Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Volume 46, issue 3, 2025

Editorial Announcement pp. 401-401

Robert Taylor

Testing covariance separability for continuous functional data pp. 402-420

Holger Dette, Gauthier Dierickx and Tim Kutta

Dependence properties of stochastic volatility models pp. 421-431

Piotr Kokoszka, Neda Mohammadi and Haonan Wang

The Granger–Johansen representation theorem for integrated time series on Banach space pp. 432-457

Phil Howlett, Brendan K. Beare, Massimo Franchi, John Boland and Konstantin Avrachenkov

Improved estimation of dynamic models of conditional means and variances pp. 458-490

Weining Wang, Jeffrey M. Wooldridge and Mengshan Xu

Self‐normalization inference for linear trends in cointegrating regressions pp. 491-504

Cheol‐Keun Cho

Weighted discrete ARMA models for categorical time series pp. 505-529

Christian H. Weiß and Osama Swidan

Mean‐preserving rounding integer‐valued ARMA models pp. 530-551

Christian H. Weiß and Fukang Zhu

Mixing properties of non‐stationary multi‐variate count processes pp. 552-581

Zinsou Max Debaly, Michael H. Neumann and Lionel Truquet

Estimating lagged (cross‐)covariance operators of Lp‐m‐approximable processes in Cartesian product Hilbert spaces pp. 582-595

Sebastian Kühnert

Volume 46, issue 2, 2025

Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2024 pp. 213-213

Robert Taylor

Time Series for QFFE: Special Issue of the Journal of Time Series Analysis pp. 214-215

Christian Francq, Christophe Hurlin, Sébastien Laurent and Jean‐Michel Zakoian

High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models pp. 216-234

Md. Nazmul Ahsan and Jean‐Marie Dufour

Ridge regularized estimation of VAR models for inference pp. 235-257

Giovanni Ballarin

Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors pp. 258-285

João F. Caldeira, Werley C. Cordeiro, Esther Ruiz and Andre Santos

The Liquidity Uncertainty Premium Puzzle pp. 286-299

Maria Flora, Ilaria Gianstefani and Roberto Renò

Generalized covariance‐based inference for models set‐identified from independence restrictions pp. 300-324

Christian Gourieroux and Joann Jasiak

Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios pp. 325-352

Alain Hecq and Daniel Velasquez‐Gaviria

Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations pp. 353-377

Marc S. Paolella, Paweł Polak and Patrick S. Walker

Fractional stochastic volatility model pp. 378-397

Shuping Shi, Xiaobin Liu and Jun Yu

Volume 46, issue 1, 2025

On a matrix‐valued autoregressive model pp. 3-32

S. Yaser Samadi and Lynne Billard

Testing for the extent of instability in nearly unstable processes pp. 33-58

Marie Badreau and Frédéric Proïa

Estimation of non‐smooth non‐parametric estimating equations models with dependent data pp. 59-80

Francesco Bravo

Bootstrapping non‐stationary and irregular time series using singular spectral analysis pp. 81-112

Don S. Poskitt

Selecting the number of factors in multi‐variate time series pp. 113-136

Angela Caro and Daniel Peña

General estimation results for tdVARMA array models pp. 137-151

Abdelkamel Alj, Rajae Azrak and Guy Mélard

A trinomial difference autoregressive process for the bounded ℤ‐valued time series pp. 152-180

Huaping Chen, Zifei Han and Fukang Zhu

Estimating a common break point in means for long‐range dependent panel data pp. 181-209

Daiqing Xi, Cheng‐ Der Fuh and Tianxiao Pang

Volume 45, issue 5, 2024

Transformed‐Linear Models for Time Series Extremes pp. 671-690

Nehali Mhatre and Daniel Cooley

Consistency of averaged impulse response estimators in vector autoregressive models pp. 691-713

Jan Lohmeyer, Franz Palm and Jean‐Pierre Urbain

Statistical analysis of irregularly spaced spatial data in frequency domain pp. 714-738

Shibin Zhang

On distributional autoregression and iterated transportation pp. 739-770

Laya Ghodrati and Victor M. Panaretos

Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients pp. 771-799

Francesco Giordano, Marcella Niglio and Maria Lucia Parrella

Bootstrap prediction inference of nonlinear autoregressive models pp. 800-822

Kejin Wu and Dimitris N. Politis

Inference in Coarsened Time Series via Generalized Method of Moments pp. 823-846

Man Fai Ip and Kin Wai Chan

A residual‐based nonparametric variance ratio no‐cointegration test pp. 847-856

Karsten Reichold

Volume 45, issue 4, 2024

Test of change point versus long‐range dependence in functional time series pp. 497-512

Changryong Baek, Piotr Kokoszka and Xiangdong Meng

Non‐crossing quantile double‐autoregression for the analysis of streaming time series data pp. 513-532

Rong Jiang, Siu Kai Choy and Keming Yu

High‐Frequency‐Based Volatility Model with Network Structure pp. 533-557

Huiling Yuan, Kexin Lu, Guodong Li and Junhui Wang

Asymptotic Normality of Bias Reduction Estimation for Jump Intensity Function in Financial Markets pp. 558-583

Yuping Song, Min Zhu and Jiawei Qiu

Count network autoregression pp. 584-612

Mirko Armillotta and Konstantinos Fokianos

Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility pp. 613-638

Jin Yu Fu, Jin Guan Lin, Guangying Liu and Hong Xia Hao

Time Series Quantile Regression Using Random Forests pp. 639-659

Hiroshi Shiraishi, Tomoshige Nakamura and Ryotato Shibuki

A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots pp. 660-668

Vladimir Andric and Sanja Nenadovic

Volume 45, issue 3, 2024

Stationary Jackknife pp. 333-360

Weilian Zhou and Soumendra Lahiri

Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity pp. 361-375

Andreas Anastasiou and Tobias Kley

On vector linear double autoregression pp. 376-397

Yuchang Lin and Qianqian Zhu

Additive autoregressive models for matrix valued time series pp. 398-420

Hong‐Fan Zhang

Local Whittle estimation with (quasi‐)analytic wavelets pp. 421-443

Sophie Achard and Irène Gannaz

Granger causality tests based on reduced variable information pp. 444-462

Neng‐Fang Tseng, Ying‐Chao Hung and Junji Nakano

Smooth transition moving average models: Estimation, testing, and computation pp. 463-478

Xinyu Zhang and Dong Li

Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm pp. 479-494

Haeran Cho and Piotr Fryzlewicz

Volume 45, issue 2, 2024

Call for Papers: Special Issue on Recent Developments in Time Series Methods for Detecting Bubbles and Crashes pp. 163-163

Robert Taylor

Portmanteau tests for periodic ARMA models with dependent errors pp. 164-188

Y. Boubacar Maïnassara and A. Ilmi Amir

Nonlinear kernel mode‐based regression for dependent data pp. 189-213

Tao Wang

Correcting the bias of the sample cross‐covariance estimator pp. 214-247

Yifan Li

Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models pp. 248-268

Søren Johansen and Anders Rygh Swensen

Margin‐closed vector autoregressive time series models pp. 269-297

Lin Zhang, Harry Joe and Natalia Nolde

Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations pp. 298-319

Simos Meintanis, Bojana Milošević, Marko Obradović and Mirjana Veljović

Functional principal component analysis for cointegrated functional time series pp. 320-330

Won‐Ki Seo