Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Volume 37, issue 6, 2016

Exactly/Nearly Unbiased Estimation of Autocovariances of a Univariate Time Series With Unknown Mean pp. 723-740

Timothy Vogelsang and Jingjing Yang

A Wavelet Characterization of Continuous-Time Periodically Correlated Processes with Application to Simulation pp. 741-762

Mitra Ghanbarzadeh and Mina Aminghafari

Tests Based on Simplicial Depth for AR(1) Models With Explosion pp. 763-784

Christoph P. Kustosz, Anne Leucht and Christine H. MÜller

Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test pp. 785-809

Annika Betken

Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies pp. 810-824

J. Miller and Xi Wang

Optimal Rate of Convergence for Empirical Quantiles and Distribution Functions for Time Series pp. 825-836

Moritz Jirak

Bayesian Deconvolution of Signals Observed on Arrays pp. 837-850

Ming Lin, Eric A. Suess, Robert H. Shumway and Rong Chen

Conditional and Marginal Mutual Information in Gaussian and Hyperbolic Decay Time Series pp. 851-861

Gordon Chavez

Unobserved Components and Time Series Econometrics, edited by Siem Jan Koopman and Neil Shephard. Published by Oxford University Press, Oxford, 2015. Total number of pages: 400. ISBN: 978-0-19-968366-6 pp. 862-863

Marcus Chambers

Introduction to Time Series Analysis and Forecasting, 2nd Edition, Wiley Series in Probability and Statistics, by Douglas C. Montgomery, Cheryl L. Jennings and Murat Kulahci (eds). Published by John Wiley and Sons, Hoboken, NJ, USA, 2015. Total number of pages: 672 Hardcover: ISBN: 978-1-118-74511-3, ebook: ISBN: 978-1-118-74515-1, etext: ISBN: 978-1-118-74495-6 pp. 864-864

Georgi N. Boshnakov

Volume 37, issue 5, 2016

On the Distribution Estimation of Power Threshold Garch Processes pp. 579-602

Esmeralda Gonçalves, Joana Leite and NazarÉ Mendes-Lopes

Quantile Autoregression for Censored Data pp. 603-623

Seokwoo Jake Choi and Stephen Portnoy

Bartlett Correction of Empirical Likelihood for Non-Gaussian Short-Memory Time Series pp. 624-649

Kun Chen, Ngai Hang Chan and Chun Yip Yau

Improved Tests for Forecast Comparisons in the Presence of Instabilities pp. 650-659

Luis Martins and Pierre Perron

Tests for Linearity in Star Models: Supwald and Lm-Type Tests pp. 660-674

Rehim Kılıç

A Bayesian Non-Parametric Dynamic AR Model for Multiple Time Series Analysis pp. 675-689

Luis E. Nieto-Barajas and Fernando A. Quintana

Local Information Theoretic Methods for smooth Coefficients Dynamic Panel Data Models pp. 690-708

Francesco Bravo

Time Series Analysis: Forecasting and Control, 5th Edition, by George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinsel and Greta M. Ljung, 2015. Published by John Wiley and Sons Inc., Hoboken, New Jersey, pp. 712. ISBN: 978-1-118-67502-1 pp. 709-711

Granville Tunnicliffe Wilson

An Introduction to Stochastic Orders, by Félix Belzunce, Carolina Martínez and Julio Mulero. Academic Press, Elsevier Ltd. 2016. Total number of pages: 157. ISBN: 978–0–12–803768–3 (Paperback) pp. 712-712

B.L.S. Prakasa Rao

Corrigendum to ‘Subsampling Inference for the Mean of Heavy-Tailed Long-Memory Time Series’ by A. Jach, T. S. McElroy and D. N. Politis pp. 713-720

Agnieszka Jach, Tucker McElroy and Dimitris N. Politis

Volume 37, issue 4, 2016

Discriminant Analysis of Time Series in the Presence of Within-Group Spectral Variability pp. 435-450

Robert T. Krafty

Parametric and Semi-Parametric Efficient Tests for Parameter Instability pp. 451-475

Dong Jin Lee

Multivariate Wavelet Whittle Estimation in Long-range Dependence pp. 476-512

Sophie Achard and Irène Gannaz

Statistical Inference for Unified Garch–Itô Models with High-Frequency Financial Data pp. 513-532

Donggyu Kim

Powerful Unit Root Tests Free of Nuisance Parameters pp. 533-554

Mehdi Hosseinkouchack and Uwe Hassler

Inference on a Structural Break in Trend with Fractionally Integrated Errors pp. 555-574

Seong Yeon Chang and Pierre Perron

Time Series Modelling with Unobserved Components, by Matteo M. Pelagatti. Published by CRC Press, 2015, pages: 257. ISBN-13: 978-1-4822-2500-6 pp. 575-576

Mohsen Pourahmadi

Volume 37, issue 3, 2016

Poisson QMLE of Count Time Series Models pp. 291-314

Ali Ahmad and Christian Francq

Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series pp. 315-336

Roberto Baragona, Francesco Battaglia and Domenico Cucina

Separation of Uncorrelated Stationary time series using Autocovariance Matrices pp. 337-354

Jari Miettinen, Katrin Illner, Klaus Nordhausen, Hannu Oja, Sara Taskinen and Fabian J. Theis

A New Test for Checking the Equality of the Correlation Structures of two time Series pp. 355-368

Lei Jin and Suojin Wang

Generalized Resampling Scheme With Application to Spectral Density Matrix in Almost Periodically Correlated Class of Time Series pp. 369-404

Łukasz Lenart

Filtering, Prediction and Simulation Methods for Noncausal Processes pp. 405-430

Christian Gourieroux and Joann Jasiak

Quantitative Risk Management: Concepts, Techniques and Tools, by Alexander J. McNeil, Rüdiger Frey and Paul Embrechts. Revised edition. Published by Princeton University Press, 2015. Total number of pages: 720. ISBN: 978-0-691-16627-8 (Hardback) pp. 431-432

Johanna G. NešLehová

Volume 37, issue 2, 2016

An Unbiased Measure of Integrated Volatility in the Frequency Domain pp. 147-164

Fangfang Wang

Bounds, Breaks and Unit Root Tests pp. 165-181

Josep Carrion-i-Silvestre and María Gadea

A Note on the Behaviour of Nonparametric Density and Spectral Density Estimators at Zero Points of their Support pp. 182-194

Efstathios Paparoditis and Dimitris N. Politis

Composite Quantile Periodogram for Spectral Analysis pp. 195-221

Yaeji Lim and Hee-Seok Oh

Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends pp. 222-239

Yiannis Karavias and Elias Tzavalis

Inference for the Fourth-Order Innovation Cumulant in Linear Time Series pp. 240-266

Maria Fragkeskou and Efstathios Paparoditis∗

Random environment integer-valued autoregressive process pp. 267-287

Aleksandar S. Nastić, Petra N. Laketa and Miroslav M. Ristić

Statistics for Spatial Data, Revised Edition, by Noel Cressie. Published by Wiley Classics Library, John Wiley, 2015. Total number of pages: 928. ISBN: 978-1-119-11518-2 pp. 288-288

T. Subba Rao

Volume 37, issue 1, 2016

Testing for Stationarity in Multivariate Locally Stationary Processes pp. 3-29

Ruprecht Puchstein and Philip Preuß

Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous-Time ARMA–GARCH-Type Models with Long Memory pp. 30-45

Holger Fink

Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified pp. 46-76

Mohamed El Ghourabi, Christian Francq and Fedya Telmoudi

A Goodness-of-Fit Test for Integer-Valued Autoregressive Processes pp. 77-98

Sebastian Schweer

Testing for a Unit Root in Noncausal Autoregressive Models pp. 99-125

Pentti Saikkonen and Rickard Sandberg

A Nonparametric Model for Stationary Time Series pp. 126-142

Isadora Antoniano-Villalobos and Stephen G. Walker

Almost All About Unit Roots: Foundations, Developments, and Applications, by In Choi. Published by Cambridge University Press, Cambridge, 2015. Total number of pages: 295. ISBN: 9781107482500 (paperback), price: 24.99£;(US$39.99) ISBN: 9781107097339 (hardback), price: 60.00£ (US$95.00) pp. 143-144

Yiannis Karavias

Volume 36, issue 6, 2015

Simulation of Real Discrete Time Gaussian Multivariate Stationary Processes with Given Spectral Densities pp. 783-796

M. Azimmohseni, A. R. Soltani and M. Khalafi

Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series pp. 797-816

Eric Ghysels and J. Miller

A Gini Autocovariance Function for Time Series Modelling pp. 817-838

Marcel Carcea and Robert Serfling

Zero-Modified Geometric INAR(1) Process for Modelling Count Time Series with Deflation or Inflation of Zeros pp. 839-852

Wagner Barreto-Souza

Mixed-Norm Spaces and Prediction of SαS Moving Averages pp. 853-875

Raymond Cheng and Charles B. Harris

On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes pp. 876-887

Christian Gourieroux and Jean-Michel Zakoian

Volume 36, issue 5, 2015

Introduction to the JTSA John Nankervis Memorial Issue pp. 601-602

Neil Kellard, Denise Osborn, Jerry Coakley, Neil Kellard, Denise Osborn and Jerry Coakley

Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics pp. 603-629

Neil Kellard, Denise Osborn, Jerry Coakley, Giuseppe Cavaliere, David Harvey, Stephen Leybourne and Robert Taylor

Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data pp. 630-649

Neil Kellard, Denise Osborn, Jerry Coakley and Marcus Chambers

Papers with John on the Demand for Mail pp. 650-652

Neil Kellard, Denise Osborn, Jerry Coakley, Frank Rodriguez, Soterios Soteri and Leticia Veruete-McKay

Double Bootstrap Confidence Intervals in the Two-Stage DEA Approach pp. 653-662

Neil Kellard, Denise Osborn, Jerry Coakley, Dimitris K. Chronopoulos, Claudia Girardone and John C. Nankervis

Papers with John pp. 663-671

Neil Kellard, Denise Osborn, Jerry Coakley and Nathan E. (Gene) Savin

Testing for Predictability in Financial Returns Using Statistical Learning Procedures pp. 672-686

Neil Kellard, Denise Osborn, Jerry Coakley, Imanol Arrieta-ibarra and Ignacio N. Lobato

Generalized Variance-Ratio Tests in the Presence of Statistical Dependence pp. 687-705

Neil Kellard, Denise Osborn, Jerry Coakley, John C. Nankervis, Periklis Kougoulis and Jerry Coakley

On the Transmission of Memory in Garch-in-Mean Models pp. 706-720

Neil Kellard, Denise Osborn, Jerry Coakley, Christian Conrad and Menelaos Karanasos

Bias Correction of Persistence Measures in Fractionally Integrated Models pp. 721-740

Neil Kellard, Denise Osborn, Jerry Coakley, Simone D. Grose, Gael M. Martin and Donald Poskitt

Structural Break Inference Using Information Criteria in Models Estimated by Two-Stage Least Squares pp. 741-762

Neil Kellard, Denise Osborn, Jerry Coakley, Alastair R. Hall, Denise R. Osborn and Nikolaos Sakkas

Testing for Mild Explosivity and Bubbles in LME Non-Ferrous Metals Prices pp. 763-782

Neil Kellard, Denise Osborn, Jerry Coakley, Isabel Figuerola-Ferretti, Christopher L. Gilbert and J. Roderick McCrorie

Volume 36, issue 4, 2015

Infinitely Divisible Distributions in Integer-Valued Garch Models pp. 503-527

E. Gonçalves, N. Mendes-Lopes and F. Silva

Small-b and Fixed-b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration pp. 528-540

Javier Hualde and Fabrizio Iacone

Estimation in Functional Lagged Regression pp. 541-561

Siegfried Hörmann, Łukasz Kidziński and Piotr Kokoszka

The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending pp. 562-586

Marcus Chambers

A Quantile-based Test for Symmetry of Weakly Dependent Processes pp. 587-598

Zacharias Psaradakis and Marian Vavra

Dependence Modeling with Copulas, by Harry Joe. Monographs on Statistics and Applied probability 134, Published by CRC Press, 2015. Total number of pages: 18 + 462. ISBN: 978-1-4665-8322-1 (Hardback) pp. 599-600

Alexander J. Mcneil

Volume 36, issue 3, 2015

Recent developments in bootstrap methods for dependent data pp. 269-271

Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Giuseppe Cavaliere, Dimitris N. Politis and Anders Rahbek

Recent developments in bootstrap methods for dependent data pp. 272-289

Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Giuseppe Cavaliere, Anders Rahbek and A. M. Robert Taylor

Recent developments in bootstrap methods for dependent data pp. 290-314

Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Paul Doukhan, Gabriel Lang, Anne Leucht and Michael H. Neumann

Recent developments in bootstrap methods for dependent data pp. 315-326

Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Srijan Sengupta, Xiaofeng Shao and Yingchuan Wang

Recent developments in bootstrap methods for dependent data pp. 327-351

Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Dominique Dehay and Anna E. Dudek

Recent developments in bootstrap methods for dependent data pp. 352-376

Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Michael Wolf and Dan Wunderli

Recent developments in bootstrap methods for dependent data pp. 377-397

Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Marco Meyer and Jens-Peter Kreiss

Recent developments in bootstrap methods for dependent data pp. 398-415

Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek and Stephan Smeekes

Recent developments in bootstrap methods for dependent data pp. 416-441

Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Carsten Jentsch, Dimitris N. Politis and Efstathios Paparoditis

Recent developments in bootstrap methods for dependent data pp. 442-461

Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Karl B. Gregory, Soumendra N. Lahiri and Daniel J. Nordman

Recent developments in bootstrap methods for dependent data pp. 462-480

Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Patrice Bertail, Stéphan Clémençon and Jessica Tressou

Recent developments in bootstrap methods for dependent data pp. 481-502

Giuseppe Cavaliere, Dimitris N. Politis, Anders Rahbek, Antoine Djogbenou, Silvia Goncalves and Benoit Perron

Volume 36, issue 2, 2015

Tests for Volatility Shifts in Garch Against Long-Range Dependence pp. 127-153

Taewook Lee, Moosup Kim and Changryong Baek

Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models pp. 154-188

Morten Nielsen

Wavelet-Based Tests for Comparing Two Time Series with Unequal Lengths pp. 189-208

Jonathan Decowski and Linyuan Li

Signal Extraction for Non-Stationary Multivariate Time Series with Illustrations for Trend Inflation pp. 209-227

Tucker McElroy and Thomas Trimbur

Vine Copula Specifications for Stationary Multivariate Markov Chains pp. 228-246

Brendan Beare and Juwon Seo

A Gaussian Mixture Autoregressive Model for Univariate Time Series pp. 247-266

Leena Kalliovirta, Mika Meitz and Pentti Saikkonen

Time Series with Mixed Spectra, by Ta-Hsin Li. Published by CRC Press, 2014. Total number of pages: 680. ISBN: 978-1-58488-176-6 (hard cover), 978-1-42001-006-0 (ebook) pp. 267-268

Barry G. Quinn

Volume 36, issue 1, 2015

DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES pp. 1-25

Stefanos Kechagias and Vladas Pipiras

HYPOTHESIS TESTING FOR ARCH MODELS: A MULTIPLE QUANTILE REGRESSIONS APPROACH pp. 26-38

Seonjin Kim

A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS pp. 39-60

Carlos Velasco and Xuexin Wang

INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL pp. 61-66

Shiqing Ling, Liang Peng and Fukang Zhu

ON WEIGHTED PORTMANTEAU TESTS FOR TIME-SERIES GOODNESS-OF-FIT pp. 67-83

Colin M. Gallagher and Thomas J. Fisher

TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES pp. 84-108

Lajos Horvath and Gregory Rice

ON SELF-NORMALIZATION FOR CENSORED DEPENDENT DATA pp. 109-124

Yinxiao Huang, Stanislav Volgushev and Xiaofeng Shao

DISCRETE TIME SERIES, PROCESSES, AND APPLICATIONS IN FINANCE, by Gilles Zumbach. Springer Finance Series. Published by Springer, Heidelberg, Berlin, 2013. Total number of pages: 315. ISBN: 978-3-642-31741-5 pp. 125-125

Brendan McCabe