Journal of Time Series Analysis

Article	Citations
	28
New associate editors	22
Issue Information	10
Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations	10
High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models	9
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Issue Information	9
Conditional quantile analysis for realized GARCH models	8
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices	8
Simultaneous inference for autocovariances based on autoregressive sieve bootstrap	8
Issue Information	7
A new volatility model: GQARCH‐ItÔ model	6
Trend locally stationary wavelet processes	6
A two‐step procedure for testing partial parameter stability in cointegrated regression models	6
Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model	5
On causal and non‐causal cointegrated vector autoregressive time series	5
Empirical likelihood for martingale differences	5
Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods	5
The Liquidity Uncertainty Premium Puzzle	4
Stationary Jackknife	4
Rank test of unit‐root hypothesis with AR‐GARCH errors	4
Tail index estimation for tail adversarial stable time series with an application to high‐dimensional tail clustering	4
Consistency of averaged impulse response estimators in vector autoregressive models	4
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	4
Additive autoregressive models for matrix valued time series	4

Editorial Announcement: Professor Michael McAleer	4
Inference for calendar effects in microstructure noise	4
A new GJR‐GARCH model for ℤ‐valued time series	4
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	4
On buffered moving average models	4
Generalized autoregressive moving average models with GARCH errors	4
Estimating lagged (cross‐)covariance operators of Lp‐m‐approximable processes in Cartesian product Hilbert spaces	4
Misspecified semiparametric model selection with weakly dependent observations	4
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Dynamic deconvolution and identification of independent autoregressive sources	4
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Inverse Autocovariance Estimates	3
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	3
Statistical analysis of irregularly spaced spatial data in frequency domain	3
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Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	3
Editorial announcement	3
Bootstrapping non‐stationary and irregular time series using singular spectral analysis	3
Poisson count time series	3
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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Mean‐preserving rounding integer‐valued ARMA models	2
Tests for Changes in Count Time Series Models With Exogenous Covariates	2
Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor	2
Generalized binary vector autoregressive processes	2
Inference in Coarsened Time Series via Generalized Method of Moments	2
Issue Information	2
Editorial Announcement	2
Issue Information	2
A non‐parametric test for multi‐variate trend functions	2
Time‐Varying Dispersion Integer‐Valued GARCH Models	2
Peaks, gaps, and time‐reversibility of economic time series	1
On highly skewed fractional log‐stable noise sequences and their application	1
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties	1
Blockwise Empirical Likelihood and Efficiency for Markov Chains	1
A new heteroskedasticity‐robust test for explosive bubbles	1
Inference in functional factor models with applications to yield curves	1
Issue Information	1
Corrigendum to the article “Regular multidimensional stationary time series”	1
A new estimator for LARCH processes	1
Estimation on unevenly spaced time series	1
General estimation results for tdVARMA array models	1
Self‐Normalized KPSS Tests With Power Enhancement	1
Issue Information	1

Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	1
Regular multidimensional stationary time series	1
Estimation and inference in adaptive learning models with slowly decreasing gains	1
A new non‐parametric cross‐spectrum estimator	1
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Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	1
Portmanteau tests for periodic ARMA models with dependent errors	1
Issue Information	1
Directed graphs and variable selection in large vector autoregressive models	1
Autoregressive density modeling with the Gaussian process mixture transition distribution	1
Permutation testing for dependence in time series	1
Time Series Models on Compact Spaces, With an Application to Dynamic Modeling of Relative Abundance Data in Ecology	1
A new portmanteau test for predictive regression models with possible embedded endogeneity	1
On Exponential‐Family INGARCH Models	1
On vector linear double autoregression	1
TIME SERIES: A FIRST COURSE WITH BOOTSTRAP STARTER, by Tucker S.McElroy and Dimitris N.Politis. Published by CRC Press, 2020. 586 pp. ISBN: 9781439876510	1
On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting	1
On the Relationship between Uhlig Extended and beta‐Bartlett Processes	1
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Transformed‐Linear Models for Time Series Extremes	1
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	1
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	1
Optimal estimating function for weak location‐scale dynamic models	1
A Mixture Transition Distribution Modeling for Higher‐Order Circular Markov Processes	1
Estimation for conditional moment models based on martingale difference divergence	1
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Testing covariance separability for continuous functional data	1
Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients	1
Markov Determinantal Point Process for Dynamic Random Sets	0
A trinomial difference autoregressive process for the bounded ℤ‐valued time series	0
Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra	0
Goodness‐of‐fit tests for the multivariate Student‐tdistribution based on i.i.d. data, and for GARCH observations	0
Weighted discrete ARMA models for categorical time series	0
Volatility models for stylized facts of high‐frequency financial data	0
Ridge regularized estimation of VAR models for inference	0
Speculative Bubbles in the Recent AI Boom: Nasdaq and the Magnificent Seven	0
Issue Information	0
Modal volatility function	0
Local quadratic spectral and covariance matrix estimation	0
Understanding Multi‐horizon Forecasts: Identification, Estimation and Testing	0
Threshold Network GARCH Model	0
Multiple Changepoint Detection for Non‐Gaussian Time Series	0
Higher‐order asymptotics of minimax estimators for time series	0
Issue Information	0
Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors	0
Detecting relevant changes in the spatiotemporal mean function	0
Mixed orthogonality graphs for continuous‐time state space models and orthogonal projections	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2024	0
High‐dimensional sparse multivariate stochastic volatility models	0
Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series	0
A testing approach to clustering scalar time series	0
Existence of a Periodic and Seasonal INAR Process	0
Selecting the number of factors in multi‐variate time series	0
Some recent trends in embeddings of time series and dynamic networks	0
Issue Information	0
Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments	0
Stochastic local and moderate departures from a unit root and its application to unit root testing	0
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Issue Information	0
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Mixing properties of non‐stationary multi‐variate count processes	0
The spectral analysis of the Hodrick–Prescott filter	0
Bootstrap prediction inference of nonlinear autoregressive models	0
Editorial announcement	0
Count network autoregression	0
Estimation of non‐smooth non‐parametric estimating equations models with dependent data	0
Testing Mean Stability of Heteroskedastic Time Series	0
Granger causality tests based on reduced variable information	0
The Granger–Johansen representation theorem for integrated time series on Banach space	0
Issue Information	0
Automated Bandwidth Selection for Inference in Linear Models With Time‐Varying Coefficients	0
Testing for a bubble with a stochastically varying explosive coefficient	0
Exact likelihood for inverse gamma stochastic volatility models	0
Event‐Day Options	0
Issue Information	0
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Issue Information	0
Stationarity and ergodicity of Markov switching positive conditional mean models	0
Testing for the extent of instability in nearly unstable processes	0
Margin‐closed vector autoregressive time series models	0

Clustering multivariate time series using energy distance	0
Autoregressive mixture models for clustering time series	0
Issue Information	0
Estimation for Markov Chains with Periodically Missing Observations	0
A note on Johansen's rank conditions and the Jordan form of a matrix	0
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A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots	0
Testing in GARCH‐X models: boundary, correlations and bootstrap theory	0
Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain	0
Functional principal component analysis for cointegrated functional time series	0
Correcting the bias of the sample cross‐covariance estimator	0
Variable length Markov chain with exogenous covariates	0
Call for Papers: Special Issue on Recent Developments in Time Series Methods for Detecting Bubbles and Crashes	0
On distributional autoregression and iterated transportation	0
Quantile Regression Estimation for Poisson Autoregressive Models	0
On a matrix‐valued autoregressive model	0
An Improved Procedure for Retrospectively Dating the Emergence and Collapse of Bubbles	0
Simultaneous variable selection and structural identification for time‐varying coefficient models	0
An Automatic Multi‐Scale Test for Serial Correlation of High‐Dimensional Time Series	0
Dependence properties of stochastic volatility models	0
Preface to the Murray Rosenblatt memorial special issue of JTSA	0
Autoregressive spectral estimates under ignored changes in the mean	0
Fractional gaussian noise: Spectral density and estimation methods	0
Estimating a common break point in means for long‐range dependent panel data	0
A prediction perspective on the Wiener–Hopf equations for time series	0
A multiplicative thinning‐based integer‐valued GARCH model	0
Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors	0
System identification using autoregressive Bayesian neural networks with nonparametric noise models	0
Cointegrating Polynomial Regressions With Power Law Trends	0
Simultaneous Estimation of Stable Parameters for Multiple Autoregressive Processes From Datasets of Nonuniform Sizes	0
Mean square consistency and improved rate of convergence of generalized subsampling estimator for non‐stationary time series	0
Long‐term prediction intervals with many covariates	0
Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors	0
Issue Information	0
Asymptotic Normality of Bias Reduction Estimation for Jump Intensity Function in Financial Markets	0
Editorial Announcement	0
Testing the volatility jumps based on the high frequency data	0
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Tempered functional time series	0
Inference for high‐dimensional linear models with locally stationary error processes	0
Issue Information	0
Improved estimation of dynamic models of conditional means and variances	0
State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data	0
Analysis of Crisis Effects via Maximum Entropy Adjustment	0
Factor models for high‐dimensional functional time series II: Estimation and forecasting	0
Issue Information	0
mixFOCuS: A Communication‐Efficient Online Changepoint Detection Method in Distributed System for Mixed‐Type Data	0
Regime switching models for circular and linear time series	0
Inference on nonstationary heavy‐tailed AR processes via model selection	0
Factor models for high‐dimensional functional time series I: Representation results	0
Spectral Density Estimation for a Class of Spectrally Correlated Processes	0
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Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function	0
Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi	0
A first order continuous timeVARwith random coefficients	0
Fractional stochastic volatility model	0
Local GMM Estimation for Nonparametric Time‐Varying Coefficient Moment Condition Models	0
Testing for symmetric correlation matrices with applications to factor models	0
Seasonal count time series	0
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor	0
Panel Threshold Mixed Data Sampling Models With a Covariate‐Dependent Threshold	0
A Zero Serial Cross‐Correlation Test Before Fitting Heteroscedasticity	0
Nonlinear kernel mode‐based regression for dependent data	0
High‐Frequency‐Based Volatility Model with Network Structure	0
CAViaR Model Selection via Adaptive Lasso	0
Valid Post‐Averaging Inference in AR‐G/GARCH Models	0
Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting	0
Self‐normalization inference for linear trends in cointegrating regressions	0
Sequential Monitoring for Changes in GARCH(1,1) Models Without Assuming Stationarity	0
Smooth transition moving average models: Estimation, testing, and computation	0
Quasi‐Likelihood Estimation in Volatility Models for Semi‐Continuous Time Series	0
Johansen‐type cointegration tests with a Fourier function	0
Issue Information	0
Issue Information	0
Monitoring panels of sparse functional data	0
On the asymptotic behavior of bubble date estimators	0
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Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations	0
Local Whittle estimation in time‐varying long memory series	0
Non‐crossing quantile double‐autoregression for the analysis of streaming time series data	0
Simultaneous inference of a partially linear model in time series	0
Time Series Quantile Regression Using Random Forests	0
Quantile analysis for financial bubble detection and surveillance	0
Maxima of linear processes with heavy‐tailed innovations and random coefficients	0
Bubbles and crashes: A tale of quantiles	0
A Stochastic Tree for Bubble Asset Modelling and Pricing	0
Seasonal functional autoregressive models	0
Integer‐valued asymmetric garch modeling	0
Continuous Record Asymptotics for Change‐Point Models	0
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Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022	0
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Modeling normalcy‐dominant ordinal time series: An application to air quality level	0
A residual‐based nonparametric variance ratio no‐cointegration test	0
Generalized covariance‐based inference for models set‐identified from independence restrictions	0