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 2022-05-01 to 2026-05-01.)

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
Editorial Announcement	9
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices	9
Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations	9
Mode Meets Mean: A New Robust Volatility	8
Issue Information	8
A Conditional Tail Expectation Type Risk Measure for Time Series	8
The Liquidity Uncertainty Premium Puzzle	7
Empirical likelihood for martingale differences	7
Recent Developments in Time‐Series Methods for Detecting Bubbles and Crashes: Guest Editors' Introduction	7
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
Stationary Jackknife	6
Estimation of the Long‐Run Variance of Nonlinear Time Series With an Application to Change Point Analysis	6
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
On buffered moving average models	5
Estimating lagged (cross‐)covariance operators of L^p‐m‐approximable processes in Cartesian product Hilbert spaces	5

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
	4
Statistical Inference for Periodic Asymmetric Power GARCH Models	4
	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
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
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
Issue Information	2
Extremely Fast Maximum Likelihood Estimation of High‐Order Autoregressive Models	2
Spatiotemporal Heterogeneity Learning: Generalized SpatioTemporal Semi‐Varying Coefficient Models With Structure Identification	2
Issue Information	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
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	2

Portmanteau tests for periodic ARMA models with dependent errors	2
Editorial Announcement	2
Transformed‐Linear Models for Time Series Extremes	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
Peaks, gaps, and time‐reversibility of economic time series	2
Multiple Chains Markov Switching Vector Autoregression	2
Towards Identification of Shocks in Linear State‐Space Models: Application to Stochastic Volatility Model	2
Issue Information	2
A new heteroskedasticity‐robust test for explosive bubbles	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