Journal of Time Series Analysis

Article	Citations
Issue Information	16
	15
New associate editors	13
High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models	12
Issue Information	10
	10
Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations	9
Editorial Announcement	9
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices	9
A Conditional Tail Expectation Type Risk Measure for Time Series	8
Mode Meets Mean: A New Robust Volatility	8
Issue Information	8
Recent Developments in Time‐Series Methods for Detecting Bubbles and Crashes: Guest Editors' Introduction	7
The Liquidity Uncertainty Premium Puzzle	7
Empirical likelihood for martingale differences	7
Stationary Jackknife	6
Estimation of the Long‐Run Variance of Nonlinear Time Series With an Application to Change Point Analysis	6
Additive autoregressive models for matrix valued time series	6
Online Detection of Forecast Model Inadequacies Using Forecast Errors	6
A Note on Local Polynomial Regression for Time Series in Banach Spaces	6
On buffered moving average models	5
Estimating lagged (cross‐)covariance operators of Lp‐m‐approximable processes in Cartesian product Hilbert spaces	5
Tail index estimation for tail adversarial stable time series with an application to high‐dimensional tail clustering	5
Measuring the Degree of Distribution Changes Under Local Stationarity	5
Inference for calendar effects in microstructure noise	5

	4
Statistical Inference for Periodic Asymmetric Power GARCH Models	4
Nonparametric Inference of Conditional Expectile Functions in Large‐Scale Time Series Data With Improved Efficiency	4
Issue Information	4
Editorial announcement	4
Consistency of averaged impulse response estimators in vector autoregressive models	4
Dynamic deconvolution and identification of independent autoregressive sources	4
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	4
	4
Statistical analysis of irregularly spaced spatial data in frequency domain	4
Permutation Testing for Monotone “Trend”	4
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	4
Noising the GARCH Volatility: A Random Coefficient GARCH Model	4
Smoothing Spline Semi‐Parametric Non‐Gaussian Structural Vector Autoregressive Models	4
	4
Bootstrapping non‐stationary and irregular time series using singular spectral analysis	3
Inference in Coarsened Time Series via Generalized Method of Moments	3
Testing and Estimation of Change Point in ARMA Model With Heavy‐Tailed G‐GARCH Noises	3
	3
Tests for Changes in Count Time Series Models With Exogenous Covariates	3
	3
Poisson count time series	3
Issue Information	3
	3
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	3
Inverse Autocovariance Estimates	3
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	3
The Gaussian Central Limit Theorem for a Stationary Time Series With Infinite Variance	3
Test of change point versus long‐range dependence in functional time series	3
	3
Peaks, gaps, and time‐reversibility of economic time series	2
Multiple Chains Markov Switching Vector Autoregression	2
Extremely Fast Maximum Likelihood Estimation of High‐Order Autoregressive Models	2
Towards Identification of Shocks in Linear State‐Space Models: Application to Stochastic Volatility Model	2
Issue Information	2
Issue Information	2
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	2
Mean‐preserving rounding integer‐valued ARMA models	2
Corrigendum to the article “Regular multidimensional stationary time series”	2
On Exponential‐Family INGARCH Models	2
Detecting Relevant Deviations From the White Noise Assumption for Non‐Stationary Time Series	2
Estimation for conditional moment models based on martingale difference divergence	2
On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting	2
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	2
Gradual Changes in Functional Time Series	2
Time‐Varying Dispersion Integer‐Valued GARCH Models	2
Portmanteau tests for periodic ARMA models with dependent errors	2
Issue Information	2
Transformed‐Linear Models for Time Series Extremes	2
Spatiotemporal Heterogeneity Learning: Generalized SpatioTemporal Semi‐Varying Coefficient Models With Structure Identification	2

	2
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties	2
Blockwise Empirical Likelihood and Efficiency for Markov Chains	2
On highly skewed fractional log‐stable noise sequences and their application	2
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	2
Latent Gaussian Dynamic Factor Modeling and Forecasting for Multivariate Count Time Series	2
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	2
Estimation on unevenly spaced time series	2
	2
A new heteroskedasticity‐robust test for explosive bubbles	2
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	2
Editorial Announcement	2
Testing covariance separability for continuous functional data	2
A new portmanteau test for predictive regression models with possible embedded endogeneity	2
Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models	2
On vector linear double autoregression	2
Self‐Normalized KPSS Tests With Power Enhancement	2
On Selection of Cross‐Section Averages in Non‐Stationary Environments	2
An Improved Procedure for Retrospectively Dating the Emergence and Collapse of Bubbles	1
Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi	1
Sequential Detector Statistics for Speculative Bubbles	1
The Accuracy Smoothness Dilemma in Prediction: A Novel Multivariate M‐SSA Forecast Approach	1
A new estimator for LARCH processes	1
	1
Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients	1
A testing approach to clustering scalar time series	1
Functional Sieve Bootstrap for the Partial Sum Process With an Application to Change‐Point Detection	1
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor	1
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	1
Stochastic local and moderate departures from a unit root and its application to unit root testing	1
Nonparametric Detection of a Time‐Varying Mean	1
Testing Mean Stability of Heteroskedastic Time Series	1
	1
The Dynamic, the Static, and the Weak: Factor Models and the Analysis of High‐Dimensional Time Series	1
Issue Information	1
A Mixture Transition Distribution Modeling for Higher‐Order Circular Markov Processes	1
The Continuous‐Time Limit of Quasi Score‐Driven Volatility Models	1
Directed graphs and variable selection in large vector autoregressive models	1
	1
Time Series Models on Compact Spaces, With an Application to Dynamic Modeling of Relative Abundance Data in Ecology	1
Testing for symmetric correlation matrices with applications to factor models	1
Functional principal component analysis for cointegrated functional time series	1
Density‐Valued ARMA Models by Spline Mixtures	1
System identification using autoregressive Bayesian neural networks with nonparametric noise models	1
A Robust Topological Framework for Detecting Regime Changes in Multi‐Trial Experiments With Application to Predictive Maintenance	1
Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting	1
Detecting relevant changes in the spatiotemporal mean function	1
General estimation results for tdVARMA array models	1
Estimation for Markov Chains with Periodically Missing Observations	1
Testing Distributional Granger Causality With Entropic Optimal Transport	1
A Novel Test for the Presence of Local Explosive Dynamics	1
Testing for Unspecified Periodicities in Binary Time Series	1
Second‐Order Properties of the Convolved Subsampling Method for Time Series	1
Oracally Efficient Estimation and Consistent Model Selection for Spatial ARMA Process With Bivariate Trend	1
Threshold Network GARCH Model	1
A Zero Serial Cross‐Correlation Test Before Fitting Heteroscedasticity	1
Testing in GARCH‐X models: boundary, correlations and bootstrap theory	1
Local quadratic spectral and covariance matrix estimation	1
Constrained Fiducial Inference for Gaussian Models	1
Optimal estimating function for weak location‐scale dynamic models	1
	1
Editorial Announcement	1
Issue Information	1
Correcting the bias of the sample cross‐covariance estimator	0
Volatility models for stylized facts of high‐frequency financial data	0
Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model	0
Automated Bandwidth Selection for Inference in Linear Models With Time‐Varying Coefficients	0
Tensor Changepoint Detection and Eigenbootstrap	0
Analysis of Crisis Effects via Maximum Entropy Adjustment	0
A trinomial difference autoregressive process for the bounded ℤ‐valued time series	0
Modeling Nonstationary Time Series Using Locally Stationary Basis Processes	0
Ridge regularized estimation of VAR models for inference	0
Dependence properties of stochastic volatility models	0
Self‐normalization inference for linear trends in cointegrating regressions	0
Fractional stochastic volatility model	0
Nonlinear kernel mode‐based regression for dependent data	0
Band‐Pass Filtering With High‐Dimensional Time Series. A Synthetic Indicator of the Medium‐to‐Long Run Component of Growth	0
Flexible bivariate INGARCH process with a broad range of contemporaneous correlation	0
Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra	0
Issue Information	0

Bubbles and crashes: A tale of quantiles	0
Issue Information	0
An Automatic Multi‐Scale Test for Serial Correlation of High‐Dimensional Time Series	0
Cointegrating Polynomial Regressions With Power Law Trends	0
	0
Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors	0
Panel Threshold Mixed Data Sampling Models With a Covariate‐Dependent Threshold	0
	0
Non‐crossing quantile double‐autoregression for the analysis of streaming time series data	0
Estimation of non‐smooth non‐parametric estimating equations models with dependent data	0
Issue Information	0
A nonparametric predictive regression model using partitioning estimators based on Taylor expansions	0
Quantile analysis for financial bubble detection and surveillance	0
Continuous Record Asymptotics for Change‐Point Models	0
Monitoring panels of sparse functional data	0
Weighted discrete ARMA models for categorical time series	0
Fractional Gaussian Noise: Spectral Density and Estimation Methods	0
Selecting the number of factors in multi‐variate time series	0
Estimation of the Intercept Parameter in Integrated Galton–Watson Processes	0
Local GMM Estimation for Nonparametric Time‐Varying Coefficient Moment Condition Models	0
mixFOCuS: A Communication‐Efficient Online Changepoint Detection Method in Distributed System for Mixed‐Type Data	0
	0
Clustering multivariate time series using energy distance	0
Valid Post‐Averaging Inference in AR‐G/GARCH Models	0
Understanding Multi‐horizon Forecasts: Identification, Estimation and Testing	0
Functional Vašiček Model	0
Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process	0
Seasonal count time series	0
Factor models for high‐dimensional functional time series I: Representation results	0
Local Whittle estimation in time‐varying long memory series	0
Special Issue in Honor of Professor Hira Lal Koul	0
Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain	0
A Stochastic Tree for Bubble Asset Modelling and Pricing	0
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	0
Wasserstein Auto‐Regressive Models for Modeling Multivariate Distributional Time Series	0
Estimating a common break point in means for long‐range dependent panel data	0
The Granger–Johansen representation theorem for integrated time series on Banach space	0
Autoregressive Hypergraph	0
High‐Frequency‐Based Volatility Model with Network Structure	0
Independent Component Analysis With Heavy Tails Using Distance Covariance	0
CAViaR Model Selection via Adaptive Lasso	0
Event‐Day Options	0
Tempered functional time series	0
Time Series Quantile Regression Using Random Forests	0
	0
Estimation of Change Points for Non‐Linear (Auto‐)Regressive Processes Using Neural Network Functions	0
Issue Information	0
Autocorrelation Functions for Point‐Process Time Series	0
Issue Information	0
Online Randomized Distributionally Robust Forecast Combination for Dependent Data	0
High‐dimensional sparse multivariate stochastic volatility models	0
Editorial Announcement	0
Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors	0
Simultaneous Estimation of Stable Parameters for Multiple Autoregressive Processes From Datasets of Nonuniform Sizes	0
Issue Information	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022	0
Multiple Changepoint Detection for Non‐Gaussian Time Series	0
On a matrix‐valued autoregressive model	0
Bootstrap prediction inference of nonlinear autoregressive models	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2025	0
Portmanteau test for a class of multivariate asymmetric power GARCH model	0
Modal volatility function	0
Higher‐order asymptotics of minimax estimators for time series	0
Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors	0
Editorial Announcement: Addendum to Journal of Time Series Analysis Distinguished Authors 2023	0
A note on Johansen's rank conditions and the Jordan form of a matrix	0
A residual‐based nonparametric variance ratio no‐cointegration test	0
Mixed orthogonality graphs for continuous‐time state space models and orthogonal projections	0
Some recent trends in embeddings of time series and dynamic networks	0
Call for Papers: Special Issue on Recent Developments in Time Series Methods for Detecting Bubbles and Crashes	0
Sequential Outlier Detection in Nonstationary Time Series	0
A first order continuous timeVARwith random coefficients	0
Estimation and Inference for Higher‐Order Stochastic Volatility Models With Leverage	0
Special Issue in Honour of Stephen J. Taylor: Guest Editors' Introduction	0
Issue Information	0
Exact likelihood for inverse gamma stochastic volatility models	0
Online Jump and Kink Detection in Segmented Linear Regression: Statistical Optimality Meets Computational Efficiency	0
Quasi‐Likelihood Estimation in Volatility Models for Semi‐Continuous Time Series	0
Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments	0
Quantile Regression Estimation for Poisson Autoregressive Models	0
Student‐t stochastic volatility model with composite likelihood EM‐algorithm	0
A prediction perspective on the Wiener–Hopf equations for time series	0
On the Existence of One‐Sided Representations for the Generalised Dynamic Factor Model	0
Existence of a Periodic and Seasonal INAR Process	0
Gaussian Approximation for Lag‐Window Estimators and the Construction of Confidence Bands for the Spectral Density	0
Editorial announcement	0
Robust CDF‐Filtering of a Location Parameter	0
Smooth transition moving average models: Estimation, testing, and computation	0
Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series	0
Online Network Change Point Detection With Missing Values and Temporal Dependence	0
Sequential Monitoring for Changes in GARCH(1,1) Models Without Assuming Stationarity	0
Local Whittle estimation with (quasi‐)analytic wavelets	0
Editorial Announcement	0
Moving Sum Procedure for Multiple Change Point Detection in Large Factor Models	0