Journal of Time Series Econometrics

2009 - 2021

Current editor(s): Javier Hidalgo

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

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

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.

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 Zerom Dawit

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, Miao Hong, 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

Volume 9, issue 2, 2017

Analyzing the Full BINMA Time Series Process Using a Robust GQL Approach pp. 12

Khan Naushad Mamode, Sunecher Yuvraj and Jowaheer Vandna

Testing for Nonlinearity in Conditional Covariances pp. 22

Bilel Sanhaji

Do They Still Matter? – Impact of Fossil Fuels on Electricity Prices in the Light of Increased Renewable Generation pp. 30

Lips Johannes

Tail Behavior and Dependence Structure in the APARCH Model pp. 48

Javed Farrukh and Podgórski Krzysztof

Volume 9, issue 1, 2017

Testing for a Change in Mean under Fractional Integration pp. 8

Fabrizio Iacone, Stephen Leybourne and Robert Taylor A.M.

The Impact of the Initial Condition on Covariate Augmented Unit Root Tests pp. 23

Aristidou Chrystalleni, David Harvey and Stephen Leybourne

Signal Extraction for Nonstationary Time Series with Diverse Sampling Rules pp. 37

Trimbur Thomas and Tucker McElroy

Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors pp. 41

Symeonides Spyridon D., Yiannis Karavias and Elias Tzavalis

Volume 8, issue 2, 2016

On the Univariate Representation of BEKK Models with Common Factors pp. 91-113

Alain Hecq, Franz Palm and Sébastien Laurent

Semiparametric Stationarity and Fractional Unit Roots Tests Based on Data-Driven Multidimensional Increment Ratio Statistics pp. 115-153

Bardet Jean-Marc and Dola Béchir

Optimal Real-Time Filters for Linear Prediction Problems pp. 155-192

Wildi Marc and Tucker McElroy

International Mobility of Capital in the United States: Robust Evidence from Time-Series Tests pp. 193-249

Singh Tarlok

Volume 8, issue 1, 2016

Fixed and Recursive Right-Tailed Dickey–Fuller Tests in the Presence of a Break under the Null pp. 1-19

Robert Sollis

A Note on the QMLE Limit Theory in the Non-stationary ARCH(1) Model pp. 21-39

Arvanitis Stelios and Louka Alexandros

An Improved Selection Test between Autoregressive and Moving Average Disturbances in Regression Models pp. 41-54

Pierre Nguimkeu

Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox pp. 55-90

Nonejad Nima

Volume 7, issue 2, 2015

A Test of the Long Memory Hypothesis Based on Self-Similarity pp. 115-141

Davidson James and Dooruj Rambaccussing

Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests pp. 143-179

Benjamin Born and Matei Demetrescu

Forecasting Volatility and the Risk–Return Tradeoff: An Application on the Fama–French Benchmark Market Return pp. 181-216

Vafiadis Nikolaos

How Close Is a Fractional Process to a Random Walk with Drift? pp. 217-234

Larsson Rolf

Volume 7, issue 1, 2015

Constrained Hamiltonian Monte Carlo in BEKK GARCH with Targeting pp. 19

Martin Burda

Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes pp. 26

Manabu Asai and So Mike K.P.

Tapered Block Bootstrap for Unit Root Testing pp. 31

Parker Cameron C., Paparoditis Efstathios and Politis Dimitris

Testing for Multiple Structural Changes with Non-Homogeneous Regressors pp. 35

Eiji Kurozumi