Journal of Time Series Econometrics

2009 - 2025

Current editor(s): Javier Hidalgo

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Volume 17, issue 2, 2025

The Unit-Root Revolution Revisited: Where Do Non-Standard Sampling Distributions and Related Conundrums Stem From? pp. 69-117

Spanos Aris

Revisiting the Revenue-Spending Nexus in the United States: A Time-Frequency Perspective pp. 119-140

Yu Wang

Volume 17, issue 1, 2025

VS-LTGARCHX: A Flexible Variable Selection in Log-TGARCHX Models pp. 1-34

Orujov Samir, Elvira Victor, Poterie Audrey, Rajabov Farid and Septier Francois

Forecasting High-Dimensional Portfolios pp. 35-67

Mattera Raffaele

Volume 16, issue 2, 2024

Recurrent Neural Network GO-GARCH Model for Portfolio Selection pp. 67-81

Burda Martin and Schroeder Adrian K.

Forecasting the Risk of Cryptocurrencies: Comparison and Combination of GARCH and Stochastic Volatility Models pp. 83-108

Prüser Jan

Volume 16, issue 1, 2024

Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation pp. 1-27

Yongdeng Xu

Commodity Price and Indonesian Fiscal Policy: An SVAR Analysis with Non-Gaussian Errors pp. 29-66

Alfan Mansur

Volume 15, issue 2, 2023

In-Fill Asymptotic Distribution of the Change Point Estimator when Estimating Breaks One at a Time pp. 111-149

Tayanagi Toshikazu and Kurozumi Eiji

Temporally Local Maximum Likelihood with Application to SIS Model pp. 151-198

Gourieroux Christian and Joann Jasiak

Volume 15, issue 1, 2023

Improving the Estimation and Predictions of Small Time Series Models pp. 1-26

Liu-Evans Gareth

Forecasting Inflation in Mongolia: A Dynamic Model Averaging Approach pp. 27-48

Gan-Ochir Doojav and Davaajargal Luvsannyam

Realized BEKK-CAW Models pp. 49-77

Manabu Asai and So Mike K. P.

Simple Factor Realized Stochastic Volatility Models pp. 79-110

Kawakatsu Hiroyuki

Volume 14, issue 2, 2022

Goodness-of-Fit Tests for SPARMA Models with Dependent Error Terms pp. 107-140

Boubacar Maïnassara Yacouba and Ilmi Amir Abdoulkarim

Estimating SPARMA Models with Dependent Error Terms pp. 141-174

Boubacar Maïnassara Yacouba and Ilmi Amir Abdoulkarim

Multivariate Hyper-Rotated GARCH-BEKK pp. 175-198

Manabu Asai and Michael McAleer

Estimating Impulse-Response Functions for Macroeconomic Models using Directional Quantiles pp. 199-225

Gabriel Montes-Rojas

Volume 14, issue 1, 2022

A Robust Test for Monotonicity in Asset Returns pp. 1-24

Cleiton Taufemback, Victor Troster and Muhammad Shahbaz

On a Different way of Understanding the Edge-Effect for the Inference of ARMA-type Processes (in Z d ${\mathbb{Z}}^{d}$ ) pp. 25-50

Dimitriou-Fakalou Chrysoula

Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors pp. 51-85

Alessandra Canepa

The Export of Commodities and the Validity of the Export-Led Growth (ELG) Hypothesis for the Brazilian Economy: An Analysis of the Commodity Boom Period pp. 87-106

Fagundes Carrara Aniela and Luiz Pesquero Tiago

Volume 13, issue 2, 2021

A General Frequency Domain Estimation Method for Gegenbauer Processes pp. 119-144

Richard Hunt, Peiris Shelton and Weber Neville

Estimation of Continuous and Discrete Time Co-integrated Systems with Stock and Flow Variables pp. 145-186

González Olivares Daniel and Guizar Isai

Variable Selection in Regression Models Using Global Sensitivity Analysis pp. 187-233

Becker William, Paolo Paruolo and Andrea Saltelli

Seasonal Adjustment of Daily Time Series pp. 235-264

Ollech Daniel

Volume 13, issue 1, 2021

The Behavior of Divorce Rates: A Smooth Transition Regression Approach pp. 1-19

Marko Korhonen and Puhakka Mikko

Consumption, Aggregate Wealth and Expected Stock Returns: An FCVAR Approach pp. 21-42

Ricardo Quineche

Exchange Rate Forecasting Using Ensemble Modeling for Better Policy Implications pp. 43-71

Tripathi Manas, Kumar Saurabh and Inani Sarveshwar Kumar

Modeling House Price Synchronization across the U.S. States and their Time-Varying Macroeconomic Linkages pp. 73-117

Marfatia Hardik A.

Volume 12, issue 2, 2020

Bayesian Estimation of the Functional Spatial Lag Model pp. 22

Aw Alassane and Cabral Emmanuel Nicolas

Bayesian Estimation of the Functional Spatial Lag Model pp. 22

Aw Alassane and Cabral Emmanuel Nicolas

INAR(1) Processes with Inflated-parameter Generalized Power Series Innovations pp. 27

Lívio Tito, Bourguignon Marcelo and Nascimento Fernando

Time-varying NoVaS Versus GARCH: Point Prediction, Volatility Estimation and Prediction Intervals pp. 36

Chen Jie and Politis Dimitris N.

Time-varying NoVaS Versus GARCH: Point Prediction, Volatility Estimation and Prediction Intervals pp. 36

Chen Jie and Politis Dimitris N.

A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior pp. 41

Sebastian Ankargren, Unosson Måns and Yukai Yang

A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior pp. 41

Sebastian Ankargren, Unosson Måns and Yukai Yang

Volume 12, issue 1, 2020

Checking Model Adequacy for Count Time Series by Using Pearson Residuals pp. 15

Weiß Christian, Scherer Lukas, Aleksandrov Boris and Feld Martin

Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts pp. 15

Jan G. Gooijer and Dawit Zerom

Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates pp. 18

Manabu Asai, Peiris Shelton, Michael McAleer and David Allen

A Comparison of Hurst Exponent Estimators in Long-range Dependent Curve Time Series pp. 39

Han Lin Shang

Volume 11, issue 2, 2019

Political Business Cycles in Australia Elections and Party Ideology pp. 9

Bill Kolios

Forecasting Volatility Returns of Oil Price Using Gene Expression Programming Approach pp. 16

Alexander Amo Baffour, Feng Jingchun, Fan Liwei and Buanya Beryl Adormaa

Risk Analysis of Cumulative Intraday Return Curves pp. 31

Kokoszka Piotr, Hong Miao, Stoev Stilian and Zheng Ben

Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR) pp. 34

Tófoli Paula V., Ziegelmann Flávio A., Osvaldo Candido and Pedro Valls Pereira

Volume 11, issue 1, 2019

A Neural Network Method for Nonlinear Time Series Analysis pp. 18

Lee Jinu

Modelling with Dispersed Bivariate Moving Average Processes pp. 19

Sunecher Yuvraj, Mamode Khan Naushad and Jowaheer Vandna

Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model pp. 20

Antonis Demos and Kyriakopoulou Dimitra

Local Lagged Adapted Generalized Method of Moments: An Innovative Estimation and Forecasting Approach and its Applications pp. 72

Otunuga Olusegun M., Ladde Gangaram S. and Ladde Nathan G.

Volume 10, issue 2, 2018

A Flexible Observation-Driven Stationary Bivariate Negative Binomial INAR(1) with Non-homogeneous Levels of Over-dispersion pp. 8

Mamode Khan Naushad, Sunecher Yuvraj and Jowaheer Vandna

Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation pp. 9

David Ardia, Keven Bluteau and Hoogerheide Lennart F.

What Proportion of Time is a Particular Market Inefficient? … A Method for Analysing the Frequency of Market Efficiency when Equity Prices Follow Threshold Autoregressions pp. 22

Ahmed Muhammad Farid and Satchell Stephen

Sequential Testing with Uniformly Distributed Size pp. 22

Stanislav Anatolyev and Grigory Kosenok

Volume 10, issue 1, 2018

On Trend Breaks and Initial Condition in Unit Root Testing pp. 15

Anton Skrobotov

The Chow-Lin method extended to dynamic models with autocorrelated residuals pp. 17

Aurélien Poissonnier

A Generalized ARFIMA Model with Smooth Transition Fractional Integration Parameter pp. 20

Boubaker Heni

Volatility Modeling with Leverage Effect under Laplace Errors pp. 29

Jiang Zhengjun and Weixuan Xia