Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Volume 40, issue 6, 2019

Econometric Modelling with Mixed Frequency and Temporally Aggregated Data pp. 869-871

Marcus Chambers and Peter Zadrozny

Temporal Aggregation of Seasonally Near‐Integrated Processes pp. 872-886

Tomás del Barrio Castro, Paulo Rodrigues and Robert Taylor

Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data pp. 887-913

Marcus Chambers

Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes pp. 914-935

Thomas Götz and Alain Hecq

Testing Cointegrating Relationships Using Irregular and Non‐Contemporaneous Series with an Application to Paleoclimate Data pp. 936-950

J. Miller

Exact Discrete Representations of Linear Continuous Time Models with Mixed Frequency Data pp. 951-967

Michael Thornton

Weighted‐Covariance Factor Decomposition of Varma Models Applied to Forecasting Quarterly U.S. Real GDP at Monthly Intervals pp. 968-986

Peter Zadrozny and Baoline Chen

Volume 40, issue 5, 2019

Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series pp. 631-648

Maria Eduarda Silva, Isabel Pereira and Brendan McCabe

Heteroskedasticity‐Robust Unit Root Testing for Trending Panels pp. 649-664

Helmut Herwartz, Simone Maxand and Yabibal Walle

Inference for the Lagged Cross‐Covariance Operator Between Functional Time Series pp. 665-692

Gregory Rice and Marco Shum

Semiparametric Detection of Changes in Long Range Dependence pp. 693-706

Fabrizio Iacone and Štěpána Lazarová

Testing for Change in Long‐Memory Stochastic Volatility Time Series pp. 707-738

Annika Betken and Rafał Kulik

Multivariate Quantile Impulse Response Functions pp. 739-752

Gabriel Montes‐Rojas

Volatility Estimation and Jump Testing via Realized Information Variation pp. 753-787

Weiyi Liu and Mingjin Wang

Flexible and Robust Mixed Poisson INGARCH Models pp. 788-814

Rodrigo B. Silva and Wagner Barreto‐Souza

Robustness of Zero Crossing Estimator pp. 815-830

Yuichi Goto and Masanobu Taniguchi

Asymptotic Behavior of Optimal Weighting in Generalized Self‐Normalization for Time Series pp. 831-851

Ting Zhang, Liliya Lavitas and Qiao Pan

On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects pp. 852-857

Joakim Westerlund

Extending the Limits of Backtesting via the ‘Vanishing p’‐Approach pp. 858-866

Yannick Hoga

Volume 40, issue 4, 2019

Editorial Announcement pp. 385-385

Robert Taylor

Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter‐Hudak (1983): Guest Editors' Introduction pp. 386-387

Morten Nielsen and Javier Hualde

Bayesian Inference for ARFIMA Models pp. 388-410

Garland Durham, John Geweke, Susan Porter‐Hudak and Fallaw Sowell

A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter pp. 411-424

Murad S. Taqqu and Ting Zhang

Order Selection and Inference with Long Memory Dependent Data pp. 425-446

Abhimanyu Gupta and Javier Hidalgo

Empirical Likelihood for a Long Range Dependent Process Subordinated to a Gaussian Process pp. 447-466

Soumendra N. Lahiri, Ujjwal Das and Daniel J. Nordman

A Generalised Fractional Differencing Bootstrap for Long Memory Processes pp. 467-492

George Kapetanios, Fotis Papailias and Robert Taylor

Asymptotic Distribution of the Bias Corrected Least Squares Estimators in Measurement Error Linear Regression Models Under Long Memory pp. 493-518

Hira L. Koul and Donatas Surgailis

Nonstationary Cointegration in the Fractionally Cointegrated VAR Model pp. 519-543

Soren Johansen and Morten Nielsen

Fixed Bandwidth Inference for Fractional Cointegration pp. 544-572

Javier Hualde and Fabrizio Iacone

Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects pp. 573-589

Yunus Emre Ergemen and Carlos Velasco

The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility pp. 590-608

Jun Liu, Rohit Deo and Clifford Hurvich

Long Memory, Realized Volatility and Heterogeneous Autoregressive Models pp. 609-628

Richard T. Baillie, Fabio Calonaci, Dooyeon Cho and Seunghwa Rho

Volume 40, issue 3, 2019

Recent Advances in Spatio‐Temporal Methodology pp. 267-268

Christopher K. Wikle and Scott H. Holan

Scalable inference for space‐time Gaussian Cox processes pp. 269-287

Shinichiro Shirota and Sudipto Banerjee

Estimating Spatial Changes Over Time of Arctic Sea Ice using Hidden 2×2 Tables pp. 288-311

Bohai Zhang and Noel Cressie

A Non‐Gaussian Spatio‐Temporal Model for Daily Wind Speeds Based on a Multi‐Variate Skew‐t Distribution pp. 312-326

Felipe Tagle, Stefano Castruccio, Paola Crippa and Marc G. Genton

On a Semiparametric Data‐Driven Nonlinear Model with Penalized Spatio‐Temporal Lag Interactions pp. 327-342

Dawlah Al‐Sulami, Zhenyu Jiang, Zudi Lu and Jun Zhu

A Structural‐Factor Approach to Modeling High‐Dimensional Time Series and Space‐Time Data pp. 343-362

Zhaoxing Gao and Ruey S. Tsay

Spatio‐temporal models for big multinomial data using the conditional multivariate logit‐beta distribution pp. 363-382

Jonathan R. Bradley, Christopher K. Wikle and Scott H. Holan

Volume 40, issue 2, 2019

Sampling, Embedding and Inference for CARMA Processes pp. 163-181

Peter J. Brockwell and Alexander Lindner

Clustering Multiple Time Series with Structural Breaks pp. 182-202

Yongning Wang and Ruey S. Tsay

On Two‐Stage Estimation of the Spectral Density with Assigned Risk in Presence of Missing Data pp. 203-224

Sam Efromovich

Negative Binomial Autoregressive Process with Stochastic Intensity pp. 225-247

Christian Gouriéroux and Yang Lu

Common Breaks in Means for Cross‐Correlated Fixed‐T Panel Data pp. 248-255

Joakim Westerlund

On the Ergodicity of First‐Order Threshold Autoregressive Moving‐Average Processes pp. 256-264

Kung‐Sik Chan and Greta Goracci

Volume 40, issue 1, 2019

Time‐Dependent Dual‐Frequency Coherence in Multivariate Non‐Stationary Time Series pp. 3-22

Cristina Gorrostieta, Hernando Ombao and Rainer Von Sachs

Least Squares Bias in Time Series with Moderate Deviations from a Unit Root pp. 23-42

Marian Z. Stoykov

Asymptotic Theory and Unified Confidence Region for an Autoregressive Model pp. 43-65

Xiaohui Liu and Liang Peng

Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps pp. 66-101

Yuping Song, Ying Chen and Zhouwei Wang

On the Sensitivity of Granger Causality to Errors‐In‐Variables, Linear Transformations and Subsampling pp. 102-123

Brian D.O. Anderson, Manfred Deistler and Jean‐Marie Dufour

Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series pp. 124-150

Axel Bücher, Jean‐David Fermanian and Ivan Kojadinovic

Quasi‐Bayesian Estimation of Time‐Varying Volatility in DSGE Models pp. 151-157

Katerina Petrova

Dynamic Data Analysis, by James Ramsay and Giles Hooker. Published by Springer, New York, USA, 2017. Total number of pages: 230. ISSN: 0172‐7397 pp. 158-159

Jiguo Cao