OOIR: Observatory of International Research

Papers

(The TQCC of Journal of Time Series Analysis is 2. 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 2021-12-01 to 2025-12-01.)

Article	Citations
Issue Information	14
	13
New associate editors	12
High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models	11
Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations	10
Issue Information	8
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices	8
	8
Editorial Announcement	8
A Conditional Tail Expectation Type Risk Measure for Time Series	7
Mode Meets Mean: A New Robust Volatility	7
Issue Information	7
Trend locally stationary wavelet processes	6
Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model	6
Empirical likelihood for martingale differences	5
Recent Developments in Time‐Series Methods for Detecting Bubbles and Crashes: Guest Editors' Introduction	5
Additive autoregressive models for matrix valued time series	5
Online Detection of Forecast Model Inadequacies Using Forecast Errors	5
The Liquidity Uncertainty Premium Puzzle	5
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
On buffered moving average models	4
Dynamic deconvolution and identification of independent autoregressive sources	4
A Note on Local Polynomial Regression for Time Series in Banach Spaces	4
Inference for calendar effects in microstructure noise	4

	4
Rank test of unit‐root hypothesis with AR‐GARCH errors	4
Estimating lagged (cross‐)covariance operators of L^p‐m‐approximable processes in Cartesian product Hilbert spaces	4
Stationary Jackknife	4
Consistency of averaged impulse response estimators in vector autoregressive models	4
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	4
Permutation Testing for Monotone “Trend”	3
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	3
	3
	3
	3
Nonparametric Inference of Conditional Expectile Functions in Large‐Scale Time Series Data With Improved Efficiency	3
	3
Bootstrapping non‐stationary and irregular time series using singular spectral analysis	3
Editorial announcement	3
Noising the GARCH Volatility: A Random Coefficient GARCH Model	3
Statistical analysis of irregularly spaced spatial data in frequency domain	3
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	3
Test of change point versus long‐range dependence in functional time series	3
Transformed‐Linear Models for Time Series Extremes	2
Issue Information	2
Extremely Fast Maximum Likelihood Estimation of High‐Order Autoregressive Models	2
Tests for Changes in Count Time Series Models With Exogenous Covariates	2
Spatiotemporal Heterogeneity Learning: Generalized SpatioTemporal Semi‐Varying Coefficient Models With Structure Identification	2
Mean‐preserving rounding integer‐valued ARMA models	2
Inference in Coarsened Time Series via Generalized Method of Moments	2
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	2
Gradual Changes in Functional Time Series	2
Inference in functional factor models with applications to yield curves	2
Estimation and inference in adaptive learning models with slowly decreasing gains	2
	2
Editorial Announcement	2
	2
The Gaussian Central Limit Theorem for a Stationary Time Series With Infinite Variance	2
Issue Information	2
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	2
Issue Information	2
Portmanteau tests for periodic ARMA models with dependent errors	2
Towards Identification of Shocks in Linear State‐Space Models: Application to Stochastic Volatility Model	2
Time‐Varying Dispersion Integer‐Valued GARCH Models	2
	2
Issue Information	2
Poisson count time series	2
Inverse Autocovariance Estimates	2
	2
A non‐parametric test for multi‐variate trend functions	2
A new heteroskedasticity‐robust test for explosive bubbles	2