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Journal of Time Series Analysis

1995 - 2016

Current editor(s): M.B. Priestley

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Volume 37, issue 11, 2016

Exactly/Nearly Unbiased Estimation of Autocovariances of a Univariate Time Series With Unknown Mean pp. 723-740 Downloads
Timothy Vogelsang and Jingjing Yang
A Wavelet Characterization of Continuous-Time Periodically Correlated Processes with Application to Simulation pp. 741-762 Downloads
Mitra Ghanbarzadeh and Mina Aminghafari
Tests Based on Simplicial Depth for AR(1) Models With Explosion pp. 763-784 Downloads
Christoph P. Kustosz, Anne Leucht and Christine H. MÜller
Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test pp. 785-809 Downloads
Annika Betken
Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies pp. 810-824 Downloads
J. Miller and Xi Wang
Optimal Rate of Convergence for Empirical Quantiles and Distribution Functions for Time Series pp. 825-836 Downloads
Moritz Jirak
Bayesian Deconvolution of Signals Observed on Arrays pp. 837-850 Downloads
Ming Lin, Eric A. Suess, Robert H. Shumway and Rong Chen
Conditional and Marginal Mutual Information in Gaussian and Hyperbolic Decay Time Series pp. 851-861 Downloads
Gordon Chavez
Unobserved Components and Time Series Econometrics, edited by Siem Jan Koopman and Neil Shephard. Published by Oxford University Press, Oxford, 2015. Total number of pages: 400. ISBN: 978-0-19-968366-6 pp. 862-863 Downloads
Marcus Chambers
Introduction to Time Series Analysis and Forecasting, 2nd Edition, Wiley Series in Probability and Statistics, by Douglas C. Montgomery, Cheryl L. Jennings and Murat Kulahci (eds). Published by John Wiley and Sons, Hoboken, NJ, USA, 2015. Total number of pages: 672 Hardcover: ISBN: 978-1-118-74511-3, ebook: ISBN: 978-1-118-74515-1, etext: ISBN: 978-1-118-74495-6 pp. 864-864 Downloads
Georgi N. Boshnakov

Volume 37, issue 09, 2016

On the Distribution Estimation of Power Threshold Garch Processes pp. 579-602 Downloads
Esmeralda Gonçalves, Joana Leite and NazarÉ Mendes-Lopes
Quantile Autoregression for Censored Data pp. 603-623 Downloads
Seokwoo Jake Choi and Stephen Portnoy
Bartlett Correction of Empirical Likelihood for Non-Gaussian Short-Memory Time Series pp. 624-649 Downloads
Kun Chen, Ngai Hang Chan and Chun Yip Yau
Improved Tests for Forecast Comparisons in the Presence of Instabilities pp. 650-659 Downloads
Luis Martins and Pierre Perron
Tests for Linearity in Star Models: Supwald and Lm-Type Tests pp. 660-674 Downloads
Rehim Kılıç
A Bayesian Non-Parametric Dynamic AR Model for Multiple Time Series Analysis pp. 675-689 Downloads
Luis E. Nieto-Barajas and Fernando A. Quintana
Local Information Theoretic Methods for smooth Coefficients Dynamic Panel Data Models pp. 690-708 Downloads
Francesco Bravo
Time Series Analysis: Forecasting and Control, 5th Edition, by George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinsel and Greta M. Ljung, 2015. Published by John Wiley and Sons Inc., Hoboken, New Jersey, pp. 712. ISBN: 978-1-118-67502-1 pp. 709-711 Downloads
Granville Tunnicliffe Wilson
An Introduction to Stochastic Orders, by Félix Belzunce, Carolina Martínez and Julio Mulero. Academic Press, Elsevier Ltd. 2016. Total number of pages: 157. ISBN: 978–0–12–803768–3 (Paperback) pp. 712-712 Downloads
B.L.S. Prakasa Rao
Corrigendum to ‘Subsampling Inference for the Mean of Heavy-Tailed Long-Memory Time Series’ by A. Jach, T. S. McElroy and D. N. Politis pp. 713-720 Downloads
Agnieszka Jach, Tucker S. McElroy and Dimitris N. Politis

Volume 37, issue 07, 2016

Discriminant Analysis of Time Series in the Presence of Within-Group Spectral Variability pp. 435-450 Downloads
Robert T. Krafty
Parametric and Semi-Parametric Efficient Tests for Parameter Instability pp. 451-475 Downloads
Dong Jin Lee
Multivariate Wavelet Whittle Estimation in Long-range Dependence pp. 476-512 Downloads
Sophie Achard and Irène Gannaz
Statistical Inference for Unified Garch–Itô Models with High-Frequency Financial Data pp. 513-532 Downloads
Donggyu Kim
Powerful Unit Root Tests Free of Nuisance Parameters pp. 533-554 Downloads
Mehdi Hosseinkouchack and Uwe Hassler
Inference on a Structural Break in Trend with Fractionally Integrated Errors pp. 555-574 Downloads
Seong Yeon Chang and Pierre Perron
Time Series Modelling with Unobserved Components, by Matteo M. Pelagatti. Published by CRC Press, 2015, pages: 257. ISBN-13: 978-1-4822-2500-6 pp. 575-576 Downloads
Mohsen Pourahmadi

Volume 37, issue 05, 2016

Poisson QMLE of Count Time Series Models pp. 291-314 Downloads
Ali Ahmad and Christian Francq
Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series pp. 315-336 Downloads
Roberto Baragona, Francesco Battaglia and Domenico Cucina
Separation of Uncorrelated Stationary time series using Autocovariance Matrices pp. 337-354 Downloads
Jari Miettinen, Katrin Illner, Klaus Nordhausen, Hannu Oja, Sara Taskinen and Fabian J. Theis
A New Test for Checking the Equality of the Correlation Structures of two time Series pp. 355-368 Downloads
Lei Jin and Suojin Wang
Generalized Resampling Scheme With Application to Spectral Density Matrix in Almost Periodically Correlated Class of Time Series pp. 369-404 Downloads
Łukasz Lenart
Filtering, Prediction and Simulation Methods for Noncausal Processes pp. 405-430 Downloads
Christian Gourieroux and Joann Jasiak
Quantitative Risk Management: Concepts, Techniques and Tools, by Alexander J. McNeil, Rüdiger Frey and Paul Embrechts. Revised edition. Published by Princeton University Press, 2015. Total number of pages: 720. ISBN: 978-0-691-16627-8 (Hardback) pp. 431-432 Downloads
Johanna G. NešLehová

Volume 37, issue 03, 2016

An Unbiased Measure of Integrated Volatility in the Frequency Domain pp. 147-164 Downloads
Fangfang Wang
Bounds, Breaks and Unit Root Tests pp. 165-181 Downloads
Josep Carrion-i-Silvestre and María Gadea
A Note on the Behaviour of Nonparametric Density and Spectral Density Estimators at Zero Points of their Support pp. 182-194 Downloads
Efstathios Paparoditis and Dimitris N. Politis
Composite Quantile Periodogram for Spectral Analysis pp. 195-221 Downloads
Yaeji Lim and Hee-Seok Oh
Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends pp. 222-239 Downloads
Yiannis Karavias and Elias Tzavalis
Inference for the Fourth-Order Innovation Cumulant in Linear Time Series pp. 240-266 Downloads
Maria Fragkeskou and Efstathios Paparoditis∗
Random environment integer-valued autoregressive process pp. 267-287 Downloads
Aleksandar S. Nastić, Petra N. Laketa and Miroslav M. Ristić
Statistics for Spatial Data, Revised Edition, by Noel Cressie. Published by Wiley Classics Library, John Wiley, 2015. Total number of pages: 928. ISBN: 978-1-119-11518-2 pp. 288-288 Downloads
T. Subba Rao

Volume 37, issue 01, 2016

Testing for Stationarity in Multivariate Locally Stationary Processes pp. 3-29 Downloads
Ruprecht Puchstein and Philip Preuß
Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous-Time ARMA–GARCH-Type Models with Long Memory pp. 30-45 Downloads
Holger Fink
Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified pp. 46-76 Downloads
Mohamed El Ghourabi, Christian Francq and Fedya Telmoudi
A Goodness-of-Fit Test for Integer-Valued Autoregressive Processes pp. 77-98 Downloads
Sebastian Schweer
Testing for a Unit Root in Noncausal Autoregressive Models pp. 99-125 Downloads
Pentti Saikkonen and Rickard Sandberg
A Nonparametric Model for Stationary Time Series pp. 126-142 Downloads
Isadora Antoniano-Villalobos and Stephen G. Walker
Almost All About Unit Roots: Foundations, Developments, and Applications, by In Choi. Published by Cambridge University Press, Cambridge, 2015. Total number of pages: 295. ISBN: 9781107482500 (paperback), price: 24.99£;(US$39.99) ISBN: 9781107097339 (hardback), price: 60.00£ (US$95.00) pp. 143-144 Downloads
Yiannis Karavias

Volume 36, issue 11, 2015

Simulation of Real Discrete Time Gaussian Multivariate Stationary Processes with Given Spectral Densities pp. 783-796 Downloads
M. Azimmohseni, A. R. Soltani and M. Khalafi
Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series pp. 797-816 Downloads
Eric Ghysels and J. Miller
A Gini Autocovariance Function for Time Series Modelling pp. 817-838 Downloads
Marcel Carcea and Robert Serfling
Zero-Modified Geometric INAR(1) Process for Modelling Count Time Series with Deflation or Inflation of Zeros pp. 839-852 Downloads
Wagner Barreto-Souza
Mixed-Norm Spaces and Prediction of SαS Moving Averages pp. 853-875 Downloads
Raymond Cheng and Charles B. Harris
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes pp. 876-887 Downloads
Christian Gouriéroux and Jean-Michel Zakoian

Volume 36, issue 09, 2015

Introduction to the JTSA John Nankervis Memorial Issue pp. 601-602 Downloads
Neil Kellard, Denise Osborn, Jerry Coakley, Neil Kellard, Denise Osborn and Jerry Coakley
Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics pp. 603-629 Downloads
Neil Kellard, Denise Osborn, Jerry Coakley, Giuseppe Cavaliere, David I. Harvey, Stephen J. Leybourne and Robert Taylor
Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data pp. 630-649 Downloads
Neil Kellard, Denise Osborn, Jerry Coakley and Marcus Chambers
Papers with John on the Demand for Mail pp. 650-652 Downloads
Neil Kellard, Denise Osborn, Jerry Coakley, Frank Rodriguez, Soterios Soteri and Leticia Veruete-McKay
Double Bootstrap Confidence Intervals in the Two-Stage DEA Approach pp. 653-662 Downloads
Neil Kellard, Denise Osborn, Jerry Coakley, Dimitris K. Chronopoulos, Claudia Girardone and John C. Nankervis
Papers with John pp. 663-671 Downloads
Neil Kellard, Denise Osborn, Jerry Coakley and Nathan E. (Gene) Savin
Testing for Predictability in Financial Returns Using Statistical Learning Procedures pp. 672-686 Downloads
Neil Kellard, Denise Osborn, Jerry Coakley, Imanol Arrieta-ibarra and Ignacio N. Lobato
Generalized Variance-Ratio Tests in the Presence of Statistical Dependence pp. 687-705 Downloads
Neil Kellard, Denise Osborn, Jerry Coakley, John C. Nankervis, Periklis Kougoulis and Jerry Coakley
On the Transmission of Memory in Garch-in-Mean Models pp. 706-720 Downloads
Neil Kellard, Denise Osborn, Jerry Coakley, Christian Conrad and Menelaos Karanasos
Bias Correction of Persistence Measures in Fractionally Integrated Models pp. 721-740 Downloads
Neil Kellard, Denise Osborn, Jerry Coakley, Simone D. Grose, Gael M. Martin and Donald Poskitt
Structural Break Inference Using Information Criteria in Models Estimated by Two-Stage Least Squares pp. 741-762 Downloads
Neil Kellard, Denise Osborn, Jerry Coakley, Alastair R. Hall, Denise R. Osborn and Nikolaos Sakkas
Testing for Mild Explosivity and Bubbles in LME Non-Ferrous Metals Prices pp. 763-782 Downloads
Neil Kellard, Denise Osborn, Jerry Coakley, Isabel Figuerola-Ferretti, Christopher L. Gilbert and J. Roderick McCrorie

Volume 36, issue 07, 2015

Infinitely Divisible Distributions in Integer-Valued Garch Models pp. 503-527 Downloads
E. Gonçalves, N. Mendes-Lopes and F. Silva
Small-b and Fixed-b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration pp. 528-540 Downloads
Javier Hualde and Fabrizio Iacone
Estimation in Functional Lagged Regression pp. 541-561 Downloads
Siegfried Hörmann, Łukasz Kidziński and Piotr Kokoszka
The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending pp. 562-586 Downloads
Marcus Chambers
A Quantile-based Test for Symmetry of Weakly Dependent Processes pp. 587-598 Downloads
Zacharias Psaradakis and Marian Vavra
Dependence Modeling with Copulas, by Harry Joe. Monographs on Statistics and Applied probability 134, Published by CRC Press, 2015. Total number of pages: 18 + 462. ISBN: 978-1-4665-8322-1 (Hardback) pp. 599-600 Downloads
Alexander J. Mcneil

Volume 36, issue 05, 2015

Recent developments in bootstrap methods for dependent data pp. 269-271 Downloads
Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Giuseppe Cavaliere, Dimitris N. Politis and Anders Rahbek
Recent developments in bootstrap methods for dependent data pp. 272-289 Downloads
Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Giuseppe Cavaliere, Anders Rahbek and A. M. Robert Taylor
Recent developments in bootstrap methods for dependent data pp. 290-314 Downloads
Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Paul Doukhan, Gabriel Lang, Anne Leucht and Michael H. Neumann
Recent developments in bootstrap methods for dependent data pp. 315-326 Downloads
Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Srijan Sengupta, Xiaofeng Shao and Yingchuan Wang
Recent developments in bootstrap methods for dependent data pp. 327-351 Downloads
Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Dominique Dehay and Anna E. Dudek
Recent developments in bootstrap methods for dependent data pp. 352-376 Downloads
Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Michael Wolf and Dan Wunderli
Recent developments in bootstrap methods for dependent data pp. 377-397 Downloads
Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Marco Meyer and Jens-Peter Kreiss
Recent developments in bootstrap methods for dependent data pp. 398-415 Downloads
Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek and Stephan Smeekes
Recent developments in bootstrap methods for dependent data pp. 416-441 Downloads
Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Carsten Jentsch, Dimitris N. Politis and Efstathios Paparoditis
Recent developments in bootstrap methods for dependent data pp. 442-461 Downloads
Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Karl B. Gregory, Soumendra N. Lahiri and Daniel J. Nordman
Recent developments in bootstrap methods for dependent data pp. 462-480 Downloads
Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Patrice Bertail, Stéphan Clémençon and Jessica Tressou
Recent developments in bootstrap methods for dependent data pp. 481-502 Downloads
Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Antoine Djogbenou, Silvia Goncalves and Benoit Perron

Volume 36, issue 03, 2015

Tests for Volatility Shifts in Garch Against Long-Range Dependence pp. 127-153 Downloads
Taewook Lee, Moosup Kim and Changryong Baek
Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models pp. 154-188 Downloads
Morten Nielsen
Wavelet-Based Tests for Comparing Two Time Series with Unequal Lengths pp. 189-208 Downloads
Jonathan Decowski and Linyuan Li
Signal Extraction for Non-Stationary Multivariate Time Series with Illustrations for Trend Inflation pp. 209-227 Downloads
Tucker McElroy and Thomas Trimbur
Vine Copula Specifications for Stationary Multivariate Markov Chains pp. 228-246 Downloads
Brendan K. Beare and Juwon Seo
A Gaussian Mixture Autoregressive Model for Univariate Time Series pp. 247-266 Downloads
Leena Kalliovirta, Mika Meitz and Pentti Saikkonen
Time Series with Mixed Spectra, by Ta-Hsin Li. Published by CRC Press, 2014. Total number of pages: 680. ISBN: 978-1-58488-176-6 (hard cover), 978-1-42001-006-0 (ebook) pp. 267-268 Downloads
Barry G. Quinn

Volume 36, issue 01, 2015

DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES pp. 1-25 Downloads
Stefanos Kechagias and Vladas Pipiras
HYPOTHESIS TESTING FOR ARCH MODELS: A MULTIPLE QUANTILE REGRESSIONS APPROACH pp. 26-38 Downloads
Seonjin Kim
A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS pp. 39-60 Downloads
Carlos Velasco and Xuexin Wang
INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL pp. 61-66 Downloads
Shiqing Ling, Liang Peng and Fukang Zhu
ON WEIGHTED PORTMANTEAU TESTS FOR TIME-SERIES GOODNESS-OF-FIT pp. 67-83 Downloads
Colin M. Gallagher and Thomas J. Fisher
TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES pp. 84-108 Downloads
Lajos Horvath and Gregory Rice
ON SELF-NORMALIZATION FOR CENSORED DEPENDENT DATA pp. 109-124 Downloads
Yinxiao Huang, Stanislav Volgushev and Xiaofeng Shao
DISCRETE TIME SERIES, PROCESSES, AND APPLICATIONS IN FINANCE, by Gilles Zumbach. Springer Finance Series. Published by Springer, Heidelberg, Berlin, 2013. Total number of pages: 315. ISBN: 978-3-642-31741-5 pp. 125-125 Downloads
Brendan McCabe
Page updated 2017-03-22