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Journal of Time Series Analysis

1980 - 2019

Current editor(s): M.B. Priestley

From Wiley Blackwell
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Volume 40, issue 01, 2019

Time‐Dependent Dual‐Frequency Coherence in Multivariate Non‐Stationary Time Series pp. 3-22 Downloads
Cristina Gorrostieta, Hernando Ombao and Rainer Von Sachs
Least Squares Bias in Time Series with Moderate Deviations from a Unit Root pp. 23-42 Downloads
Marian Z. Stoykov
Asymptotic Theory and Unified Confidence Region for an Autoregressive Model pp. 43-65 Downloads
Xiaohui Liu and Liang Peng
Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps pp. 66-101 Downloads
Yuping Song, Ying Chen and Zhouwei Wang
On the Sensitivity of Granger Causality to Errors‐In‐Variables, Linear Transformations and Subsampling pp. 102-123 Downloads
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 Downloads
Axel Bücher, Jean‐David Fermanian and Ivan Kojadinovic
Quasi‐Bayesian Estimation of Time‐Varying Volatility in DSGE Models pp. 151-157 Downloads
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 Downloads
Jiguo Cao

Volume 39, issue 11, 2018

Editorial Announcement pp. 813-813 Downloads
Robert Taylor
Special Issue of the Journal of Time Series Analysis In Honour of Professor Paul Newbold: Guest Editors' Introduction pp. 814-815 Downloads
Stephen Leybourne and Robert Taylor
Unit Root Testing with Unstable Volatility pp. 816-835 Downloads
Brendan K. Beare
Testing the CVAR in the Fractional CVAR Model pp. 836-849 Downloads
Søren Johansen and Morten Nielsen
Confidence Sets for the Date of a Structural Change at the End of a Sample pp. 850-862 Downloads
Eiji Kurozumi
Real‐Time Monitoring for Explosive Financial Bubbles pp. 863-891 Downloads
Sam Astill, David Harvey, Stephen J. Leybourne, Robert Sollis and Robert Taylor
Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity pp. 892-908 Downloads
Stelios Arvanitis and Tassos Magdalinos
Modeling the Interactions between Volatility and Returns using EGARCH‐M pp. 909-919 Downloads
Andrew Harvey and Rutger‐Jan Lange
The Fixed Volatility Bootstrap for a Class of Arch(q) Models pp. 920-941 Downloads
Giuseppe Cavaliere, Rasmus Søndergaard Pedersen and Anders Rahbek
Unit Root Testing in Multiple Smooth Break Models with Nonlinear Dynamics pp. 942-952 Downloads
Rickard Sandberg
On the Comparison of Interval Forecasts pp. 953-965 Downloads
Ross Askanazi, Francis X. Diebold, Frank Schorfheide and Minchul Shin
Change Detection and the Causal Impact of the Yield Curve pp. 966-987 Downloads
Shuping Shi, Peter C. B. Phillips and Stan Hurn

Volume 39, issue 09, 2018

Editorial, September 2018 pp. 639-639 Downloads
Robert Taylor
Tata Subba Rao, 1942–2018 pp. 640-640 Downloads
Granville Tunnicliffe Wilson
Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions pp. 641-664 Downloads
Stefan Bruder and Michael Wolf
Detecting Tail Risk Differences in Multivariate Time Series pp. 665-689 Downloads
Yannick Hoga
Prediction Interval for Autoregressive Time Series via Oracally Efficient Estimation of Multi‐Step‐Ahead Innovation Distribution Function pp. 690-708 Downloads
Juanjuan Kong, Lijie Gu and Lijian Yang
Tests for Comparing Time‐Invariant and Time‐Varying Spectra Based on the Pearson Statistic pp. 709-730 Downloads
Shibin Zhang and Xin M. Tu
Testing Separability of Functional Time Series pp. 731-747 Downloads
Panayiotis Constantinou, Piotr Kokoszka and Matthew Reimherr
A Time‐Symmetric Self‐Normalization Approach for Inference of Time Series pp. 748-762 Downloads
Liliya Lavitas and Ting Zhang
Change‐Point Detection in Autoregressive Models with no Moment Assumptions pp. 763-786 Downloads
Fumiya Akashi, Holger Dette and Yan Liu
Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation pp. 787-809 Downloads
Stefano Iacus, Lorenzo Mercuri and Edit Rroji

Volume 39, issue 07, 2018

Testing Normality of Functional Time Series pp. 471-487 Downloads
Tomasz Górecki, Siegfried Hörmann, Lajos Horváth and Piotr Kokoszka
A Powerful Test for Changing Trends in Time Series Models pp. 488-501 Downloads
Jilin Wu and Zhijie Xiao
Principal Components Analysis of Periodically Correlated Functional Time Series pp. 502-522 Downloads
Šukasz Kidziński, Piotr Kokoszka and Neda Mohammadi Jouzdani
Boundary Limit Theory for Functional Local to Unity Regression pp. 523-562 Downloads
Anna Bykhovskaya and Peter Phillips
Kernel Entropy Estimation for Linear Processes pp. 563-591 Downloads
Hailin Sang, Yongli Sang and Fangjun Xu
On Local Trigonometric Regression Under Dependence pp. 592-617 Downloads
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 Downloads
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 Downloads
Maria Antónia Amaral Turkman

Volume 39, issue 05, 2018

Editorial pp. 241-241 Downloads
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 Downloads
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 Downloads
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 Downloads
Hira L. Koul and Donatas Surgailis
Recursive Computation for Block†Nested Covariance Matrices pp. 299-312 Downloads
Tucker McElroy
Orthogonal Samples for Estimators in Time Series pp. 313-337 Downloads
Suhasini Subba Rao
Stationary subspace analysis of nonstationary processes pp. 338-355 Downloads
Raanju Ragavendar Sundararajan and Mohsen Pourahmadi
Extending the Range of Validity of the Autoregressive (Sieve) Bootstrap pp. 356-379 Downloads
Maria Fragkeskou and Efstathios Paparoditis
Non†Parametric Spectral Density Estimation Under Long†Range Dependence pp. 380-401 Downloads
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 Downloads
Yan Liu, Yurie Tamura and Masanobu Taniguchi
Robust Regression on Stationary Time Series: A Self†Normalized Resampling Approach pp. 417-432 Downloads
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 Downloads
Timothy L. McMurry and Dimitris N. Politis
Interval Estimation for a First†Order Positive Autoregressive Process pp. 447-467 Downloads
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 Downloads
Francesco Audrino and Lorenzo Camponovo
Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models pp. 129-149 Downloads
Liudas Giraitis, George Kapetanios and Tony Yates
Integer†Valued Autoregressive Models With Survival Probability Driven By A Stochastic Recurrence Equation pp. 150-171 Downloads
Paolo Gorgi
The Inverse Kullback–Leibler Method for Fitting Vector Moving Averages pp. 172-191 Downloads
Tucker McElroy and Anindya Roy
Negative Binomial Quasi†Likelihood Inference for General Integer†Valued Time Series Models pp. 192-211 Downloads
Abdelhakim Aknouche, Sara Bendjeddou and Nassim Touche
Square†Root LASSO for High†Dimensional Sparse Linear Systems with Weakly Dependent Errors pp. 212-238 Downloads
Fang Xie and Zhijie Xiao

Volume 39, issue 01, 2018

Editorial, January 2018 pp. 3-3 Downloads
Robert Taylor
Tests for the Equality of Two Processes' Spectral Densities with Unequal Lengths Using Wavelet Methods pp. 4-27 Downloads
Linyuan Li and Kewei Lu
Block Bootstrap for the Empirical Process of Long†Range Dependent Data pp. 28-53 Downloads
Johannes Tewes
A Simple Test for White Noise in Functional Time Series pp. 54-74 Downloads
Pramita Bagchi, Vaidotas Characiejus and Holger Dette
Fourier Analysis of Serial Dependence Measures pp. 75-89 Downloads
Ria Van Hecke, Stanislav Volgushev and Holger Dette
Robust Wilcoxon†Type Estimation of Change†Point Location Under Short†Range Dependence pp. 90-104 Downloads
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 Downloads
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 Downloads
Rebecca Killick
Page updated 2018-12-18