Journal of Time Series Analysis
1980 - 2022
Current editor(s): M.B. Priestley From Wiley Blackwell Bibliographic data for series maintained by Wiley Content Delivery (). Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.
Volume 43, issue 3, 2022
- A new volatility model: GQARCH‐ItÔ model pp. 345-370

- Huiling Yuan, Yulei Sun, Lu Xu, Yong Zhou and Xiangyu Cui
- Asymmetric linear double autoregression pp. 371-388

- Songhua Tan and Qianqian Zhu
- Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods pp. 389-411

- Pierre Perron and Yohei Yamamoto
- On cointegration for processes integrated at different frequencies pp. 412-435

- Tomás del Barrio Castro, Gianluca Cubadda and Denise R. Osborn
- Stationarity and ergodicity of Markov switching positive conditional mean models pp. 436-459

- Abdelhakim Aknouche and Christian Francq
- Modeling normalcy‐dominant ordinal time series: An application to air quality level pp. 460-478

- Mengya Liu, Fukang Zhu and Ke Zhu
- The spectral analysis of the Hodrick–Prescott filter pp. 479-489

- Neslihan Sakarya and Robert M. de Jong
- A new GJR‐GARCH model for ℤ‐valued time series pp. 490-500

- Yue Xu and Fukang Zhu
- The factor analytical approach in trending near unit root panels pp. 501-508

- Joakim Westerlund, Milda Norkutė and Ovidijus Stauskas
Volume 43, issue 2, 2022
- Autoregressive density modeling with the Gaussian process mixture transition distribution pp. 157-177

- Matthew Heiner and Athanasios Kottas
- On causal and non‐causal cointegrated vector autoregressive time series pp. 178-196

- Anders Rygh Swensen
- Seasonal functional autoregressive models pp. 197-218

- Atefeh Zamani, Hossein Haghbin, Maryam Hashemi and Rob Hyndman
- A two‐step procedure for testing partial parameter stability in cointegrated regression models pp. 219-237

- Mohitosh Kejriwal, Pierre Perron and Xuewen Yu
- Maxima of linear processes with heavy‐tailed innovations and random coefficients pp. 238-262

- Danijel Krizmanić
- Regular multidimensional stationary time series pp. 263-284

- Tamás Szabados
- Generalized binary vector autoregressive processes pp. 285-311

- Carsten Jentsch and Lena Reichmann
- Variable length Markov chain with exogenous covariates pp. 312-328

- Adriano Zanin Zambom, Seonjin Kim and Nancy Lopes Garcia
- Autoregressive spectral estimates under ignored changes in the mean pp. 329-340

- Matei Demetrescu and Mehdi Hosseinkouchack
- TIME SERIES: A FIRST COURSE WITH BOOTSTRAP STARTER, by Tucker S.McElroy and Dimitris N.Politis. Published by CRC Press, 2020. 586 pp. ISBN: 9781439876510 pp. 341-342

- Alexander Aue
Volume 43, issue 1, 2022
- Editorial Announcement: Professor Michael McAleer pp. 3-3

- Robert Taylor
- Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2021 pp. 4-4

- Robert Taylor
- Periodic autoregressive conditional duration pp. 5-29

- Abdelhakim Aknouche, Bader Almohaimeed and Stefanos Dimitrakopoulos
- Wasserstein autoregressive models for density time series pp. 30-52

- Chao Zhang, Piotr Kokoszka and Alexander Petersen
- Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor pp. 53-82

- Yuping Song, Weijie Hou and Zhengyan Lin
- Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions pp. 83-104

- Karsten Schweikert
- State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data pp. 105-124

- Dohyun Chun and Donggyu Kim
- Generalized autoregressive moving average models with GARCH errors pp. 125-146

- Tingguo Zheng, Han Xiao and Rong Chen
- On the Relationship between Uhlig Extended and beta‐Bartlett Processes pp. 147-153

- Víctor Peña and Kaoru Irie
- Review of the book Stochastic Models for Time Series by Paul Doukhan pp. 154-154

- Efstathios Paparoditis
Volume 42, issue 5-6, 2021
- Preface to the Murray Rosenblatt memorial special issue of JTSA pp. 495-498

- Richard C. Bradley, Richard A. Davis and Dimitris N. Politis
- On some basic features of strictly stationary, reversible Markov chains pp. 499-533

- Richard C. Bradley
- Simultaneous inference for autocovariances based on autoregressive sieve bootstrap pp. 534-553

- Alexander Braumann, Jens‐Peter Kreiss and Marco Meyer
- Sparsity concepts and estimation procedures for high‐dimensional vector autoregressive models pp. 554-579

- Jonas Krampe and Efstathios Paparoditis
- Consistent autoregressive spectral estimates: Nonlinear time series and large autocovariance matrices pp. 580-596

- Jiang Wang and Dimitris N. Politis
- Spectral methods for small sample time series: A complete periodogram approach pp. 597-621

- Sourav Das, Suhasini Subba Rao and Junho Yang
- Extensions of Rosenblatt's results on the asymptotic behavior of the prediction error for deterministic stationary sequences pp. 622-652

- Nikolay M. Babayan, Mamikon S. Ginovyan and Murad S. Taqqu
- Indirect inference for time series using the empirical characteristic function and control variates pp. 653-684

- Richard A. Davis, Thiago do Rêgo Sousa and Claudia Klüppelberg
- Local Whittle estimation of long‐range dependence for functional time series pp. 685-695

- Degui Li, Peter M. Robinson and Han Lin Shang
- A local limit theorem for linear random fields pp. 696-710

- Timothy Fortune, Magda Peligrad and Hailin Sang
- On the Estimation of Periodicity or Almost Periodicity in Inhomogeneous Gamma Point‐Process Data pp. 711-736

- Rodrigo Saul Gaitan and Keh‐Shin Lii
- Integer‐valued asymmetric garch modeling pp. 737-751

- Xiaofei Hu and Beth Andrews
- Asymptotic theory for QMLE for the real‐time GARCH(1,1) model pp. 752-776

- Ekaterina Smetanina and Wei Biao Wu
- Aspects of non‐causal and non‐invertible CARMA processes pp. 777-790

- Peter J. Brockwell and Alexander Lindner
Volume 42, issue 4, 2021
- Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models pp. 377-405

- Paulo Parente and Richard J. Smith
- Threshold model with a time‐varying threshold based on Fourier approximation pp. 406-430

- Lixiong Yang, Chingnun Lee and I‐Po Chen
- Identifiability of structural singular vector autoregressive models pp. 431-441

- Bernd Funovits and Alexander Braumann
- Parsimonious time series modeling for high frequency climate data pp. 442-470

- Paul L. Anderson, Farzad Sabzikar and Mark M. Meerschaert
- Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models pp. 471-491

- Nan Li and Simon Sai Man Kwok
- Corrigendum to “A Generalised Fractional Differencing Bootstrap for Long Memory Processes” Journal of Time Series Analysis 40: 467‐492 (2019) DOI: 10.1111/jtsa.12460 pp. 492-492

- George Kapetanios, Fotis Papailias and Robert Taylor
Volume 42, issue 3, 2021
- Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models pp. 271-294

- Manabu Asai and Mike K. P. So
- Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models pp. 295-313

- Siegfried Hörmann and Gilles Nisol
- Asymptotic Behavior of Delay Times of Bubble Monitoring Tests pp. 314-337

- Eiji Kurozumi
- To infinity and beyond: Efficient computation of ARCH(∞) models pp. 338-354

- Morten Nielsen and Antoine Noël
- Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models pp. 355-371

- Adrian Pizzinga and Marcelo Fernandes
- Statistical foundations of data science by jianqing Fan, Runze Li, Chun‐Hui Zhang, Hui Zou. Published by Taylor & Francis Group. Total number of pages: 729. ISBN: 978‐1‐466‐51084‐5 pp. 372-373

- Weining Wang
Volume 42, issue 2, 2021
- Editorial Announcement pp. 139-139

- Robert Taylor
- Necessary and sufficient conditions for the identifiability of observation‐driven models pp. 140-160

- Randal Douc, François Roueff and Tepmony Sim
- Long range dependence for stable random processes pp. 161-185

- Vitalii Makogin, Marco Oesting, Albert Rapp and Evgeny Spodarev
- A Note on Efficient Fitting of Stochastic Volatility Models pp. 186-200

- Chen Gong and David S. Stoffer
- Estimating wold matrices and vector moving average processes pp. 201-221

- Jonas Krampe and Timothy L. McMurry
- Empirical likelihood test for the application of swqmele in fitting an arma‐garch model pp. 222-239

- Mo Zhou, Liang Peng and Rongmao Zhang
- A simple nearly unbiased estimator of cross‐covariances pp. 240-266

- Yifan Li and Yao Rao
Volume 42, issue 1, 2021
- Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2020 pp. 3-3

- Robert Taylor
- Robust empirical likelihood for time series pp. 4-18

- Kun Chen and Rui Huang
- Independent block identification in multivariate time series pp. 19-33

- Florencia Leonardi, Matías Lopez‐Rosenfeld, Daniela Rodriguez, Magno T. F. Severino and Mariela Sued
- Robust discrimination between long‐range dependence and a change in mean pp. 34-62

- Carina Gerstenberger
- A new approach for open‐end sequential change point monitoring pp. 63-84

- Josua Gösmann, Tobias Kley and Holger Dette
- Unit root testing with slowly varying trends pp. 85-106

- Sven Otto
- Mixtures of Nonlinear Poisson Autoregressions pp. 107-135

- Paul Doukhan, Konstantinos Fokianos and Joseph Rynkiewicz
| |