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Journal of Time Series Analysis

1980 - 2022

Current editor(s): M.B. Priestley

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Volume 43, issue 3, 2022

A new volatility model: GQARCH‐ItÔ model pp. 345-370 Downloads
Huiling Yuan, Yulei Sun, Lu Xu, Yong Zhou and Xiangyu Cui
Asymmetric linear double autoregression pp. 371-388 Downloads
Songhua Tan and Qianqian Zhu
Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods pp. 389-411 Downloads
Pierre Perron and Yohei Yamamoto
On cointegration for processes integrated at different frequencies pp. 412-435 Downloads
Tomás del Barrio Castro, Gianluca Cubadda and Denise R. Osborn
Stationarity and ergodicity of Markov switching positive conditional mean models pp. 436-459 Downloads
Abdelhakim Aknouche and Christian Francq
Modeling normalcy‐dominant ordinal time series: An application to air quality level pp. 460-478 Downloads
Mengya Liu, Fukang Zhu and Ke Zhu
The spectral analysis of the Hodrick–Prescott filter pp. 479-489 Downloads
Neslihan Sakarya and Robert M. de Jong
A new GJR‐GARCH model for ℤ‐valued time series pp. 490-500 Downloads
Yue Xu and Fukang Zhu
The factor analytical approach in trending near unit root panels pp. 501-508 Downloads
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 Downloads
Matthew Heiner and Athanasios Kottas
On causal and non‐causal cointegrated vector autoregressive time series pp. 178-196 Downloads
Anders Rygh Swensen
Seasonal functional autoregressive models pp. 197-218 Downloads
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 Downloads
Mohitosh Kejriwal, Pierre Perron and Xuewen Yu
Maxima of linear processes with heavy‐tailed innovations and random coefficients pp. 238-262 Downloads
Danijel Krizmanić
Regular multidimensional stationary time series pp. 263-284 Downloads
Tamás Szabados
Generalized binary vector autoregressive processes pp. 285-311 Downloads
Carsten Jentsch and Lena Reichmann
Variable length Markov chain with exogenous covariates pp. 312-328 Downloads
Adriano Zanin Zambom, Seonjin Kim and Nancy Lopes Garcia
Autoregressive spectral estimates under ignored changes in the mean pp. 329-340 Downloads
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 Downloads
Alexander Aue

Volume 43, issue 1, 2022

Editorial Announcement: Professor Michael McAleer pp. 3-3 Downloads
Robert Taylor
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2021 pp. 4-4 Downloads
Robert Taylor
Periodic autoregressive conditional duration pp. 5-29 Downloads
Abdelhakim Aknouche, Bader Almohaimeed and Stefanos Dimitrakopoulos
Wasserstein autoregressive models for density time series pp. 30-52 Downloads
Chao Zhang, Piotr Kokoszka and Alexander Petersen
Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor pp. 53-82 Downloads
Yuping Song, Weijie Hou and Zhengyan Lin
Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions pp. 83-104 Downloads
Karsten Schweikert
State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data pp. 105-124 Downloads
Dohyun Chun and Donggyu Kim
Generalized autoregressive moving average models with GARCH errors pp. 125-146 Downloads
Tingguo Zheng, Han Xiao and Rong Chen
On the Relationship between Uhlig Extended and beta‐Bartlett Processes pp. 147-153 Downloads
Víctor Peña and Kaoru Irie
Review of the book Stochastic Models for Time Series by Paul Doukhan pp. 154-154 Downloads
Efstathios Paparoditis

Volume 42, issue 5-6, 2021

Preface to the Murray Rosenblatt memorial special issue of JTSA pp. 495-498 Downloads
Richard C. Bradley, Richard A. Davis and Dimitris N. Politis
On some basic features of strictly stationary, reversible Markov chains pp. 499-533 Downloads
Richard C. Bradley
Simultaneous inference for autocovariances based on autoregressive sieve bootstrap pp. 534-553 Downloads
Alexander Braumann, Jens‐Peter Kreiss and Marco Meyer
Sparsity concepts and estimation procedures for high‐dimensional vector autoregressive models pp. 554-579 Downloads
Jonas Krampe and Efstathios Paparoditis
Consistent autoregressive spectral estimates: Nonlinear time series and large autocovariance matrices pp. 580-596 Downloads
Jiang Wang and Dimitris N. Politis
Spectral methods for small sample time series: A complete periodogram approach pp. 597-621 Downloads
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 Downloads
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 Downloads
Richard A. Davis, Thiago do Rêgo Sousa and Claudia Klüppelberg
Local Whittle estimation of long‐range dependence for functional time series pp. 685-695 Downloads
Degui Li, Peter M. Robinson and Han Lin Shang
A local limit theorem for linear random fields pp. 696-710 Downloads
Timothy Fortune, Magda Peligrad and Hailin Sang
On the Estimation of Periodicity or Almost Periodicity in Inhomogeneous Gamma Point‐Process Data pp. 711-736 Downloads
Rodrigo Saul Gaitan and Keh‐Shin Lii
Integer‐valued asymmetric garch modeling pp. 737-751 Downloads
Xiaofei Hu and Beth Andrews
Asymptotic theory for QMLE for the real‐time GARCH(1,1) model pp. 752-776 Downloads
Ekaterina Smetanina and Wei Biao Wu
Aspects of non‐causal and non‐invertible CARMA processes pp. 777-790 Downloads
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 Downloads
Paulo Parente and Richard J. Smith
Threshold model with a time‐varying threshold based on Fourier approximation pp. 406-430 Downloads
Lixiong Yang, Chingnun Lee and I‐Po Chen
Identifiability of structural singular vector autoregressive models pp. 431-441 Downloads
Bernd Funovits and Alexander Braumann
Parsimonious time series modeling for high frequency climate data pp. 442-470 Downloads
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 Downloads
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 Downloads
George Kapetanios, Fotis Papailias and Robert Taylor

Volume 42, issue 3, 2021

Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models pp. 271-294 Downloads
Manabu Asai and Mike K. P. So
Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models pp. 295-313 Downloads
Siegfried Hörmann and Gilles Nisol
Asymptotic Behavior of Delay Times of Bubble Monitoring Tests pp. 314-337 Downloads
Eiji Kurozumi
To infinity and beyond: Efficient computation of ARCH(∞) models pp. 338-354 Downloads
Morten Nielsen and Antoine Noël
Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models pp. 355-371 Downloads
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 Downloads
Weining Wang

Volume 42, issue 2, 2021

Editorial Announcement pp. 139-139 Downloads
Robert Taylor
Necessary and sufficient conditions for the identifiability of observation‐driven models pp. 140-160 Downloads
Randal Douc, François Roueff and Tepmony Sim
Long range dependence for stable random processes pp. 161-185 Downloads
Vitalii Makogin, Marco Oesting, Albert Rapp and Evgeny Spodarev
A Note on Efficient Fitting of Stochastic Volatility Models pp. 186-200 Downloads
Chen Gong and David S. Stoffer
Estimating wold matrices and vector moving average processes pp. 201-221 Downloads
Jonas Krampe and Timothy L. McMurry
Empirical likelihood test for the application of swqmele in fitting an arma‐garch model pp. 222-239 Downloads
Mo Zhou, Liang Peng and Rongmao Zhang
A simple nearly unbiased estimator of cross‐covariances pp. 240-266 Downloads
Yifan Li and Yao Rao

Volume 42, issue 1, 2021

Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2020 pp. 3-3 Downloads
Robert Taylor
Robust empirical likelihood for time series pp. 4-18 Downloads
Kun Chen and Rui Huang
Independent block identification in multivariate time series pp. 19-33 Downloads
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 Downloads
Carina Gerstenberger
A new approach for open‐end sequential change point monitoring pp. 63-84 Downloads
Josua Gösmann, Tobias Kley and Holger Dette
Unit root testing with slowly varying trends pp. 85-106 Downloads
Sven Otto
Mixtures of Nonlinear Poisson Autoregressions pp. 107-135 Downloads
Paul Doukhan, Konstantinos Fokianos and Joseph Rynkiewicz
Page updated 2022-05-26