Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Volume 41, issue 6, 2020

Tests for conditional heteroscedasticity of functional data pp. 733-758

Gregory Rice, Tony Wirjanto and Yuqian Zhao

Efficient Bayesian PARCOR approaches for dynamic modeling of multivariate time series pp. 759-784

Wenjie Zhao and Raquel Prado

Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution pp. 785-807

Aleksandra Grzesiek, Prashant Giri, S. Sundar and Agnieszka WyŁomańska

Models for circular data from time series spectra pp. 808-829

Masanobu Taniguchi, Shogo Kato, Hiroaki Ogata and Arthur Pewsey

Conway–Maxwell–Poisson Autoregressive Moving Average Model for Equidispersed, Underdispersed, and Overdispersed Count Data pp. 830-857

Moizes Melo and Airlane Alencar

Functional lagged regression with sparse noisy observations pp. 858-882

Tomáš Rubín and Victor M. Panaretos

On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models pp. 883-891

Huan Gong and Dong Li

On the limit theory of mixed to unity VARs: Panel setting with weakly dependent errors pp. 892-898

Ovidijus Stauskas

Correction to: Random Coefficient Autoregressive Processes: a Markov Chain Analysis of Stationarity and Finiteness of Moments by Paul D. Feigin and Richard L. Tweedie J. Time Series Anal., Vol. 6, No. 1 (1985) pp. 899-900

Paul D. Feigin

Volume 41, issue 5, 2020

Backtesting portfolio value‐at‐risk with estimated portfolio weights pp. 605-619

Zaichao Du and Pei Pei

Robust estimation of stationary continuous‐time arma models via indirect inference pp. 620-651

Vicky Fasen‐Hartmann and Sebastian Kimmig

Missing not at random and the nonparametric estimation of the spectral density pp. 652-675

Sam Efromovich

Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series pp. 676-690

Mohitosh Kejriwal, Xuewen Yu and Pierre Perron

A family of multivariate non‐gaussian time series models pp. 691-721

Tevfik Aktekin, Nicholas G. Polson and Refik Soyer

A Portmanteau Test for Smooth Transition Autoregressive Models pp. 722-730

Qiang Xia, Zhiqiang Zhang and Wai Keung Li

Volume 41, issue 4, 2020

Editorial Announcement: Journal of Time Series Analysis Distinguished Authors pp. 489-490

Robert Taylor

Modeling the Variance of Return Intervals Toward Volatility Prediction pp. 492-519

Yan Sun, Guanghua Lian, Zudi Lu, Jennifer Loveland and Isaac Blackhurst

Estimating Long Memory in Panel Random‐Coefficient AR(1) Data pp. 520-535

Remigijus Leipus, Anne Philippe, Vytautė Pilipauskaitė and Donatas Surgailis

An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence pp. 536-550

Xuexin Wang and Yixiao Sun

Two‐Step Estimation for Time Varying Arch Models pp. 551-570

Yuanyuan Zhang, Rong Liu, Qin Shao and Lijian Yang

Testing equality of autocovariance operators for functional time series pp. 571-589

Dimitrios Pilavakis, Efstathios Paparoditis and Theofanis Sapatinas

Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes pp. 590-602

Valerie Girardin and Rachid Senoussi

Volume 41, issue 3, 2020

Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients pp. 367-386

Degui Li, Jiraroj Tosasukul and Wenyang Zhang

Location Multiplicative Error Models with Quasi Maximum Likelihood Estimation pp. 387-405

Qian Li

On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One pp. 406-420

Soumya Das and Marc G. Genton

Consistency of the Hill Estimator for Time Series Observed with Measurement Errors pp. 421-435

Mihyun Kim and Piotr Kokoszka

A Flexible Univariate Autoregressive Time‐Series Model for Dispersed Count Data pp. 436-453

Kimberly F. Sellers, Stephen J. Peng and Ali Arab

Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with α‐Stable Noise pp. 454-475

Aleksandra Grzesiek, Grzegorz Sikora, Marek Teuerle and Agnieszka Wyłomańska

The Marginal Density of a TMA(1) Process pp. 476-484

Dong Li and Jiaming Qiu

Time Series: a Data Analysis Approach Using R By Robert H. Shumway and David S. Stoffer. Published by Taylor & Francis Group, LLC, Boca Raton, London, New York, 2019. ISBN: 9780367221096 (Hardback) pp. 485-486

Matthew Nunes

Volume 41, issue 2, 2020

A Stationary Spatio‐Temporal GARCH Model pp. 177-209

Sondre Hølleland and Hans Arnfinn Karlsen

Estimating the Mean Direction of Strongly Dependent Circular Time Series pp. 210-228

Jan Beran and Sucharita Ghosh

Robust Linear Interpolation and Extrapolation of Stationary Time Series in Lp pp. 229-248

Yan Liu, Yujie Xue and Masanobu Taniguchi

Mixed First‐ and Second‐Order Cointegrated Continuous Time Models with Mixed Stock and Flow Data pp. 249-267

Milena Hoyos

Modeling bivariate long‐range dependence with general phase pp. 268-292

Stefanos Kechagias and Vladas Pipiras

Extracting Conditionally Heteroskedastic Components using Independent Component Analysis pp. 293-311

Jari Miettinen, Markus Matilainen, Klaus Nordhausen and Sara Taskinen

Walsh Fourier Transform of Locally Stationary Time Series pp. 312-340

Zhelin Huang and Ngai Hang Chan

On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model pp. 341-350

Stelios Arvanitis and Sofia Anyfantaki

The Limiting Distribution of a Non‐Stationary Integer Valued GARCH(1,1) Process pp. 351-356

Jon Michel

Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model pp. 357-364

Emma Iglesias and Garry D. A. Phillips

Volume 41, issue 1, 2020

Higher‐Order Accurate Spectral Density Estimation of Functional Time Series pp. 3-20

Tingyi Zhu and Dimitris N. Politis

Bootstrap Inference for Garch Models by the Least Absolute Deviation Estimation pp. 21-40

Qianqian Zhu, Ruochen Zeng and Guodong Li

Harmonically Weighted Processes pp. 41-66

Uwe Hassler and Mehdi Hosseinkouchack

On Singular Spectrum Analysis And Stepwise Time Series Reconstruction pp. 67-94

Donald Poskitt

Volatility asymmetry in functional threshold GARCH model pp. 95-109

Hao Sun and Bo Yu

Empirical Characteristic Functions‐Based Estimation and Distance Correlation for Locally Stationary Processes pp. 110-133

Carsten Jentsch, Anne Leucht, Marco Meyer and Carina Beering

Deterministic Parameter Change Models in Continuous and Discrete Time pp. 134-145

Marcus Chambers and Robert Taylor

Properties of the Power Envelope for Tests Against Both Stationary and Explosive Alternatives: The Effect of Trends pp. 146-153

Patrick Marsh

Inference for asymmetric exponentially weighted moving average models pp. 154-162

Dong Li and Ke Zhu

Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models pp. 163-172

Yaxing Yang and Dong Li

Large Covariance and Autocovariance Matrices, By Arup Bose and Monika Bhattacharjee. Published by Taylor & Francis Group, LLC, Boca Raton, London, New York, 2019. ISBN: 9781138303867 (HARDBACK) pp. 173-174

Jianfeng Yao