPTOTICS
21298 365 LOCALLY STATIONARY PROCESSES//LOCAL STATIONARITY//LOCALLY STATIONARY PROCESS
22123 336 SYNTHETIC FLOOD WAVE//PERIODIC AUTOCOVARIANCES//PARMA MODEL
25732 226 UNIT AUTOREGRESSIVE ROOTS//GENERAL TO SPECIFIC MODELLING//OOMPH
32625 105 INTEGRATED TIME SERIES//FUNCTIONAL COEFFICIENTS//NONPARAMETRIC KERNEL ESTIMATORS

Terms with highest relevance score


Rank Term Type of term Relevance score
(tfidf)		 Class's shr.
of term's tot.
occurrences		 Shr. of publ.
in class containing
term		 Num. of publ.
in class
1 LONG MEMORY Author keyword 493 63% 3% 502
2 JOURNAL OF TIME SERIES ANALYSIS Journal 418 62% 3% 428
3 JOURNAL OF ECONOMETRICS Journal 395 31% 7% 1050
4 ECONOMETRIC THEORY Journal 339 45% 4% 560
5 EMPIRICAL LIKELIHOOD Author keyword 242 52% 2% 331
6 FRACTIONAL INTEGRATION Author keyword 154 63% 1% 157
7 REALIZED VOLATILITY Author keyword 154 63% 1% 153
8 GARCH Author keyword 119 35% 2% 277
9 CHANGE POINT Author keyword 107 36% 2% 237
10 JOURNAL OF FORECASTING Journal 92 26% 2% 304

Web of Science journal categories

Author Key Words


Rank Web of Science journal category Relevance score
(tfidf)		 Class's shr.
of term's tot.
occurrences		 Shr. of publ.
in class containing
term		 Num. of
publ. in
class		 LCSH search Wikipedia search
1 LONG MEMORY 493 63% 3% 502 Search LONG+MEMORY Search LONG+MEMORY
2 EMPIRICAL LIKELIHOOD 242 52% 2% 331 Search EMPIRICAL+LIKELIHOOD Search EMPIRICAL+LIKELIHOOD
3 FRACTIONAL INTEGRATION 154 63% 1% 157 Search FRACTIONAL+INTEGRATION Search FRACTIONAL+INTEGRATION
4 REALIZED VOLATILITY 154 63% 1% 153 Search REALIZED+VOLATILITY Search REALIZED+VOLATILITY
5 GARCH 119 35% 2% 277 Search GARCH Search GARCH
6 CHANGE POINT 107 36% 2% 237 Search CHANGE+POINT Search CHANGE+POINT
7 HIGH FREQUENCY DATA 91 44% 1% 159 Search HIGH+FREQUENCY+DATA Search HIGH+FREQUENCY+DATA
8 BOOTSTRAP 91 15% 4% 543 Search BOOTSTRAP Search BOOTSTRAP
9 MARKET MICROSTRUCTURE NOISE 89 90% 0% 38 Search MARKET+MICROSTRUCTURE+NOISE Search MARKET+MICROSTRUCTURE+NOISE
10 FRACTIONAL COINTEGRATION 89 81% 0% 54 Search FRACTIONAL+COINTEGRATION Search FRACTIONAL+COINTEGRATION

Key Words Plus


Rank Web of Science journal category Relevance score
(tfidf)		 Class's shr.
of term's tot.
occurrences		 Shr. of publ.
in class containing
term		 Num. of
publ. in
class
1 CONDITIONAL HETEROSKEDASTICITY 248 46% 3% 407
2 LOG PERIODOGRAM REGRESSION 230 86% 1% 117
3 AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY 212 56% 2% 261
4 LONG MEMORY 200 53% 2% 266
5 HIGH FREQUENCY DATA 197 73% 1% 149
6 HETEROSKEDASTICITY 191 31% 3% 521
7 RANGE DEPENDENCE 182 70% 1% 153
8 REALIZED VOLATILITY 178 64% 1% 173
9 MARKET MICROSTRUCTURE NOISE 172 90% 0% 74
10 TIME SERIES MODELS 172 42% 2% 314

Journals


Rank Web of Science journal category Relevance score
(tfidf)		 Class's shr.
of term's tot.
occurrences		 Shr. of publ.
in class containing
term		 Num. of publ.
in class
1 JOURNAL OF TIME SERIES ANALYSIS 418 62% 3% 428
2 JOURNAL OF ECONOMETRICS 395 31% 7% 1050
3 ECONOMETRIC THEORY 339 45% 4% 560
4 JOURNAL OF FORECASTING 92 26% 2% 304
5 JOURNAL OF BUSINESS & ECONOMIC STATISTICS 58 20% 2% 264
6 ECONOMETRICS JOURNAL 56 41% 1% 108
7 ECONOMETRIC REVIEWS 49 36% 1% 110
8 ANNALS OF STATISTICS 45 11% 3% 400
9 JOURNAL OF FINANCIAL ECONOMETRICS 36 39% 0% 72
10 BIOMETRIKA 34 10% 2% 315

Reviews


Title Publ. year Cit. Active references % act. ref.
to same field
Multivariate GARCH models: A survey 2006 305 57 86%
Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility 2007 203 66 70%
Structural breaks in time series 2013 16 87 84%
Realized volatility: A review 2008 66 61 85%
ARCH MODELING IN FINANCE - A REVIEW OF THE THEORY AND EMPIRICAL-EVIDENCE 1992 1092 123 41%
Long memory processes and fractional integration in econometrics 1996 431 74 66%
Forecasting volatility in financial markets: A review 2003 307 106 49%
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics 2001 532 40 30%
Controlling for endogeneity with instrumental variables in strategic management research 2008 128 112 26%
Multiscale change point inference 2014 5 108 31%

Address terms


Rank Address term Relevance score
(tfidf)		 Class's shr.
of term's tot.
occurrences		 Shr. of publ.
in class containing
term		 Num. of
publ. in
class
1 COWLES FDN ECON 32 41% 0.4% 61
2 CREATES 19 34% 0.3% 46
3 UNIV PARIS 02 12 86% 0.0% 6
4 QUANTITAT ECON 9 11% 0.5% 74
5 GREMARS 9 39% 0.1% 18
6 ECONOMETR BUSINESS STAT 9 15% 0.3% 53
7 ADV FINANCIAL STUDIES 8 100% 0.0% 5
8 COWLES FDN 8 23% 0.2% 31
9 CIRANO 8 22% 0.2% 31
10 DISCIPLINE OPERAT MANAGEMENT ECONOMETR 7 56% 0.1% 9

Related classes at same level (level 2)


Rank Relatedness score Related classes
1 0.0000019481 NONPARAMETRIC REGRESSION//ORACLE PROPERTY//SUFFICIENT DIMENSION REDUCTION
2 0.0000016876 JOURNAL OF INTERNATIONAL MONEY AND FINANCE//MONETARY POLICY//JOURNAL OF MONEY CREDIT AND BANKING
3 0.0000015806 SEQUENTIAL ANALYSIS-DESIGN METHODS AND APPLICATIONS//BAYES SEQUENTIAL ESTIMATION//EXISTENCE PROBLEM
4 0.0000015687 FUZZY TIME SERIES//JOURNAL OF GREY SYSTEM//INTERNATIONAL JOURNAL OF FORECASTING
5 0.0000015514 OPTION PRICING//REAL OPTIONS//AMERICAN OPTIONS
6 0.0000013978 DIRICHLET PROCESS//MARKOV CHAIN MONTE CARLO//BAYESIAN NONPARAMETRICS
7 0.0000013451 COMPLETE CONVERGENCE//COMPLETE MOMENT CONVERGENCE//THEORY OF PROBABILITY AND ITS APPLICATIONS
8 0.0000012661 COMMUNICATIONS IN STATISTICS-THEORY AND METHODS//LOCAL INFLUENCE//BIRNBAUM SAUNDERS DISTRIBUTION
9 0.0000009260 BUSINESS, FINANCE//JOURNAL OF FINANCE//JOURNAL OF FINANCIAL ECONOMICS
10 0.0000008294 MULTIPLE IMPUTATION//LIFETIME DATA ANALYSIS//STATISTICS IN MEDICINE