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Journal of Time Series Econometrics

2009 - 2022

Current editor(s): Javier Hidalgo

From De Gruyter
Bibliographic data for series maintained by Peter Golla ().

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Volume 14, issue 2, 2022

Goodness-of-Fit Tests for SPARMA Models with Dependent Error Terms pp. 107-140 Downloads
Boubacar Maïnassara Yacouba and Ilmi Amir Abdoulkarim
Estimating SPARMA Models with Dependent Error Terms pp. 141-174 Downloads
Boubacar Maïnassara Yacouba and Ilmi Amir Abdoulkarim
Multivariate Hyper-Rotated GARCH-BEKK pp. 175-198 Downloads
Manabu Asai and McAleer Michael
Estimating Impulse-Response Functions for Macroeconomic Models using Directional Quantiles pp. 199-225 Downloads
Gabriel Montes-Rojas

Volume 14, issue 1, 2022

A Robust Test for Monotonicity in Asset Returns pp. 1-24 Downloads
Cleiton Taufemback, Victor Troster and Muhammad Shahbaz
On a Different way of Understanding the Edge-Effect for the Inference of ARMA-type Processes (in Zd ${\mathbb{Z}}^{d}$ ) pp. 25-50 Downloads
Dimitriou-Fakalou Chrysoula
Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors pp. 51-85 Downloads
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 Downloads
Fagundes Carrara Aniela and Luiz Pesquero Tiago

Volume 13, issue 2, 2021

A General Frequency Domain Estimation Method for Gegenbauer Processes pp. 119-144 Downloads
Richard Hunt, Peiris Shelton and Weber Neville
Estimation of Continuous and Discrete Time Co-integrated Systems with Stock and Flow Variables pp. 145-186 Downloads
González Olivares Daniel and Guizar Isai
Variable Selection in Regression Models Using Global Sensitivity Analysis pp. 187-233 Downloads
Becker William, Paolo Paruolo and Saltelli Andrea
Seasonal Adjustment of Daily Time Series pp. 235-264 Downloads
Ollech Daniel

Volume 13, issue 1, 2021

The Behavior of Divorce Rates: A Smooth Transition Regression Approach pp. 1-19 Downloads
Marko Korhonen and Puhakka Mikko
Consumption, Aggregate Wealth and Expected Stock Returns: An FCVAR Approach pp. 21-42 Downloads
Ricardo Quineche
Exchange Rate Forecasting Using Ensemble Modeling for Better Policy Implications pp. 43-71 Downloads
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 Downloads
Marfatia Hardik A.

Volume 12, issue 2, 2020

Bayesian Estimation of the Functional Spatial Lag Model pp. 22 Downloads
Aw Alassane and Cabral Emmanuel Nicolas
Bayesian Estimation of the Functional Spatial Lag Model pp. 22 Downloads
Aw Alassane and Cabral Emmanuel Nicolas
INAR(1) Processes with Inflated-parameter Generalized Power Series Innovations pp. 27 Downloads
Lívio Tito, Bourguignon Marcelo and Nascimento Fernando
Time-varying NoVaS Versus GARCH: Point Prediction, Volatility Estimation and Prediction Intervals pp. 36 Downloads
Chen Jie and Politis Dimitris N.
Time-varying NoVaS Versus GARCH: Point Prediction, Volatility Estimation and Prediction Intervals pp. 36 Downloads
Chen Jie and Politis Dimitris N.
A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior pp. 41 Downloads
Sebastian Ankargren, Unosson Måns and Yukai Yang
A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior pp. 41 Downloads
Sebastian Ankargren, Unosson Måns and Yang Yukai

Volume 12, issue 1, 2020

Checking Model Adequacy for Count Time Series by Using Pearson Residuals pp. 15 Downloads
Weiß Christian, Scherer Lukas, Aleksandrov Boris and Feld Martin
Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts pp. 15 Downloads
G. De Gooijer Jan and Zerom Dawit
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates pp. 18 Downloads
Asai Manabu, Peiris Shelton, McAleer Michael and Allen David E.
A Comparison of Hurst Exponent Estimators in Long-range Dependent Curve Time Series pp. 39 Downloads
Shang Han Lin

Volume 11, issue 2, 2019

Political Business Cycles in Australia Elections and Party Ideology pp. 9 Downloads
Bill Kolios
Forecasting Volatility Returns of Oil Price Using Gene Expression Programming Approach pp. 16 Downloads
Amo Baffour Alexander, Feng Jingchun, Fan Liwei and Buanya Beryl Adormaa
Risk Analysis of Cumulative Intraday Return Curves pp. 31 Downloads
Kokoszka Piotr, Hong Miao, Stoev Stilian and Zheng Ben
Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR) pp. 34 Downloads
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 Downloads
Lee Jinu
Modelling with Dispersed Bivariate Moving Average Processes pp. 19 Downloads
Sunecher Yuvraj, Mamode Khan Naushad and Jowaheer Vandna
Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model pp. 20 Downloads
Antonis Demos and Kyriakopoulou Dimitra
Local Lagged Adapted Generalized Method of Moments: An Innovative Estimation and Forecasting Approach and its Applications pp. 72 Downloads
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 Downloads
Mamode Khan Naushad, Sunecher Yuvraj and Jowaheer Vandna
Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation pp. 9 Downloads
David Ardia, Bluteau Keven 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 Downloads
Ahmed Muhammad Farid and Satchell Stephen
Sequential Testing with Uniformly Distributed Size pp. 22 Downloads
Stanislav Anatolyev and Grigory Kosenok

Volume 10, issue 1, 2018

On Trend Breaks and Initial Condition in Unit Root Testing pp. 15 Downloads
Anton Skrobotov
The Chow-Lin method extended to dynamic models with autocorrelated residuals pp. 17 Downloads
Aurélien Poissonnier
A Generalized ARFIMA Model with Smooth Transition Fractional Integration Parameter pp. 20 Downloads
Boubaker Heni
Volatility Modeling with Leverage Effect under Laplace Errors pp. 29 Downloads
Jiang Zhengjun and Weixuan Xia

Volume 9, issue 2, 2017

Analyzing the Full BINMA Time Series Process Using a Robust GQL Approach pp. 12 Downloads
Khan Naushad Mamode, Sunecher Yuvraj and Jowaheer Vandna
Testing for Nonlinearity in Conditional Covariances pp. 22 Downloads
Bilel Sanhaji
Do They Still Matter? – Impact of Fossil Fuels on Electricity Prices in the Light of Increased Renewable Generation pp. 30 Downloads
Lips Johannes
Tail Behavior and Dependence Structure in the APARCH Model pp. 48 Downloads
Javed Farrukh and Podgórski Krzysztof

Volume 9, issue 1, 2017

Testing for a Change in Mean under Fractional Integration pp. 8 Downloads
Fabrizio Iacone, Stephen Leybourne and Robert Taylor A.M.
The Impact of the Initial Condition on Covariate Augmented Unit Root Tests pp. 23 Downloads
Aristidou Chrystalleni, David Harvey and Stephen Leybourne
Signal Extraction for Nonstationary Time Series with Diverse Sampling Rules pp. 37 Downloads
Trimbur Thomas and Tucker McElroy
Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors pp. 41 Downloads
Symeonides Spyridon D., Yiannis Karavias and Elias Tzavalis
Page updated 2022-12-05