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Journal of Time Series Analysis

1980 - 2024

Current editor(s): M.B. Priestley

From Wiley Blackwell
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Volume 45, issue 5, 2024

Transformed‐Linear Models for Time Series Extremes pp. 671-690 Downloads
Nehali Mhatre and Daniel Cooley
Consistency of averaged impulse response estimators in vector autoregressive models pp. 691-713 Downloads
Jan Lohmeyer, Franz Palm and Jean‐Pierre Urbain
Statistical analysis of irregularly spaced spatial data in frequency domain pp. 714-738 Downloads
Shibin Zhang
On distributional autoregression and iterated transportation pp. 739-770 Downloads
Laya Ghodrati and Victor M. Panaretos
Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients pp. 771-799 Downloads
Francesco Giordano, Marcella Niglio and Maria Lucia Parrella
Bootstrap prediction inference of nonlinear autoregressive models pp. 800-822 Downloads
Kejin Wu and Dimitris N. Politis
Inference in Coarsened Time Series via Generalized Method of Moments pp. 823-846 Downloads
Man Fai Ip and Kin Wai Chan
A residual‐based nonparametric variance ratio no‐cointegration test pp. 847-856 Downloads
Karsten Reichold

Volume 45, issue 4, 2024

Test of change point versus long‐range dependence in functional time series pp. 497-512 Downloads
Changryong Baek, Piotr Kokoszka and Xiangdong Meng
Non‐crossing quantile double‐autoregression for the analysis of streaming time series data pp. 513-532 Downloads
Rong Jiang, Siu Kai Choy and Keming Yu
High‐Frequency‐Based Volatility Model with Network Structure pp. 533-557 Downloads
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 Downloads
Yuping Song, Min Zhu and Jiawei Qiu
Count network autoregression pp. 584-612 Downloads
Mirko Armillotta and Konstantinos Fokianos
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility pp. 613-638 Downloads
Jin Yu Fu, Jin Guan Lin, Guangying Liu and Hong Xia Hao
Time Series Quantile Regression Using Random Forests pp. 639-659 Downloads
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 Downloads
Vladimir Andric and Sanja Nenadovic

Volume 45, issue 3, 2024

Stationary Jackknife pp. 333-360 Downloads
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 Downloads
Andreas Anastasiou and Tobias Kley
On vector linear double autoregression pp. 376-397 Downloads
Yuchang Lin and Qianqian Zhu
Additive autoregressive models for matrix valued time series pp. 398-420 Downloads
Hong‐Fan Zhang
Local Whittle estimation with (quasi‐)analytic wavelets pp. 421-443 Downloads
Sophie Achard and Irène Gannaz
Granger causality tests based on reduced variable information pp. 444-462 Downloads
Neng‐Fang Tseng, Ying‐Chao Hung and Junji Nakano
Smooth transition moving average models: Estimation, testing, and computation pp. 463-478 Downloads
Xinyu Zhang and Dong Li
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm pp. 479-494 Downloads
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 Downloads
Robert Taylor
Portmanteau tests for periodic ARMA models with dependent errors pp. 164-188 Downloads
Y. Boubacar Maïnassara and A. Ilmi Amir
Nonlinear kernel mode‐based regression for dependent data pp. 189-213 Downloads
Tao Wang
Correcting the bias of the sample cross‐covariance estimator pp. 214-247 Downloads
Yifan Li
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models pp. 248-268 Downloads
Søren Johansen and Anders Rygh Swensen
Margin‐closed vector autoregressive time series models pp. 269-297 Downloads
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 Downloads
Simos Meintanis, Bojana Milošević, Marko Obradović and Mirjana Veljović
Functional principal component analysis for cointegrated functional time series pp. 320-330 Downloads
Won‐Ki Seo

Volume 44, issue 5-6, 2023

Editorial Announcement pp. 439-439 Downloads
Robert Taylor
Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi pp. 440-441 Downloads
Marc Hallin, Yoshihide Kakizawa and Hira Koul
Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors pp. 442-473 Downloads
Monika Bhattacharjee, Nilanjan Chakraborty and Hira L. Koul
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates pp. 474-486 Downloads
Shan Dai and Ngai Hang Chan
Clustering multivariate time series using energy distance pp. 487-504 Downloads
Richard A. Davis, Leon Fernandes and Konstantinos Fokianos
Detecting relevant changes in the spatiotemporal mean function pp. 505-532 Downloads
Holger Dette and Pascal Quanz
Optimal estimating function for weak location‐scale dynamic models pp. 533-555 Downloads
Christian Francq and Jean‐Michel Zakoïan
Estimation on unevenly spaced time series pp. 556-577 Downloads
Liudas Giraitis and Fulvia Marotta
Factor models for high‐dimensional functional time series I: Representation results pp. 578-600 Downloads
Marc Hallin, Gilles Nisol and Shahin Tavakoli
Factor models for high‐dimensional functional time series II: Estimation and forecasting pp. 601-621 Downloads
Shahin Tavakoli, Gilles Nisol and Marc Hallin
Testing for symmetric correlation matrices with applications to factor models pp. 622-643 Downloads
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 Downloads
Sangyeol Lee and Minyoung Jo
A testing approach to clustering scalar time series pp. 667-685 Downloads
Daniel Peña and Ruey S. Tsay
Some recent trends in embeddings of time series and dynamic networks pp. 686-709 Downloads
Dag Tjøstheim, Martin Jullum and Anders Løland

Volume 44, issue 4, 2023

Editorial announcement pp. 335-335 Downloads
Robert Taylor
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor pp. 336-336 Downloads
Torben Andersen, Kim Christensen and Ingmar Nolte
On highly skewed fractional log‐stable noise sequences and their application pp. 337-358 Downloads
Harry Pavlopoulos and George Chronis
On the asymptotic behavior of bubble date estimators pp. 359-373 Downloads
Eiji Kurozumi and Anton Skrobotov
Regime switching models for circular and linear time series pp. 374-392 Downloads
Andrew Harvey and Dario Palumbo
Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series pp. 393-417 Downloads
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 Downloads
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 Downloads
Donggyu Kim and Minseok Shin
Tempered functional time series pp. 280-293 Downloads
Farzad Sabzikar and Piotr Kokoszka
A nonparametric predictive regression model using partitioning estimators based on Taylor expansions pp. 294-318 Downloads
Jose Olmo
System identification using autoregressive Bayesian neural networks with nonparametric noise models pp. 319-330 Downloads
Christos Merkatas and Simo Särkkä
Corrigendum to the article “Regular multidimensional stationary time series” pp. 331-332 Downloads
Tamás Szabados

Volume 44, issue 2, 2023

Dynamic deconvolution and identification of independent autoregressive sources pp. 151-180 Downloads
Christian Gourieroux and Joann Jasiak
Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments pp. 181-205 Downloads
David I. Harvey, Stephen J. Leybourne and Yang Zu
Flexible bivariate INGARCH process with a broad range of contemporaneous correlation pp. 206-222 Downloads
Luiza S. C. Piancastelli, Wagner Barreto‐Souza and Hernando Ombao
Directed graphs and variable selection in large vector autoregressive models pp. 223-246 Downloads
Dominik Bertsche, Ralf Brüggemann and Christian Kascha
Higher‐order asymptotics of minimax estimators for time series pp. 247-257 Downloads
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 Downloads
Robert Taylor
High‐dimensional sparse multivariate stochastic volatility models pp. 4-22 Downloads
Benjamin Poignard and Manabu Asai
A prediction perspective on the Wiener–Hopf equations for time series pp. 23-42 Downloads
Suhasini Subba Rao and Junho Yang
Peaks, gaps, and time‐reversibility of economic time series pp. 43-68 Downloads
Tommaso Proietti
Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain pp. 69-92 Downloads
Cleiton Taufemback
Seasonal count time series pp. 93-124 Downloads
Jiajie Kong and Robert Lund
Student‐t stochastic volatility model with composite likelihood EM‐algorithm pp. 125-147 Downloads
Raanju R. Sundararajan and Wagner Barreto‐Souza
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