Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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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

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

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

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

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

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