Journal of Time Series Analysis

1980 - 2019

Current editor(s): M.B. Priestley

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Volume 40, issue 01, 2019

Time‐Dependent Dual‐Frequency Coherence in Multivariate Non‐Stationary Time Series pp. 3-22

Cristina Gorrostieta, Hernando Ombao and Rainer Von Sachs

Least Squares Bias in Time Series with Moderate Deviations from a Unit Root pp. 23-42

Marian Z. Stoykov

Asymptotic Theory and Unified Confidence Region for an Autoregressive Model pp. 43-65

Xiaohui Liu and Liang Peng

Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps pp. 66-101

Yuping Song, Ying Chen and Zhouwei Wang

On the Sensitivity of Granger Causality to Errors‐In‐Variables, Linear Transformations and Subsampling pp. 102-123

Brian D.O. Anderson, Manfred Deistler and Jean‐Marie Dufour

Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series pp. 124-150

Axel Bücher, Jean‐David Fermanian and Ivan Kojadinovic

Quasi‐Bayesian Estimation of Time‐Varying Volatility in DSGE Models pp. 151-157

Katerina Petrova

Dynamic Data Analysis, by James Ramsay and Giles Hooker. Published by Springer, New York, USA, 2017. Total number of pages: 230. ISSN: 0172‐7397 pp. 158-159

Jiguo Cao

Volume 39, issue 11, 2018

Editorial Announcement pp. 813-813

Robert Taylor

Special Issue of the Journal of Time Series Analysis In Honour of Professor Paul Newbold: Guest Editors' Introduction pp. 814-815

Stephen Leybourne and Robert Taylor

Unit Root Testing with Unstable Volatility pp. 816-835

Brendan K. Beare

Testing the CVAR in the Fractional CVAR Model pp. 836-849

Søren Johansen and Morten Nielsen

Confidence Sets for the Date of a Structural Change at the End of a Sample pp. 850-862

Eiji Kurozumi

Real‐Time Monitoring for Explosive Financial Bubbles pp. 863-891

Sam Astill, David Harvey, Stephen J. Leybourne, Robert Sollis and Robert Taylor

Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity pp. 892-908

Stelios Arvanitis and Tassos Magdalinos

Modeling the Interactions between Volatility and Returns using EGARCH‐M pp. 909-919

Andrew Harvey and Rutger‐Jan Lange

The Fixed Volatility Bootstrap for a Class of Arch(q) Models pp. 920-941

Giuseppe Cavaliere, Rasmus Søndergaard Pedersen and Anders Rahbek

Unit Root Testing in Multiple Smooth Break Models with Nonlinear Dynamics pp. 942-952

Rickard Sandberg

On the Comparison of Interval Forecasts pp. 953-965

Ross Askanazi, Francis X. Diebold, Frank Schorfheide and Minchul Shin

Change Detection and the Causal Impact of the Yield Curve pp. 966-987

Shuping Shi, Peter C. B. Phillips and Stan Hurn

Volume 39, issue 09, 2018

Editorial, September 2018 pp. 639-639

Robert Taylor

Tata Subba Rao, 1942–2018 pp. 640-640

Granville Tunnicliffe Wilson

Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions pp. 641-664

Stefan Bruder and Michael Wolf

Detecting Tail Risk Differences in Multivariate Time Series pp. 665-689

Yannick Hoga

Prediction Interval for Autoregressive Time Series via Oracally Efficient Estimation of Multi‐Step‐Ahead Innovation Distribution Function pp. 690-708

Juanjuan Kong, Lijie Gu and Lijian Yang

Tests for Comparing Time‐Invariant and Time‐Varying Spectra Based on the Pearson Statistic pp. 709-730

Shibin Zhang and Xin M. Tu

Testing Separability of Functional Time Series pp. 731-747

Panayiotis Constantinou, Piotr Kokoszka and Matthew Reimherr

A Time‐Symmetric Self‐Normalization Approach for Inference of Time Series pp. 748-762

Liliya Lavitas and Ting Zhang

Change‐Point Detection in Autoregressive Models with no Moment Assumptions pp. 763-786

Fumiya Akashi, Holger Dette and Yan Liu

Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation pp. 787-809

Stefano Iacus, Lorenzo Mercuri and Edit Rroji

Volume 39, issue 07, 2018

Testing Normality of Functional Time Series pp. 471-487

Tomasz Górecki, Siegfried Hörmann, Lajos Horváth and Piotr Kokoszka

A Powerful Test for Changing Trends in Time Series Models pp. 488-501

Jilin Wu and Zhijie Xiao

Principal Components Analysis of Periodically Correlated Functional Time Series pp. 502-522

Šukasz Kidziński, Piotr Kokoszka and Neda Mohammadi Jouzdani

Boundary Limit Theory for Functional Local to Unity Regression pp. 523-562

Anna Bykhovskaya and Peter Phillips

Kernel Entropy Estimation for Linear Processes pp. 563-591

Hailin Sang, Yongli Sang and Fangjun Xu

On Local Trigonometric Regression Under Dependence pp. 592-617

Jan Beran, Britta Steffens and Sucharita Ghosh

A Frequency†Domain Test to Check Equality in Spectral Densities of Multiple Time Series With Unequal Lengths pp. 618-633

Lei Jin

Statistical Intervals: A Guide for Practitioners and Researchers, Second Edition, by William Q. Meeker, Gerald J. Hahn, and Louis A. Escobar. Wiley Series in Probability and Statistics, Published by John Wiley & Sons, 2017. Total number of pages: 35+592. ISBN: 978†0†4716†8717†7 pp. 634-635

Maria Antónia Amaral Turkman

Volume 39, issue 05, 2018

Editorial pp. 241-241

Soumendra N. Lahiri, Dimitris N. Politis and Peter M. Robinson

On Wigner–Ville Spectra and the Uniqueness of Time†Varying Copula†Based Spectral Densities pp. 242-250

Stefan Birr, Holger Dette, Marc Hallin, Tobias Kley and Stanislav Volgushev

Semi†Parametric Estimation for Non†Gaussian Non†Minimum Phase ARMA Models pp. 251-272

Richard A. Davis and Jing Zhang

Asymptotic Distributions of Some Scale Estimators in Nonlinear Models With Long Memory Errors Having Infinite Variance pp. 273-298

Hira L. Koul and Donatas Surgailis

Recursive Computation for Block†Nested Covariance Matrices pp. 299-312

Tucker McElroy

Orthogonal Samples for Estimators in Time Series pp. 313-337

Suhasini Subba Rao

Stationary subspace analysis of nonstationary processes pp. 338-355

Raanju Ragavendar Sundararajan and Mohsen Pourahmadi

Extending the Range of Validity of the Autoregressive (Sieve) Bootstrap pp. 356-379

Maria Fragkeskou and Efstathios Paparoditis

Non†Parametric Spectral Density Estimation Under Long†Range Dependence pp. 380-401

Young Min Kim, Soumendra N. Lahiri and Daniel J. Nordman

Asymptotic Theory of Test Statistic for Sphericity of High†Dimensional Time Series pp. 402-416

Yan Liu, Yurie Tamura and Masanobu Taniguchi

Robust Regression on Stationary Time Series: A Self†Normalized Resampling Approach pp. 417-432

Fumiya Akashi, Shuyang Bai and Murad S. Taqqu

Estimating MA Parameters through Factorization of the Autocovariance Matrix and an MA†Sieve Bootstrap pp. 433-446

Timothy L. McMurry and Dimitris N. Politis

Interval Estimation for a First†Order Positive Autoregressive Process pp. 447-467

Wei†Cheng Hsiao, Hao†Yun Huang and Ching†Kang Ing

Volume 39, issue 03, 2018

Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M†Estimators pp. 111-128

Francesco Audrino and Lorenzo Camponovo

Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models pp. 129-149

Liudas Giraitis, George Kapetanios and Tony Yates

Integer†Valued Autoregressive Models With Survival Probability Driven By A Stochastic Recurrence Equation pp. 150-171

Paolo Gorgi

The Inverse Kullback–Leibler Method for Fitting Vector Moving Averages pp. 172-191

Tucker McElroy and Anindya Roy

Negative Binomial Quasi†Likelihood Inference for General Integer†Valued Time Series Models pp. 192-211

Abdelhakim Aknouche, Sara Bendjeddou and Nassim Touche

Square†Root LASSO for High†Dimensional Sparse Linear Systems with Weakly Dependent Errors pp. 212-238

Fang Xie and Zhijie Xiao

Volume 39, issue 01, 2018

Editorial, January 2018 pp. 3-3

Robert Taylor

Tests for the Equality of Two Processes' Spectral Densities with Unequal Lengths Using Wavelet Methods pp. 4-27

Linyuan Li and Kewei Lu

Block Bootstrap for the Empirical Process of Long†Range Dependent Data pp. 28-53

Johannes Tewes

A Simple Test for White Noise in Functional Time Series pp. 54-74

Pramita Bagchi, Vaidotas Characiejus and Holger Dette

Fourier Analysis of Serial Dependence Measures pp. 75-89

Ria Van Hecke, Stanislav Volgushev and Holger Dette

Robust Wilcoxon†Type Estimation of Change†Point Location Under Short†Range Dependence pp. 90-104

Carina Gerstenberger

Hidden Markov Models for Time Series: An Introduction Using R, 2nd Edition, by Walter Zucchini, Iain L. Macdonald, and Roland Langrock. Monographs on Statistics and Applied Probability 150, Published by CRC Press, 2016. Total number of pages: 28+370. ISBN: 978†1†4822†5383†2 (Hardback) pp. 105-106

Zudi Lu

Applied Time Series Analysis With R, Second Edition by Wayne A. Woodward, Henry L. Gray, and Alan C. Elliott (eds). Published by CRC Press, 2017. Total number of pages: 618. ISBN: 9781498734226 pp. 107-107

Rebecca Killick