EconPapers    
Economics at your fingertips  
 

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 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
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.
A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior pp. 41 Downloads
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 Downloads
Weiß Christian, Scherer Lukas, Aleksandrov Boris and Feld Martin
Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts pp. 15 Downloads
Jan G. Gooijer and Zerom Dawit
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates pp. 18 Downloads
Manabu Asai, Peiris Shelton, Michael McAleer and David Allen
A Comparison of Hurst Exponent Estimators in Long-range Dependent Curve Time Series pp. 39 Downloads
Han Lin Shang

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
Alexander Amo Baffour, Feng Jingchun, Fan Liwei and Buanya Beryl Adormaa
Risk Analysis of Cumulative Intraday Return Curves pp. 31 Downloads
Kokoszka Piotr, Miao Hong, 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, 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 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

Volume 8, issue 2, 2016

On the Univariate Representation of BEKK Models with Common Factors pp. 91-113 Downloads
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 Downloads
Bardet Jean-Marc and Dola Béchir
Optimal Real-Time Filters for Linear Prediction Problems pp. 155-192 Downloads
Wildi Marc and Tucker McElroy
International Mobility of Capital in the United States: Robust Evidence from Time-Series Tests pp. 193-249 Downloads
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 Downloads
Robert Sollis
A Note on the QMLE Limit Theory in the Non-stationary ARCH(1) Model pp. 21-39 Downloads
Arvanitis Stelios and Louka Alexandros
An Improved Selection Test between Autoregressive and Moving Average Disturbances in Regression Models pp. 41-54 Downloads
Pierre Nguimkeu
Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox pp. 55-90 Downloads
Nonejad Nima

Volume 7, issue 2, 2015

A Test of the Long Memory Hypothesis Based on Self-Similarity pp. 115-141 Downloads
Davidson James and Dooruj Rambaccussing
Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests pp. 143-179 Downloads
Benjamin Born and Matei Demetrescu
Forecasting Volatility and the Risk–Return Tradeoff: An Application on the Fama–French Benchmark Market Return pp. 181-216 Downloads
Vafiadis Nikolaos
How Close Is a Fractional Process to a Random Walk with Drift? pp. 217-234 Downloads
Larsson Rolf

Volume 7, issue 1, 2015

Constrained Hamiltonian Monte Carlo in BEKK GARCH with Targeting pp. 19 Downloads
Martin Burda
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes pp. 26 Downloads
Manabu Asai and So Mike K.P.
Tapered Block Bootstrap for Unit Root Testing pp. 31 Downloads
Parker Cameron C., Paparoditis Efstathios and Politis Dimitris
Testing for Multiple Structural Changes with Non-Homogeneous Regressors pp. 35 Downloads
Eiji Kurozumi
Page updated 2021-04-18