OOIR: Observatory of International Research

Papers

(The TQCC of Journal of Time Series Analysis is 1. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2021-11-01 to 2025-11-01.)

Article	Citations
Issue Information	14
	12
New associate editors	12
Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations	10
High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models	10
Editorial Announcement	8
Issue Information	8
	8
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices	7
A Conditional Tail Expectation Type Risk Measure for Time Series	7
Conditional quantile analysis for realized GARCH models	7
Trend locally stationary wavelet processes	6
Issue Information	6
Mode Meets Mean: A New Robust Volatility	6
Online Detection of Forecast Model Inadequacies Using Forecast Errors	5
Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model	5
Additive autoregressive models for matrix valued time series	4
Empirical likelihood for martingale differences	4
Rank test of unit‐root hypothesis with AR‐GARCH errors	4
Inference for calendar effects in microstructure noise	4
Recent Developments in Time‐Series Methods for Detecting Bubbles and Crashes: Guest Editors' Introduction	4
Misspecified semiparametric model selection with weakly dependent observations	4
Tail index estimation for tail adversarial stable time series with an application to high‐dimensional tail clustering	4
On buffered moving average models	4
Stationary Jackknife	4

The Liquidity Uncertainty Premium Puzzle	4
Estimation of the Long‐Run Variance of Nonlinear Time Series With an Application to Change Point Analysis	4
Estimating lagged (cross‐)covariance operators of L^p‐m‐approximable processes in Cartesian product Hilbert spaces	4
Editorial Announcement: Professor Michael McAleer	4
Consistency of averaged impulse response estimators in vector autoregressive models	3
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	3
Nonparametric Inference of Conditional Expectile Functions in Large‐Scale Time Series Data With Improved Efficiency	3
	3
Dynamic deconvolution and identification of independent autoregressive sources	3
Statistical analysis of irregularly spaced spatial data in frequency domain	3
Noising the GARCH Volatility: A Random Coefficient GARCH Model	3
	3
Permutation Testing for Monotone “Trend”	3
	3
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	3
	3
Editorial announcement	3
A non‐parametric test for multi‐variate trend functions	2
	2
Inverse Autocovariance Estimates	2
	2
Inference in Coarsened Time Series via Generalized Method of Moments	2
Tests for Changes in Count Time Series Models With Exogenous Covariates	2
Issue Information	2
Towards Identification of Shocks in Linear State‐Space Models: Application to Stochastic Volatility Model	2
Mean‐preserving rounding integer‐valued ARMA models	2
The Gaussian Central Limit Theorem for a Stationary Time Series With Infinite Variance	2
Test of change point versus long‐range dependence in functional time series	2
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	2
Issue Information	2
Editorial Announcement	2
	2
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	2
	2
	2
Poisson count time series	2
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	2
Spatiotemporal Heterogeneity Learning: Generalized SpatioTemporal Semi‐Varying Coefficient Models With Structure Identification	2
Bootstrapping non‐stationary and irregular time series using singular spectral analysis	2
Gradual Changes in Functional Time Series	2
Time‐Varying Dispersion Integer‐Valued GARCH Models	2
Issue Information	2
Blockwise Empirical Likelihood and Efficiency for Markov Chains	1
A new non‐parametric cross‐spectrum estimator	1
On vector linear double autoregression	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
A new heteroskedasticity‐robust test for explosive bubbles	1
Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients	1

Portmanteau tests for periodic ARMA models with dependent errors	1
Testing for Unspecified Periodicities in Binary Time Series	1
Detecting Relevant Deviations From the White Noise Assumption for Non‐Stationary Time Series	1
Sequential Detector Statistics for Speculative Bubbles	1
Issue Information	1
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	1
Corrigendum to the article “Regular multidimensional stationary time series”	1
On Exponential‐Family INGARCH Models	1
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties	1
Testing covariance separability for continuous functional data	1
Issue Information	1
Estimation and inference in adaptive learning models with slowly decreasing gains	1
Peaks, gaps, and time‐reversibility of economic time series	1
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	1
Transformed‐Linear Models for Time Series Extremes	1
Directed graphs and variable selection in large vector autoregressive models	1
	1
Oracally Efficient Estimation and Consistent Model Selection for Spatial ARMA Process With Bivariate Trend	1
On highly skewed fractional log‐stable noise sequences and their application	1
Permutation testing for dependence in time series	1
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	1
On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting	1
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	1
Latent Gaussian Dynamic Factor Modeling and Forecasting for Multivariate Count Time Series	1
Self‐Normalized KPSS Tests With Power Enhancement	1
Inference in functional factor models with applications to yield curves	1
Estimation for conditional moment models based on martingale difference divergence	1
Extremely Fast Maximum Likelihood Estimation of High‐Order Autoregressive Models	1
General estimation results for tdVARMA array models	1
	1