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 2021-08-01 to 2025-08-01.)

Article	Citations
	30
New associate editors	22
Issue Information	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
	9
Issue Information	9
Simultaneous inference for autocovariances based on autoregressive sieve bootstrap	9
Conditional quantile analysis for realized GARCH models	8
A Conditional Tail Expectation Type Risk Measure for Time Series	7
Trend locally stationary wavelet processes	7
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices	7
Issue Information	7
Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods	6
A new volatility model: GQARCH‐ItÔ model	6
Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model	6
Additive autoregressive models for matrix valued time series	5
The Liquidity Uncertainty Premium Puzzle	5
Online Detection of Forecast Model Inadequacies Using Forecast Errors	4
Stationary Jackknife	4
A new GJR‐GARCH model for ℤ‐valued time series	4
Rank test of unit‐root hypothesis with AR‐GARCH errors	4
	4
Recent Developments in Time‐Series Methods for Detecting Bubbles and Crashes: Guest Editors' Introduction	4
Estimation of the Long‐Run Variance of Nonlinear Time Series With an Application to Change Point Analysis	4

Empirical likelihood for martingale differences	4
Inference for calendar effects in microstructure noise	4
Consistency of averaged impulse response estimators in vector autoregressive models	4
Misspecified semiparametric model selection with weakly dependent observations	4
Editorial Announcement: Professor Michael McAleer	4
Estimating lagged (cross‐)covariance operators of L^p‐m‐approximable processes in Cartesian product Hilbert spaces	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
Permutation Testing for Monotone “Trend”	3
	3
Dynamic deconvolution and identification of independent autoregressive sources	3
	3
Bootstrapping non‐stationary and irregular time series using singular spectral analysis	3
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	3
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	3
	3
Editorial announcement	3
Statistical analysis of irregularly spaced spatial data in frequency domain	3
Issue Information	2
Poisson count time series	2
Inference in Coarsened Time Series via Generalized Method of Moments	2
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	2
	2
Tests for Changes in Count Time Series Models With Exogenous Covariates	2
	2
Mean‐preserving rounding integer‐valued ARMA models	2
	2
	2
Test of change point versus long‐range dependence in functional time series	2
Editorial Announcement	2
Generalized binary vector autoregressive processes	2
A non‐parametric test for multi‐variate trend functions	2
Issue Information	2
Inverse Autocovariance Estimates	2
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	2
	2
Issue Information	2
Spatiotemporal Heterogeneity Learning: Generalized SpatioTemporal Semi‐Varying Coefficient Models With Structure Identification	2
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	2
Gradual Changes in Functional Time Series	2
A new non‐parametric cross‐spectrum estimator	1
Permutation testing for dependence in time series	1
Estimation on unevenly spaced time series	1
A new portmanteau test for predictive regression models with possible embedded endogeneity	1
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	1
Portmanteau tests for periodic ARMA models with dependent errors	1
Extremely Fast Maximum Likelihood Estimation of High‐Order Autoregressive Models	1
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties	1
Blockwise Empirical Likelihood and Efficiency for Markov Chains	1
System identification using autoregressive Bayesian neural networks with nonparametric noise models	1

On Exponential‐Family INGARCH Models	1
	1
Corrigendum to the article “Regular multidimensional stationary time series”	1
Estimation for conditional moment models based on martingale difference divergence	1
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	1
Issue Information	1
Time‐Varying Dispersion Integer‐Valued GARCH Models	1
A new heteroskedasticity‐robust test for explosive bubbles	1
Estimation and inference in adaptive learning models with slowly decreasing gains	1
	1
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	1
Issue Information	1
Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients	1
On highly skewed fractional log‐stable noise sequences and their application	1
Self‐Normalized KPSS Tests With Power Enhancement	1
Regular multidimensional stationary time series	1
Peaks, gaps, and time‐reversibility of economic time series	1
On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting	1
Testing covariance separability for continuous functional data	1
Inference in functional factor models with applications to yield curves	1
Transformed‐Linear Models for Time Series Extremes	1
On vector linear double autoregression	1
Detecting Relevant Deviations From the White Noise Assumption for Non‐Stationary Time Series	1
	1
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	1