Journal of Time Series Econometrics

2009 - 2024

Current editor(s): Javier Hidalgo

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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

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: Thomas Trimbur and Tucker McElroy
Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors pp. 41: Symeonides Spyridon D., Yiannis Karavias and Elias Tzavalis

On the Univariate Representation of BEKK Models with Common Factors pp. 91-113: Alain Hecq, Sébastien Laurent and Franz Palm
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

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 Alexandros Louka
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

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

Testing for Multiple Structural Changes with Non-Homogeneous Regressors pp. 1-35: Eiji Kurozumi
Tapered Block Bootstrap for Unit Root Testing pp. 37-67: Parker Cameron C., Paparoditis Efstathios and Politis Dimitris
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes pp. 69-94: Manabu Asai and So Mike K.P.
Constrained Hamiltonian Monte Carlo in BEKK GARCH with Targeting pp. 95-113: Martin Burda

Modeling Style Rotation: Switching and Re-switching pp. 103-128: Golosov Edward and Satchell Stephen
Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in the Presence of Individual and Time Effects pp. 129-181: Ryo Okui
Valid Locally Uniform Edgeworth Expansions for a Class of Weakly Dependent Processes or Sequences of Smooth Transformations pp. 183-235: Arvanitis Stelios and Antonis Demos
Optimal Signal Extraction with Correlated Components pp. 237-273: Tucker McElroy and Agustin Maravall

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

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

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

The Square Root of a Matrix pp. 7: Abadir Karim M.
On the Exact Discretization of a Continuous Time AR(1) Model driven by either Long Memory or Antipersistent Innovations: A Fractional Algebra Approach pp. 26: Theodore Simos
Bootstrap, Jackknife and COLS: Bias and Mean Squared Error in Estimation of Autoregressive Models pp. 35: Gareth Liu-Evans and Garry Phillips
Testing for Structural Change in Heterogeneous Panels with an Application to the Euro's Trade Effect pp. 35: Laurent Pauwels, Felix Chan and Mancini Griffoli Tommaso
Testing for Cointegration in the Presence of Moving Average Errors pp. 68: Mindy Mallory and Sergio Lence

Biases of Correlograms and of AR Representations of Stationary Series pp. 11: Abadir Karim M. and Larsson Rolf
Regression with Autocorrelated Errors Using Design-Adapted Haar Wavelets pp. 30: Porto Rogério F., Morettin Pedro A. and Aubin Elisete C. Q.
First Stage Estimation of Fractional Cointegration pp. 32: Hualde Javier and Fabrizio Iacone
Markov Breaks in Regression Models pp. 35: Smith Aaron