Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Volume 44, issue 5-6, 2023

Editorial Announcement pp. 439-439

Robert Taylor

Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi pp. 440-441

Marc Hallin, Yoshihide Kakizawa and Hira Koul

Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors pp. 442-473

Monika Bhattacharjee, Nilanjan Chakraborty and Hira L. Koul

Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates pp. 474-486

Shan Dai and Ngai Hang Chan

Clustering multivariate time series using energy distance pp. 487-504

Richard A. Davis, Leon Fernandes and Konstantinos Fokianos

Detecting relevant changes in the spatiotemporal mean function pp. 505-532

Holger Dette and Pascal Quanz

Optimal estimating function for weak location‐scale dynamic models pp. 533-555

Christian Francq and Jean‐Michel Zakoïan

Estimation on unevenly spaced time series pp. 556-577

Liudas Giraitis and Fulvia Marotta

Factor models for high‐dimensional functional time series I: Representation results pp. 578-600

Marc Hallin, Gilles Nisol and Shahin Tavakoli

Factor models for high‐dimensional functional time series II: Estimation and forecasting pp. 601-621

Shahin Tavakoli, Gilles Nisol and Marc Hallin

Testing for symmetric correlation matrices with applications to factor models pp. 622-643

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

Sangyeol Lee and Minyoung Jo

A testing approach to clustering scalar time series pp. 667-685

Daniel Peña and Ruey S. Tsay

Some recent trends in embeddings of time series and dynamic networks pp. 686-709

Dag Tjøstheim, Martin Jullum and Anders Løland

Volume 44, issue 4, 2023

Editorial announcement pp. 335-335

Robert Taylor

Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor pp. 336-336

Torben Andersen, Kim Christensen and Ingmar Nolte

On highly skewed fractional log‐stable noise sequences and their application pp. 337-358

Harry Pavlopoulos and George Chronis

On the asymptotic behavior of bubble date estimators pp. 359-373

Eiji Kurozumi and Anton Skrobotov

Regime switching models for circular and linear time series pp. 374-392

Andrew Harvey and Dario Palumbo

Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series pp. 393-417

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

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

Donggyu Kim and Minseok Shin

Tempered functional time series pp. 280-293

Farzad Sabzikar and Piotr Kokoszka

A nonparametric predictive regression model using partitioning estimators based on Taylor expansions pp. 294-318

Jose Olmo

System identification using autoregressive Bayesian neural networks with nonparametric noise models pp. 319-330

Christos Merkatas and Simo Särkkä

Corrigendum to the article “Regular multidimensional stationary time series” pp. 331-332

Tamás Szabados

Volume 44, issue 2, 2023

Dynamic deconvolution and identification of independent autoregressive sources pp. 151-180

Christian Gourieroux and Joann Jasiak

Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments pp. 181-205

David I. Harvey, Stephen J. Leybourne and Yang Zu

Flexible bivariate INGARCH process with a broad range of contemporaneous correlation pp. 206-222

Luiza S. C. Piancastelli, Wagner Barreto‐Souza and Hernando Ombao

Directed graphs and variable selection in large vector autoregressive models pp. 223-246

Dominik Bertsche, Ralf Brüggemann and Christian Kascha

Higher‐order asymptotics of minimax estimators for time series pp. 247-257

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

Robert Taylor

High‐dimensional sparse multivariate stochastic volatility models pp. 4-22

Benjamin Poignard and Manabu Asai

A prediction perspective on the Wiener–Hopf equations for time series pp. 23-42

Suhasini Subba Rao and Junho Yang

Peaks, gaps, and time‐reversibility of economic time series pp. 43-68

Tommaso Proietti

Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain pp. 69-92

Cleiton Taufemback

Seasonal count time series pp. 93-124

Jiajie Kong and Robert Lund

Student‐t stochastic volatility model with composite likelihood EM‐algorithm pp. 125-147

Raanju R. Sundararajan and Wagner Barreto‐Souza

Volume 43, issue 6, 2022

A non‐parametric test for multi‐variate trend functions pp. 856-871

Erhua Zhang, Xiaojun Song and Jilin Wu

Inference in functional factor models with applications to yield curves pp. 872-894

Lajos Horvath, Piotr Kokoszka, Jeremy VanderDoes and Shixuan Wang

Trend locally stationary wavelet processes pp. 895-917

Euan T. McGonigle, Rebecca Killick and Matthew A. Nunes

Autoregressive mixture models for clustering time series pp. 918-937

Benny Ren and Ian Barnett

Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model pp. 938-963

Xuanling Yang and Dong Li

Portmanteau test for a class of multivariate asymmetric power GARCH model pp. 964-1002

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

Guangying Liu, Meiyao Liu and Jinguan Lin

Rank test of unit‐root hypothesis with AR‐GARCH errors pp. 695-719

Guili Liao, Qimeng Liu, Rongmao Zhang and Shifang Zhang

Estimation and inference in adaptive learning models with slowly decreasing gains pp. 720-749

Alexander Mayer

Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model pp. 750-780

Sebastian Mentemeier and Olivier Wintenberger

Permutation testing for dependence in time series pp. 781-807

Joseph P. Romano and Marius A. Tirlea

A new non‐parametric cross‐spectrum estimator pp. 808-827

Evangelos E. Ioannidis

Johansen‐type cointegration tests with a Fourier function pp. 828-852

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

Ngai Hang Chan, Linhao Gao and Wilfredo Palma

Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations pp. 532-557

Ricardo P. Masini, Marcelo Medeiros and Eduardo F. Mendes

Misspecified semiparametric model selection with weakly dependent observations pp. 558-586

Francesco Bravo

Long‐term prediction intervals with many covariates pp. 587-609

Sayar Karmakar, Marek Chudý and Wei Biao Wu

Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes pp. 610-639

Yanfeng Wu, Jianqiang Hu and Xiangyu Yang

Conditional quantile analysis for realized GARCH models pp. 640-665

Donggyu Kim, Minseog Oh and Yazhen Wang

Volume 43, issue 3, 2022

A new volatility model: GQARCH‐ItÔ model pp. 345-370

Huiling Yuan, Yulei Sun, Lu Xu, Yong Zhou and Xiangyu Cui

Asymmetric linear double autoregression pp. 371-388

Songhua Tan and Qianqian Zhu

Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods pp. 389-411

Pierre Perron and Yohei Yamamoto

On cointegration for processes integrated at different frequencies pp. 412-435

Tomás del Barrio Castro, Gianluca Cubadda and Denise Osborn

Stationarity and ergodicity of Markov switching positive conditional mean models pp. 436-459

Abdelhakim Aknouche and Christian Francq

Modeling normalcy‐dominant ordinal time series: An application to air quality level pp. 460-478

Mengya Liu, Fukang Zhu and Ke Zhu

The spectral analysis of the Hodrick–Prescott filter pp. 479-489

Neslihan Sakarya and Robert M. de Jong

A new GJR‐GARCH model for ℤ‐valued time series pp. 490-500

Yue Xu and Fukang Zhu

The factor analytical approach in trending near unit root panels pp. 501-508

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

Matthew Heiner and Athanasios Kottas

On causal and non‐causal cointegrated vector autoregressive time series pp. 178-196

Anders Rygh Swensen

Seasonal functional autoregressive models pp. 197-218

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

Mohitosh Kejriwal, Pierre Perron and Xuewen Yu

Maxima of linear processes with heavy‐tailed innovations and random coefficients pp. 238-262

Danijel Krizmanić

Regular multidimensional stationary time series pp. 263-284

Tamás Szabados

Generalized binary vector autoregressive processes pp. 285-311

Carsten Jentsch and Lena Reichmann

Variable length Markov chain with exogenous covariates pp. 312-328

Adriano Zanin Zambom, Seonjin Kim and Nancy Lopes Garcia

Autoregressive spectral estimates under ignored changes in the mean pp. 329-340

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

Alexander Aue

Volume 43, issue 1, 2022

Editorial Announcement: Professor Michael McAleer pp. 3-3

Robert Taylor

Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2021 pp. 4-4

Robert Taylor

Periodic autoregressive conditional duration pp. 5-29

Abdelhakim Aknouche, Bader Almohaimeed and Stefanos Dimitrakopoulos

Wasserstein autoregressive models for density time series pp. 30-52

Chao Zhang, Piotr Kokoszka and Alexander Petersen

Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor pp. 53-82

Yuping Song, Weijie Hou and Zhengyan Lin

Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions pp. 83-104

Karsten Schweikert

State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data pp. 105-124

Dohyun Chun and Donggyu Kim

Generalized autoregressive moving average models with GARCH errors pp. 125-146

Tingguo Zheng, Han Xiao and Rong Chen

On the Relationship between Uhlig Extended and beta‐Bartlett Processes pp. 147-153

Víctor Peña and Kaoru Irie

Review of the book Stochastic Models for Time Series by Paul Doukhan pp. 154-154

Efstathios Paparoditis