Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Volume 46, issue 5, 2025

Editorial Announcement: Addendum to Journal of Time Series Analysis Distinguished Authors 2023 pp. 809-809

Robert Taylor

Editorial Announcement pp. 810-810

Robert Taylor

Recent Developments in Time‐Series Methods for Detecting Bubbles and Crashes: Guest Editors' Introduction pp. 811-813

David I. Harvey and Stephen J. Leybourne

Speculative Bubbles in the Recent AI Boom: Nasdaq and the Magnificent Seven pp. 814-828

Rerotlhe B. Basele, Peter C. B. Phillips and Shuping Shi

Sequential Detector Statistics for Speculative Bubbles pp. 829-845

Jörg Breitung and Max Diegel

A new heteroskedasticity‐robust test for explosive bubbles pp. 846-866

David I. Harvey, Stephen J. Leybourne, A. M. Robert Taylor and Yang Zu

An Improved Procedure for Retrospectively Dating the Emergence and Collapse of Bubbles pp. 867-883

Mohitosh Kejriwal, Linh Nguyen and Pierre Perron

Bubbles and crashes: A tale of quantiles pp. 884-907

Efthymios G. Pavlidis

Quantile analysis for financial bubble detection and surveillance pp. 908-931

Ruike Wu, Shuping Shi and Jilin Wu

A Stochastic Tree for Bubble Asset Modelling and Pricing pp. 932-944

Christian Gourieroux and Joann Jasiak

Testing for a bubble with a stochastically varying explosive coefficient pp. 945-965

Eiji Kurozumi and Mikihito Nishi

A Novel Test for the Presence of Local Explosive Dynamics pp. 966-980

F. Blasques, S. J. Koopman, G. Mingoli and Sean Telg

Sequential Monitoring for Changes in GARCH(1,1) Models Without Assuming Stationarity pp. 981-996

Lajos Horváth, Lorenzo Trapani and Shixuan Wang

Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process pp. 997-1023

Katsuto Tanaka, Weilin Xiao and Jun Yu

Volume 46, issue 4, 2025

On buffered moving average models pp. 599-622

Yipeng Zhuang, Dong Li, Philip L. H. Yu and Wai Keung Li

Simultaneous inference of a partially linear model in time series pp. 623-646

Jiaqi Li, Likai Chen, Kun Ho Kim and Tianwei Zhou

Local Whittle estimation in time‐varying long memory series pp. 647-673

Josu Arteche and Luis F. Martins

Local quadratic spectral and covariance matrix estimation pp. 674-691

Tucker McElroy and Dimitris N. Politis

Mixed orthogonality graphs for continuous‐time state space models and orthogonal projections pp. 692-726

Vicky Fasen‐Hartmann and Lea Schenk

Estimation for conditional moment models based on martingale difference divergence pp. 727-747

Kunyang Song, Feiyu Jiang and Ke Zhu

Modal volatility function pp. 748-773

Aman Ullah and Tao Wang

Exact likelihood for inverse gamma stochastic volatility models pp. 774-795

Roberto Leon‐Gonzalez and Blessings Majoni

A note on Johansen's rank conditions and the Jordan form of a matrix pp. 796-805

Massimo Franchi

Volume 46, issue 3, 2025

Editorial Announcement pp. 401-401

Robert Taylor

Testing covariance separability for continuous functional data pp. 402-420

Holger Dette, Gauthier Dierickx and Tim Kutta

Dependence properties of stochastic volatility models pp. 421-431

Piotr Kokoszka, Neda Mohammadi and Haonan Wang

The Granger–Johansen representation theorem for integrated time series on Banach space pp. 432-457

Phil Howlett, Brendan K. Beare, Massimo Franchi, John Boland and Konstantin Avrachenkov

Improved estimation of dynamic models of conditional means and variances pp. 458-490

Weining Wang, Jeffrey M. Wooldridge and Mengshan Xu

Self‐normalization inference for linear trends in cointegrating regressions pp. 491-504

Cheol‐Keun Cho

Weighted discrete ARMA models for categorical time series pp. 505-529

Christian H. Weiß and Osama Swidan

Mean‐preserving rounding integer‐valued ARMA models pp. 530-551

Christian H. Weiß and Fukang Zhu

Mixing properties of non‐stationary multi‐variate count processes pp. 552-581

Zinsou Max Debaly, Michael H. Neumann and Lionel Truquet

Estimating lagged (cross‐)covariance operators of Lp‐m‐approximable processes in Cartesian product Hilbert spaces pp. 582-595

Sebastian Kühnert

Volume 46, issue 2, 2025

Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2024 pp. 213-213

Robert Taylor

Time Series for QFFE: Special Issue of the Journal of Time Series Analysis pp. 214-215

Christian Francq, Christophe Hurlin, Sébastien Laurent and Jean‐Michel Zakoian

High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models pp. 216-234

Md. Nazmul Ahsan and Jean‐Marie Dufour

Ridge regularized estimation of VAR models for inference pp. 235-257

Giovanni Ballarin

Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors pp. 258-285

João F. Caldeira, Werley C. Cordeiro, Esther Ruiz and Andre Santos

The Liquidity Uncertainty Premium Puzzle pp. 286-299

Maria Flora, Ilaria Gianstefani and Roberto Renò

Generalized covariance‐based inference for models set‐identified from independence restrictions pp. 300-324

Christian Gourieroux and Joann Jasiak

Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios pp. 325-352

Alain Hecq and Daniel Velasquez‐Gaviria

Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations pp. 353-377

Marc S. Paolella, Paweł Polak and Patrick S. Walker

Fractional stochastic volatility model pp. 378-397

Shuping Shi, Xiaobin Liu and Jun Yu

Volume 46, issue 1, 2025

On a matrix‐valued autoregressive model pp. 3-32

S. Yaser Samadi and Lynne Billard

Testing for the extent of instability in nearly unstable processes pp. 33-58

Marie Badreau and Frédéric Proïa

Estimation of non‐smooth non‐parametric estimating equations models with dependent data pp. 59-80

Francesco Bravo

Bootstrapping non‐stationary and irregular time series using singular spectral analysis pp. 81-112

Don S. Poskitt

Selecting the number of factors in multi‐variate time series pp. 113-136

Angela Caro and Daniel Peña

General estimation results for tdVARMA array models pp. 137-151

Abdelkamel Alj, Rajae Azrak and Guy Mélard

A trinomial difference autoregressive process for the bounded ℤ‐valued time series pp. 152-180

Huaping Chen, Zifei Han and Fukang Zhu

Estimating a common break point in means for long‐range dependent panel data pp. 181-209

Daiqing Xi, Cheng‐ Der Fuh and Tianxiao Pang