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Journal of Time Series Analysis

1980 - 2023

Current editor(s): M.B. Priestley

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Volume 44, issue 5-6, 2023

Editorial Announcement pp. 439-439 Downloads
Robert Taylor
Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi pp. 440-441 Downloads
Marc Hallin, Yoshihide Kakizawa and Hira Koul
Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors pp. 442-473 Downloads
Monika Bhattacharjee, Nilanjan Chakraborty and Hira L. Koul
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates pp. 474-486 Downloads
Shan Dai and Ngai Hang Chan
Clustering multivariate time series using energy distance pp. 487-504 Downloads
Richard A. Davis, Leon Fernandes and Konstantinos Fokianos
Detecting relevant changes in the spatiotemporal mean function pp. 505-532 Downloads
Holger Dette and Pascal Quanz
Optimal estimating function for weak location‐scale dynamic models pp. 533-555 Downloads
Christian Francq and Jean‐Michel Zakoïan
Estimation on unevenly spaced time series pp. 556-577 Downloads
Liudas Giraitis and Fulvia Marotta
Factor models for high‐dimensional functional time series I: Representation results pp. 578-600 Downloads
Marc Hallin, Gilles Nisol and Shahin Tavakoli
Factor models for high‐dimensional functional time series II: Estimation and forecasting pp. 601-621 Downloads
Shahin Tavakoli, Gilles Nisol and Marc Hallin
Testing for symmetric correlation matrices with applications to factor models pp. 622-643 Downloads
Nan‐Jung Hsu, Lai Heng Sim and Ruey S. Tsay
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test pp. 644-666 Downloads
Sangyeol Lee and Minyoung Jo
A testing approach to clustering scalar time series pp. 667-685 Downloads
Daniel Peña and Ruey S. Tsay
Some recent trends in embeddings of time series and dynamic networks pp. 686-709 Downloads
Dag Tjøstheim, Martin Jullum and Anders Løland

Volume 44, issue 4, 2023

Editorial announcement pp. 335-335 Downloads
Robert Taylor
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor pp. 336-336 Downloads
Torben Andersen, Kim Christensen and Ingmar Nolte
On highly skewed fractional log‐stable noise sequences and their application pp. 337-358 Downloads
Harry Pavlopoulos and George Chronis
On the asymptotic behavior of bubble date estimators pp. 359-373 Downloads
Eiji Kurozumi and Anton Skrobotov
Regime switching models for circular and linear time series pp. 374-392 Downloads
Andrew Harvey and Dario Palumbo
Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series pp. 393-417 Downloads
Abdelhakim Aknouche and Stefanos Dimitrakopoulos
Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors pp. 418-436 Downloads
Xiaoyan Li, Jiazhu Pan and Anchao Song

Volume 44, issue 3, 2023

Volatility models for stylized facts of high‐frequency financial data pp. 262-279 Downloads
Donggyu Kim and Minseok Shin
Tempered functional time series pp. 280-293 Downloads
Farzad Sabzikar and Piotr Kokoszka
A nonparametric predictive regression model using partitioning estimators based on Taylor expansions pp. 294-318 Downloads
Jose Olmo
System identification using autoregressive Bayesian neural networks with nonparametric noise models pp. 319-330 Downloads
Christos Merkatas and Simo Särkkä
Corrigendum to the article “Regular multidimensional stationary time series” pp. 331-332 Downloads
Tamás Szabados

Volume 44, issue 2, 2023

Dynamic deconvolution and identification of independent autoregressive sources pp. 151-180 Downloads
Christian Gourieroux and Joann Jasiak
Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments pp. 181-205 Downloads
David I. Harvey, Stephen J. Leybourne and Yang Zu
Flexible bivariate INGARCH process with a broad range of contemporaneous correlation pp. 206-222 Downloads
Luiza S. C. Piancastelli, Wagner Barreto‐Souza and Hernando Ombao
Directed graphs and variable selection in large vector autoregressive models pp. 223-246 Downloads
Dominik Bertsche, Ralf Brüggemann and Christian Kascha
Higher‐order asymptotics of minimax estimators for time series pp. 247-257 Downloads
Xiaofei Xu, Yan Liu and Masanobu Taniguchi

Volume 44, issue 1, 2023

Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022 pp. 3-3 Downloads
Robert Taylor
High‐dimensional sparse multivariate stochastic volatility models pp. 4-22 Downloads
Benjamin Poignard and Manabu Asai
A prediction perspective on the Wiener–Hopf equations for time series pp. 23-42 Downloads
Suhasini Subba Rao and Junho Yang
Peaks, gaps, and time‐reversibility of economic time series pp. 43-68 Downloads
Tommaso Proietti
Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain pp. 69-92 Downloads
Cleiton Taufemback
Seasonal count time series pp. 93-124 Downloads
Jiajie Kong and Robert Lund
Student‐t stochastic volatility model with composite likelihood EM‐algorithm pp. 125-147 Downloads
Raanju R. Sundararajan and Wagner Barreto‐Souza

Volume 43, issue 6, 2022

A non‐parametric test for multi‐variate trend functions pp. 856-871 Downloads
Erhua Zhang, Xiaojun Song and Jilin Wu
Inference in functional factor models with applications to yield curves pp. 872-894 Downloads
Lajos Horvath, Piotr Kokoszka, Jeremy VanderDoes and Shixuan Wang
Trend locally stationary wavelet processes pp. 895-917 Downloads
Euan T. McGonigle, Rebecca Killick and Matthew A. Nunes
Autoregressive mixture models for clustering time series pp. 918-937 Downloads
Benny Ren and Ian Barnett
Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model pp. 938-963 Downloads
Xuanling Yang and Dong Li
Portmanteau test for a class of multivariate asymmetric power GARCH model pp. 964-1002 Downloads
Yacouba Boubacar Maïnassara, Othman Kadmiri and Bruno Saussereau

Volume 43, issue 5, 2022

Testing the volatility jumps based on the high frequency data pp. 669-694 Downloads
Guangying Liu, Meiyao Liu and Jinguan Lin
Rank test of unit‐root hypothesis with AR‐GARCH errors pp. 695-719 Downloads
Guili Liao, Qimeng Liu, Rongmao Zhang and Shifang Zhang
Estimation and inference in adaptive learning models with slowly decreasing gains pp. 720-749 Downloads
Alexander Mayer
Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model pp. 750-780 Downloads
Sebastian Mentemeier and Olivier Wintenberger
Permutation testing for dependence in time series pp. 781-807 Downloads
Joseph P. Romano and Marius A. Tirlea
A new non‐parametric cross‐spectrum estimator pp. 808-827 Downloads
Evangelos E. Ioannidis
Johansen‐type cointegration tests with a Fourier function pp. 828-852 Downloads
Razvan Pascalau, Junsoo Lee, Saban Nazlioglu and Yan (Olivia) Lu

Volume 43, issue 4, 2022

Simultaneous variable selection and structural identification for time‐varying coefficient models pp. 511-531 Downloads
Ngai Hang Chan, Linhao Gao and Wilfredo Palma
Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations pp. 532-557 Downloads
Ricardo P. Masini, Marcelo C. Medeiros and Eduardo F. Mendes
Misspecified semiparametric model selection with weakly dependent observations pp. 558-586 Downloads
Francesco Bravo
Long‐term prediction intervals with many covariates pp. 587-609 Downloads
Sayar Karmakar, Marek Chudý and Wei Biao Wu
Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes pp. 610-639 Downloads
Yanfeng Wu, Jianqiang Hu and Xiangyu Yang
Conditional quantile analysis for realized GARCH models pp. 640-665 Downloads
Donggyu Kim, Minseog Oh and Yazhen Wang

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 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
Page updated 2023-09-29