Economics at your fingertips  

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 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