Journal of Time Series Analysis
1980 - 2024
Current editor(s): M.B. Priestley From Wiley Blackwell Bibliographic data for series maintained by Wiley Content Delivery (). Access Statistics for this journal.
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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
Volume 44, issue 5-6, 2023
- Editorial Announcement pp. 439-439
- Robert Taylor
- Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi pp. 440-441
- Marc Hallin, Yoshihide Kakizawa and Hira Koul
- Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors pp. 442-473
- Monika Bhattacharjee, Nilanjan Chakraborty and Hira L. Koul
- Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates pp. 474-486
- Shan Dai and Ngai Hang Chan
- Clustering multivariate time series using energy distance pp. 487-504
- Richard A. Davis, Leon Fernandes and Konstantinos Fokianos
- Detecting relevant changes in the spatiotemporal mean function pp. 505-532
- Holger Dette and Pascal Quanz
- Optimal estimating function for weak location‐scale dynamic models pp. 533-555
- Christian Francq and Jean‐Michel Zakoïan
- Estimation on unevenly spaced time series pp. 556-577
- Liudas Giraitis and Fulvia Marotta
- Factor models for high‐dimensional functional time series I: Representation results pp. 578-600
- Marc Hallin, Gilles Nisol and Shahin Tavakoli
- Factor models for high‐dimensional functional time series II: Estimation and forecasting pp. 601-621
- Shahin Tavakoli, Gilles Nisol and Marc Hallin
- Testing for symmetric correlation matrices with applications to factor models pp. 622-643
- Nan‐Jung Hsu, Lai Heng Sim and Ruey S. Tsay
- Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test pp. 644-666
- Sangyeol Lee and Minyoung Jo
- A testing approach to clustering scalar time series pp. 667-685
- Daniel Peña and Ruey S. Tsay
- Some recent trends in embeddings of time series and dynamic networks pp. 686-709
- Dag Tjøstheim, Martin Jullum and Anders Løland
Volume 44, issue 4, 2023
- Editorial announcement pp. 335-335
- Robert Taylor
- Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor pp. 336-336
- Torben Andersen, Kim Christensen and Ingmar Nolte
- On highly skewed fractional log‐stable noise sequences and their application pp. 337-358
- Harry Pavlopoulos and George Chronis
- On the asymptotic behavior of bubble date estimators pp. 359-373
- Eiji Kurozumi and Anton Skrobotov
- Regime switching models for circular and linear time series pp. 374-392
- Andrew Harvey and Dario Palumbo
- Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series pp. 393-417
- Abdelhakim Aknouche and Stefanos Dimitrakopoulos
- Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors pp. 418-436
- Xiaoyan Li, Jiazhu Pan and Anchao Song
Volume 44, issue 3, 2023
- Volatility models for stylized facts of high‐frequency financial data pp. 262-279
- Donggyu Kim and Minseok Shin
- Tempered functional time series pp. 280-293
- Farzad Sabzikar and Piotr Kokoszka
- A nonparametric predictive regression model using partitioning estimators based on Taylor expansions pp. 294-318
- Jose Olmo
- System identification using autoregressive Bayesian neural networks with nonparametric noise models pp. 319-330
- Christos Merkatas and Simo Särkkä
- Corrigendum to the article “Regular multidimensional stationary time series” pp. 331-332
- Tamás Szabados
Volume 44, issue 2, 2023
- Dynamic deconvolution and identification of independent autoregressive sources pp. 151-180
- Christian Gourieroux and Joann Jasiak
- Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments pp. 181-205
- David I. Harvey, Stephen J. Leybourne and Yang Zu
- Flexible bivariate INGARCH process with a broad range of contemporaneous correlation pp. 206-222
- Luiza S. C. Piancastelli, Wagner Barreto‐Souza and Hernando Ombao
- Directed graphs and variable selection in large vector autoregressive models pp. 223-246
- Dominik Bertsche, Ralf Brüggemann and Christian Kascha
- Higher‐order asymptotics of minimax estimators for time series pp. 247-257
- Xiaofei Xu, Yan Liu and Masanobu Taniguchi
Volume 44, issue 1, 2023
- Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022 pp. 3-3
- Robert Taylor
- High‐dimensional sparse multivariate stochastic volatility models pp. 4-22
- Benjamin Poignard and Manabu Asai
- A prediction perspective on the Wiener–Hopf equations for time series pp. 23-42
- Suhasini Subba Rao and Junho Yang
- Peaks, gaps, and time‐reversibility of economic time series pp. 43-68
- Tommaso Proietti
- Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain pp. 69-92
- Cleiton Taufemback
- Seasonal count time series pp. 93-124
- Jiajie Kong and Robert Lund
- Student‐t stochastic volatility model with composite likelihood EM‐algorithm pp. 125-147
- Raanju R. Sundararajan and Wagner Barreto‐Souza
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