Journal of Time Series Econometrics

2009 - 2018

Current editor(s): Javier Hidalgo

From De Gruyter
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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

Ardia David, 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

Ahmed Muhammad Farid and Satchell Stephen

Sequential Testing with Uniformly Distributed Size pp. 22

Stanislav Anatolyev and Kosenok Grigory

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 McElroy Tucker

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 McElroy Tucker

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

Volume 6, issue 2, 2014

Modeling Style Rotation: Switching and Re-switching pp. 26

Golosov Edward and Satchell Stephen

Optimal Signal Extraction with Correlated Components pp. 37

Tucker McElroy and Agustin Maravall

Valid Locally Uniform Edgeworth Expansions for a Class of Weakly Dependent Processes or Sequences of Smooth Transformations pp. 53

Arvanitis Stelios and Antonis Demos

Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in the Presence of Individual and Time Effects pp. 53

Ryo Okui

Volume 6, issue 1, 2013

Bootstrap Point Optimal Unit Root Tests pp. 1-31

Wang Liqiong

Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion pp. 33-61

Anton Skrobotov

Estimation Bias and Feasible Conditional Forecasts from the First-Order Moving Average Model pp. 63-80

Yong Bao and Zhang Ru

Cycles, Syllogisms and Semantics: Examining the Idea of Spurious Cycles pp. 81-102

David Pollock

Volume 5, issue 2, 2013

Monitoring the Intraday Volatility Pattern pp. 87-116

Gabrys Robertas, Hörmann Siegfried and Kokoszka Piotr

On Identifying Structural VAR Models via ARCH Effects pp. 117-131

George Milunovich and Minxian Yang

Asymptotic Theory for Regressions with Smoothly Changing Parameters pp. 133-162

Eric Hillebrand, Marcelo Medeiros and Xu Junyue

A Covariate Residual-Based Cointegration Test Applied to the CDS-Bond Basis pp. 163-192

Game Aaron and Jason Wu

A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models pp. 193-229

Márcio Laurini

Volume 5, issue 1, 2013

Real-Time Monitoring Test for Realized Volatility pp. 1-24

Cindy Shin-huei Wang and Cheng Hsiao

Two-Stage Weighted Least Squares Estimation of Nonstationary Random Coefficient Autoregressions pp. 25-46

Aknouche Abdelhakim

Asymptotic Behavior of Temporal Aggregates in the Frequency Domain pp. 47-60

Uwe Hassler and Henghsiu Tsai

Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations pp. 61-68

Tae Hwy Lee, Xi Zhou and Zhang Ru

Volume 4, issue 2, 2012

Testing for Cointegration in the Presence of Moving Average Errors pp. 1-68

Mindy Mallory and Sergio Lence

On the Exact Discretization of a Continuous Time AR(1) Model driven by either Long Memory or Antipersistent Innovations: A Fractional Algebra Approach pp. 1-26

Theodore Simos

The Square Root of a Matrix pp. 1-7

Abadir Karim M.

Bootstrap, Jackknife and COLS: Bias and Mean Squared Error in Estimation of Autoregressive Models pp. 1-35

Gareth Liu-Evans and Garry Phillips

Testing for Structural Change in Heterogeneous Panels with an Application to the Euro's Trade Effect pp. 1-35

Laurent Pauwels, Felix Chan and Mancini Griffoli Tommaso

Volume 4, issue 1, 2012

First Stage Estimation of Fractional Cointegration pp. 1-32

Hualde Javier and Fabrizio Iacone

Markov Breaks in Regression Models pp. 1-35

Smith Aaron

Biases of Correlograms and of AR Representations of Stationary Series pp. 1-11

Abadir Karim M. and Larsson Rolf

Regression with Autocorrelated Errors Using Design-Adapted Haar Wavelets pp. 1-30

Porto Rogério F., Morettin Pedro A. and Aubin Elisete C. Q.