Journal of Time Series Econometrics

2009 - 2024

Current editor(s): Javier Hidalgo

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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

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

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

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

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

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

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

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.

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

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

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: Amo Baffour Alexander, 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

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.

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

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