EconPapers    
Economics at your fingertips  
 

Journal of Time Series Econometrics

2009 - 2017

Current editor(s): Javier Hidalgo

From De Gruyter
Series data maintained by Peter Golla ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.


Volume 9, issue 1, 2017

Testing for a Change in Mean under Fractional Integration pp. 8 Downloads
Fabrizio Iacone, Leybourne Stephen J. and Robert Taylor A.M.
The Impact of the Initial Condition on Covariate Augmented Unit Root Tests pp. 23 Downloads
Aristidou Chrystalleni, Harvey David I. and Leybourne Stephen J.
Signal Extraction for Nonstationary Time Series with Diverse Sampling Rules pp. 37 Downloads
Trimbur Thomas and McElroy Tucker
Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors pp. 41 Downloads
Symeonides Spyridon D., Karavias Yiannis and Elias Tzavalis

Volume 8, issue 2, 2016

On the Univariate Representation of BEKK Models with Common Factors pp. 91-113 Downloads
Alain Hecq, Franz Palm and Sébastien Laurent
Semiparametric Stationarity and Fractional Unit Roots Tests Based on Data-Driven Multidimensional Increment Ratio Statistics pp. 115-153 Downloads
Bardet Jean-Marc and Dola Béchir
Optimal Real-Time Filters for Linear Prediction Problems pp. 155-192 Downloads
Wildi Marc and McElroy Tucker
International Mobility of Capital in the United States: Robust Evidence from Time-Series Tests pp. 193-249 Downloads
Singh Tarlok

Volume 8, issue 1, 2016

Fixed and Recursive Right-Tailed Dickey–Fuller Tests in the Presence of a Break under the Null pp. 1-19 Downloads
Robert Sollis
A Note on the QMLE Limit Theory in the Non-stationary ARCH(1) Model pp. 21-39 Downloads
Arvanitis Stelios and Louka Alexandros
An Improved Selection Test between Autoregressive and Moving Average Disturbances in Regression Models pp. 41-54 Downloads
Pierre Nguimkeu
Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox pp. 55-90 Downloads
Nonejad Nima

Volume 7, issue 2, 2015

A Test of the Long Memory Hypothesis Based on Self-Similarity pp. 115-141 Downloads
Davidson James and Rambaccussing Dooruj
Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests pp. 143-179 Downloads
Benjamin Born and Matei Demetrescu
Forecasting Volatility and the Risk–Return Tradeoff: An Application on the Fama–French Benchmark Market Return pp. 181-216 Downloads
Vafiadis Nikolaos
How Close Is a Fractional Process to a Random Walk with Drift? pp. 217-234 Downloads
Larsson Rolf

Volume 7, issue 1, 2015

Constrained Hamiltonian Monte Carlo in BEKK GARCH with Targeting pp. 19 Downloads
Martin Burda
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes pp. 26 Downloads
Manabu Asai and So Mike K.P.
Tapered Block Bootstrap for Unit Root Testing pp. 31 Downloads
Parker Cameron C., Paparoditis Efstathios and Politis Dimitris
Testing for Multiple Structural Changes with Non-Homogeneous Regressors pp. 35 Downloads
Eiji Kurozumi

Volume 6, issue 2, 2014

Modeling Style Rotation: Switching and Re-switching pp. 26 Downloads
Golosov Edward and Satchell Stephen
Optimal Signal Extraction with Correlated Components pp. 37 Downloads
Tucker McElroy and Agustin Maravall
Valid Locally Uniform Edgeworth Expansions for a Class of Weakly Dependent Processes or Sequences of Smooth Transformations pp. 53 Downloads
Arvanitis Stelios and Antonis Demos
Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in the Presence of Individual and Time Effects pp. 53 Downloads
Ryo Okui

Volume 6, issue 1, 2013

Bootstrap Point Optimal Unit Root Tests pp. 1-31 Downloads
Wang Liqiong
Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion pp. 33-61 Downloads
Anton Skrobotov
Estimation Bias and Feasible Conditional Forecasts from the First-Order Moving Average Model pp. 63-80 Downloads
Yong Bao and Zhang Ru
Cycles, Syllogisms and Semantics: Examining the Idea of Spurious Cycles pp. 81-102 Downloads
David Pollock

Volume 5, issue 2, 2013

Monitoring the Intraday Volatility Pattern pp. 87-116 Downloads
Gabrys Robertas, Hörmann Siegfried and Kokoszka Piotr
On Identifying Structural VAR Models via ARCH Effects pp. 117-131 Downloads
George Milunovich and Minxian Yang
Asymptotic Theory for Regressions with Smoothly Changing Parameters pp. 133-162 Downloads
Eric Hillebrand, Marcelo Medeiros and Xu Junyue
A Covariate Residual-Based Cointegration Test Applied to the CDS-Bond Basis pp. 163-192 Downloads
Game Aaron and Jason Wu
A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models pp. 193-229 Downloads
Márcio Laurini

Volume 5, issue 1, 2013

Real-Time Monitoring Test for Realized Volatility pp. 1-24 Downloads
Cindy Shin-huei Wang and Cheng Hsiao
Two-Stage Weighted Least Squares Estimation of Nonstationary Random Coefficient Autoregressions pp. 25-46 Downloads
Aknouche Abdelhakim
Asymptotic Behavior of Temporal Aggregates in the Frequency Domain pp. 47-60 Downloads
Uwe Hassler and Henghsiu Tsai
Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations pp. 61-68 Downloads
Tae Hwy Lee, Xi Zhou and Zhang Ru

Volume 4, issue 2, 2012

Testing for Cointegration in the Presence of Moving Average Errors pp. 1-68 Downloads
Mindy Mallory and Sergio Lence
The Square Root of a Matrix pp. 1-7 Downloads
Abadir Karim M.
Bootstrap, Jackknife and COLS: Bias and Mean Squared Error in Estimation of Autoregressive Models pp. 1-35 Downloads
Gareth Liu-Evans and Garry Phillips
Testing for Structural Change in Heterogeneous Panels with an Application to the Euro's Trade Effect pp. 1-35 Downloads
Laurent Pauwels, Felix Chan and Mancini Griffoli Tommaso
On the Exact Discretization of a Continuous Time AR(1) Model driven by either Long Memory or Antipersistent Innovations: A Fractional Algebra Approach pp. 1-26 Downloads
Theodore Simos

Volume 4, issue 1, 2012

Biases of Correlograms and of AR Representations of Stationary Series pp. 1-11 Downloads
Abadir Karim M. and Larsson Rolf
First Stage Estimation of Fractional Cointegration pp. 1-32 Downloads
Hualde Javier and Fabrizio Iacone
Regression with Autocorrelated Errors Using Design-Adapted Haar Wavelets pp. 1-30 Downloads
Porto Rogério F., Morettin Pedro A. and Aubin Elisete C. Q.
Markov Breaks in Regression Models pp. 1-35 Downloads
Smith Aaron

Volume 3, issue 3, 2011

On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance pp. 1-34 Downloads
Pierre Perron and Ren Linxia
Noncausal Autoregressions for Economic Time Series pp. 1-32 Downloads
Markku Lanne and Pentti Saikkonen
Forecasting with Universal Approximators and a Learning Algorithm pp. 1-32 Downloads
Anders Kock
Wavelet Estimation of Copulas for Time Series pp. 1-31 Downloads
Morettin Pedro A., Toloi Clelia M.C., Chiann Chang and C.S. de Miranda José

Volume 3, issue 2, 2011

Detection of Additive Outliers in Seasonal Time Series pp. 1-20 Downloads
Niels Haldrup, Antonio Montañés and Andreu Sanso
Estimating Autocorrelations in the Presence of Deterministic Trends pp. 1-25 Downloads
Cindy Shin-huei Wang and Christian Hafner
Some New Results for Threshold AR(1) Models pp. 1-42 Downloads
John Knight and Satchell Stephen
Nonparametric Unit Root Test and Structural Breaks pp. 1-14 Downloads
Jorge Belaire-Franch and Contreras Dulce

Volume 3, issue 1, 2011

Evaluating Automatic Model Selection pp. 1-33 Downloads
Jennifer Castle, Jurgen Doornik and David Hendry
Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index pp. 1-23 Downloads
Luetkepohl Helmut and Fang Xu
Nonparametric Tests for Periodic Integration pp. 1-35 Downloads
Tomás del Barrio Castro and Denise Osborn
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots pp. 1-21 Downloads
Michael Jansson and Morten Nielsen
Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary pp. 1-32 Downloads
Christian Dahl and Emma Iglesias
HYBRID GARCH Models and Intra-Daily Return Periodicity pp. 1-28 Downloads
Chen Xilong, Ghysels Eric and Wang Fangfang
Detecting Common Dynamics in Transitory Components pp. 1-28 Downloads
Christensen Timothy, Stan Hurn and Adrian Pagan
On a Graphical Technique for Evaluating Some Rational Expectations Models pp. 1-29 Downloads
Soren Johansen and Swensen Anders R
Econometric Modelling of Time Series with Outlying Observations pp. 1-26 Downloads
David Hendry and Grayham Mizon
Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction pp. 1-8 Downloads
Tim Bollerslev, Bent Jesper Christensen, Niels Haldrup and Asger Lunde
Consideration of Trends in Time Series pp. 1-40 Downloads
Halbert White and Clive Granger
Page updated 2017-04-26