Journal of Time Series Analysis

Article	Citations
Issue Information	14
	13
New associate editors	12
High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models	12
Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations	10
Editorial Announcement	8
	8
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices	8
Issue Information	8
Issue Information	7
A Conditional Tail Expectation Type Risk Measure for Time Series	7
Trend locally stationary wavelet processes	6
Mode Meets Mean: A New Robust Volatility	6
Online Detection of Forecast Model Inadequacies Using Forecast Errors	5
The Liquidity Uncertainty Premium Puzzle	5
Additive autoregressive models for matrix valued time series	5
Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model	5
Empirical likelihood for martingale differences	5
Recent Developments in Time‐Series Methods for Detecting Bubbles and Crashes: Guest Editors' Introduction	5
Stationary Jackknife	5
Inference for calendar effects in microstructure noise	4
On buffered moving average models	4
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	4
Estimation of the Long‐Run Variance of Nonlinear Time Series With an Application to Change Point Analysis	4
Tail index estimation for tail adversarial stable time series with an application to high‐dimensional tail clustering	4

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Nonparametric Inference of Conditional Expectile Functions in Large‐Scale Time Series Data With Improved Efficiency	4
A Note on Local Polynomial Regression for Time Series in Banach Spaces	4
Estimating lagged (cross‐)covariance operators of Lp‐m‐approximable processes in Cartesian product Hilbert spaces	4
Consistency of averaged impulse response estimators in vector autoregressive models	4
Dynamic deconvolution and identification of independent autoregressive sources	4
Smoothing Spline Semi‐Parametric Non‐Gaussian Structural Vector Autoregressive Models	3
Inference in Coarsened Time Series via Generalized Method of Moments	3
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	3
Editorial announcement	3
Permutation Testing for Monotone “Trend”	3
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	3
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Statistical analysis of irregularly spaced spatial data in frequency domain	3
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Bootstrapping non‐stationary and irregular time series using singular spectral analysis	3
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	3
Noising the GARCH Volatility: A Random Coefficient GARCH Model	3
Spatiotemporal Heterogeneity Learning: Generalized SpatioTemporal Semi‐Varying Coefficient Models With Structure Identification	2
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Inverse Autocovariance Estimates	2
Mean‐preserving rounding integer‐valued ARMA models	2
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Inference in functional factor models with applications to yield curves	2
Extremely Fast Maximum Likelihood Estimation of High‐Order Autoregressive Models	2
Issue Information	2
Towards Identification of Shocks in Linear State‐Space Models: Application to Stochastic Volatility Model	2
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Editorial Announcement	2
Poisson count time series	2
Test of change point versus long‐range dependence in functional time series	2
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Gradual Changes in Functional Time Series	2
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	2
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Time‐Varying Dispersion Integer‐Valued GARCH Models	2
Tests for Changes in Count Time Series Models With Exogenous Covariates	2
Issue Information	2
Testing and Estimation of Change Point in ARMA Model With Heavy‐Tailed G‐GARCH Noises	2
The Gaussian Central Limit Theorem for a Stationary Time Series With Infinite Variance	2
Issue Information	2
A new heteroskedasticity‐robust test for explosive bubbles	2
Transformed‐Linear Models for Time Series Extremes	2
Portmanteau tests for periodic ARMA models with dependent errors	2
A non‐parametric test for multi‐variate trend functions	2
Oracally Efficient Estimation and Consistent Model Selection for Spatial ARMA Process With Bivariate Trend	1
On vector linear double autoregression	1
Detecting Relevant Deviations From the White Noise Assumption for Non‐Stationary Time Series	1

On Selection of Cross‐Section Averages in Non‐Stationary Environments	1
A new portmanteau test for predictive regression models with possible embedded endogeneity	1
Estimation on unevenly spaced time series	1
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	1
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	1
Testing for Unspecified Periodicities in Binary Time Series	1
A Mixture Transition Distribution Modeling for Higher‐Order Circular Markov Processes	1
Directed graphs and variable selection in large vector autoregressive models	1
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Permutation testing for dependence in time series	1
Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients	1
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	1
On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting	1
Peaks, gaps, and time‐reversibility of economic time series	1
Testing covariance separability for continuous functional data	1
Issue Information	1
A new non‐parametric cross‐spectrum estimator	1
Stochastic local and moderate departures from a unit root and its application to unit root testing	1
Optimal estimating function for weak location‐scale dynamic models	1
Johansen‐type cointegration tests with a Fourier function	1
Issue Information	1
Estimation for conditional moment models based on martingale difference divergence	1
On Exponential‐Family INGARCH Models	1
Self‐Normalized KPSS Tests With Power Enhancement	1
Latent Gaussian Dynamic Factor Modeling and Forecasting for Multivariate Count Time Series	1
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties	1
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	1
Corrigendum to the article “Regular multidimensional stationary time series”	1
On highly skewed fractional log‐stable noise sequences and their application	1
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Time Series Models on Compact Spaces, With an Application to Dynamic Modeling of Relative Abundance Data in Ecology	1
A new estimator for LARCH processes	1
Sequential Detector Statistics for Speculative Bubbles	1
Blockwise Empirical Likelihood and Efficiency for Markov Chains	1
An Automatic Multi‐Scale Test for Serial Correlation of High‐Dimensional Time Series	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2025	0
Testing for the extent of instability in nearly unstable processes	0
Density‐Valued ARMA Models by Spline Mixtures	0
Estimation of non‐smooth non‐parametric estimating equations models with dependent data	0
Functional Vašiček Model	0
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Generalized covariance‐based inference for models set‐identified from independence restrictions	0
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Fractional Gaussian Noise: Spectral Density and Estimation Methods	0
Mixed orthogonality graphs for continuous‐time state space models and orthogonal projections	0
Count network autoregression	0
Goodness‐of‐fit tests for the multivariate Student‐tdistribution based on i.i.d. data, and for GARCH observations	0
High‐Frequency‐Based Volatility Model with Network Structure	0
mixFOCuS: A Communication‐Efficient Online Changepoint Detection Method in Distributed System for Mixed‐Type Data	0
Ridge regularized estimation of VAR models for inference	0
Editorial Announcement	0
A Robust Topological Framework for Detecting Regime Changes in Multi‐Trial Experiments With Application to Predictive Maintenance	0
Estimation and Inference for Higher‐Order Stochastic Volatility Models With Leverage	0
Volatility models for stylized facts of high‐frequency financial data	0
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Panel Threshold Mixed Data Sampling Models With a Covariate‐Dependent Threshold	0
Functional Sieve Bootstrap for the Partial Sum Process With an Application to Change‐Point Detection	0
Sequential Monitoring for Changes in GARCH(1,1) Models Without Assuming Stationarity	0
Second‐Order Properties of the Convolved Subsampling Method for Time Series	0
Issue Information	0
Local quadratic spectral and covariance matrix estimation	0
A Zero Serial Cross‐Correlation Test Before Fitting Heteroscedasticity	0
Monitoring panels of sparse functional data	0
The Dual Frequency Spectral Density Function of Locally Periodic Stationary Processes With an Application to Testing for Correlation Between Different Frequency Bands of a Time Series	0
Autocorrelation Functions for Point‐Process Time Series	0
A Novel Test for the Presence of Local Explosive Dynamics	0
Quantile Regression Estimation for Poisson Autoregressive Models	0
Higher‐order asymptotics of minimax estimators for time series	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022	0
Editorial Announcement	0
Non‐crossing quantile double‐autoregression for the analysis of streaming time series data	0
A first order continuous timeVARwith random coefficients	0
Bootstrap prediction inference of nonlinear autoregressive models	0
Online Network Change Point Detection With Missing Values and Temporal Dependence	0
Issue Information	0
Bubbles and crashes: A tale of quantiles	0
Local Whittle estimation in time‐varying long memory series	0
General estimation results for tdVARMA array models	0
Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors	0
Mean square consistency and improved rate of convergence of generalized subsampling estimator for non‐stationary time series	0

Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors	0
Inference for high‐dimensional linear models with locally stationary error processes	0
Independent Component Analysis With Heavy Tails Using Distance Covariance	0
Seasonal count time series	0
Asymptotic Normality of Bias Reduction Estimation for Jump Intensity Function in Financial Markets	0
Optimal Linear Prediction With Functional Observations: Why You Can Use a Simple Post‐Dimension Reduction Estimator	0
Regime switching models for circular and linear time series	0
Editorial Announcement	0
Flexible bivariate INGARCH process with a broad range of contemporaneous correlation	0
Issue Information	0
A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots	0
Modeling Nonstationary Time Series Using Locally Stationary Basis Processes	0
Modal volatility function	0
Nonlinear Wavelet Threshold Estimation of Time‐Varying Covariance Matrices in a Log‐Euclidean Manifold	0
Issue Information	0
Sequential Outlier Detection in Nonstationary Time Series	0
Cointegrating Polynomial Regressions With Power Law Trends	0
Self‐normalization inference for linear trends in cointegrating regressions	0
Detecting relevant changes in the spatiotemporal mean function	0
Understanding Multi‐horizon Forecasts: Identification, Estimation and Testing	0
Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra	0
Time Series Quantile Regression Using Random Forests	0
Call for Papers: Special Issue on Recent Developments in Time Series Methods for Detecting Bubbles and Crashes	0
Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi	0
Quantile analysis for financial bubble detection and surveillance	0
A Stochastic Tree for Bubble Asset Modelling and Pricing	0
A note on Johansen's rank conditions and the Jordan form of a matrix	0
Testing in GARCH‐X models: boundary, correlations and bootstrap theory	0
Issue Information	0
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor	0
The Continuous‐Time Limit of Quasi Score‐Driven Volatility Models	0
A prediction perspective on the Wiener–Hopf equations for time series	0
Functional principal component analysis for cointegrated functional time series	0
CAViaR Model Selection via Adaptive Lasso	0
The Dynamic, the Static, and the Weak: Factor Models and the Analysis of High‐Dimensional Time Series	0
Some recent trends in embeddings of time series and dynamic networks	0
On distributional autoregression and iterated transportation	0
Correcting the bias of the sample cross‐covariance estimator	0
Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting	0
Issue Information	0
Issue Information	0
Automated Bandwidth Selection for Inference in Linear Models With Time‐Varying Coefficients	0
Special Issue in Honor of Professor Hira Lal Koul	0
Continuous Record Asymptotics for Change‐Point Models	0
Tensor Changepoint Detection and Eigenbootstrap	0
Issue Information	0
System identification using autoregressive Bayesian neural networks with nonparametric noise models	0
Online Jump and Kink Detection in Segmented Linear Regression: Statistical Optimality Meets Computational Efficiency	0
Spectral Density Estimation for a Class of Spectrally Correlated Processes	0
Factor models for high‐dimensional functional time series II: Estimation and forecasting	0
Estimation for Markov Chains with Periodically Missing Observations	0
Robust CDF‐Filtering of a Location Parameter	0
Moving Sum Procedure for Multiple Change Point Detection in Large Factor Models	0
Markov Determinantal Point Process for Dynamic Random Sets	0
Decoupling Interday and Intraday Volatility Dynamics With Price Durations	0
Autoregressive mixture models for clustering time series	0
Exact likelihood for inverse gamma stochastic volatility models	0
A trinomial difference autoregressive process for the bounded ℤ‐valued time series	0
Estimating and Testing Multiple Structural Breaks in Nonparametric Regressions	0
Inference on nonstationary heavy‐tailed AR processes via model selection	0
A residual‐based nonparametric variance ratio no‐cointegration test	0
Multiple Changepoint Detection for Non‐Gaussian Time Series	0
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Issue Information	0
Fractional stochastic volatility model	0
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Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain	0
Issue Information	0
High‐dimensional sparse multivariate stochastic volatility models	0
Special Issue in Honour of Stephen J. Taylor: Guest Editors' Introduction	0
Nonlinear kernel mode‐based regression for dependent data	0
Issue Information	0
The Granger–Johansen representation theorem for integrated time series on Banach space	0
Nonparametric Detection of a Time‐Varying Mean	0
Tempered functional time series	0
Testing for symmetric correlation matrices with applications to factor models	0
Smooth transition moving average models: Estimation, testing, and computation	0
Issue Information	0
Threshold Network GARCH Model	0
Dependence properties of stochastic volatility models	0
Margin‐closed vector autoregressive time series models	0
Local GMM Estimation for Nonparametric Time‐Varying Coefficient Moment Condition Models	0
Testing Mean Stability of Heteroskedastic Time Series	0
Simultaneous Estimation of Stable Parameters for Multiple Autoregressive Processes From Datasets of Nonuniform Sizes	0
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Editorial announcement	0
Estimating a common break point in means for long‐range dependent panel data	0
Existence of a Periodic and Seasonal INAR Process	0
A testing approach to clustering scalar time series	0
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Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments	0
Selecting the number of factors in multi‐variate time series	0
Editorial Announcement: Addendum to Journal of Time Series Analysis Distinguished Authors 2023	0
An Improved Procedure for Retrospectively Dating the Emergence and Collapse of Bubbles	0