Journal of Time Series Analysis

Article	Citations
	28
New associate editors	22
Issue Information	10
Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations	10
Issue Information	9
High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models	9
	9
Simultaneous inference for autocovariances based on autoregressive sieve bootstrap	8
Conditional quantile analysis for realized GARCH models	8
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices	8
Issue Information	7
A two‐step procedure for testing partial parameter stability in cointegrated regression models	6
A new volatility model: GQARCH‐ItÔ model	6
Trend locally stationary wavelet processes	6
Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods	5
Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model	5
On causal and non‐causal cointegrated vector autoregressive time series	5
Empirical likelihood for martingale differences	5
The Liquidity Uncertainty Premium Puzzle	4
Stationary Jackknife	4
Rank test of unit‐root hypothesis with AR‐GARCH errors	4
Tail index estimation for tail adversarial stable time series with an application to high‐dimensional tail clustering	4
Consistency of averaged impulse response estimators in vector autoregressive models	4
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	4
Additive autoregressive models for matrix valued time series	4

Editorial Announcement: Professor Michael McAleer	4
Inference for calendar effects in microstructure noise	4
A new GJR‐GARCH model for ℤ‐valued time series	4
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	4
On buffered moving average models	4
Generalized autoregressive moving average models with GARCH errors	4
Estimating lagged (cross‐)covariance operators of Lp‐m‐approximable processes in Cartesian product Hilbert spaces	4
Misspecified semiparametric model selection with weakly dependent observations	4
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Dynamic deconvolution and identification of independent autoregressive sources	4
Editorial announcement	3
Bootstrapping non‐stationary and irregular time series using singular spectral analysis	3
Poisson count time series	3
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Inverse Autocovariance Estimates	3
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	3
Statistical analysis of irregularly spaced spatial data in frequency domain	3
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	3
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	3
Time‐Varying Dispersion Integer‐Valued GARCH Models	2
Test of change point versus long‐range dependence in functional time series	2
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Gradual Changes in Functional Time Series	2
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	2
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Mean‐preserving rounding integer‐valued ARMA models	2
Tests for Changes in Count Time Series Models With Exogenous Covariates	2
Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor	2
Generalized binary vector autoregressive processes	2
Inference in Coarsened Time Series via Generalized Method of Moments	2
Issue Information	2
Editorial Announcement	2
Issue Information	2
A non‐parametric test for multi‐variate trend functions	2
Optimal estimating function for weak location‐scale dynamic models	1
Estimation on unevenly spaced time series	1
A Mixture Transition Distribution Modeling for Higher‐Order Circular Markov Processes	1
Self‐Normalized KPSS Tests With Power Enhancement	1
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Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	1
Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients	1
Estimation and inference in adaptive learning models with slowly decreasing gains	1
On highly skewed fractional log‐stable noise sequences and their application	1
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	1
Blockwise Empirical Likelihood and Efficiency for Markov Chains	1
Inference in functional factor models with applications to yield curves	1
Issue Information	1

Corrigendum to the article “Regular multidimensional stationary time series”	1
A new estimator for LARCH processes	1
Permutation testing for dependence in time series	1
General estimation results for tdVARMA array models	1
A new portmanteau test for predictive regression models with possible embedded endogeneity	1
Issue Information	1
On vector linear double autoregression	1
Regular multidimensional stationary time series	1
On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting	1
A new non‐parametric cross‐spectrum estimator	1
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Portmanteau tests for periodic ARMA models with dependent errors	1
Issue Information	1
Directed graphs and variable selection in large vector autoregressive models	1
Autoregressive density modeling with the Gaussian process mixture transition distribution	1
Estimation for conditional moment models based on martingale difference divergence	1
Time Series Models on Compact Spaces, With an Application to Dynamic Modeling of Relative Abundance Data in Ecology	1
Testing covariance separability for continuous functional data	1
On Exponential‐Family INGARCH Models	1
Peaks, gaps, and time‐reversibility of economic time series	1
TIME SERIES: A FIRST COURSE WITH BOOTSTRAP STARTER, by Tucker S.McElroy and Dimitris N.Politis. Published by CRC Press, 2020. 586 pp. ISBN: 9781439876510	1
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties	1
On the Relationship between Uhlig Extended and beta‐Bartlett Processes	1
A new heteroskedasticity‐robust test for explosive bubbles	1
Transformed‐Linear Models for Time Series Extremes	1
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	1
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	1
On a matrix‐valued autoregressive model	0
The Granger–Johansen representation theorem for integrated time series on Banach space	0
Variable length Markov chain with exogenous covariates	0
Automated Bandwidth Selection for Inference in Linear Models With Time‐Varying Coefficients	0
On distributional autoregression and iterated transportation	0
Preface to the Murray Rosenblatt memorial special issue of JTSA	0
Exact likelihood for inverse gamma stochastic volatility models	0
An Improved Procedure for Retrospectively Dating the Emergence and Collapse of Bubbles	0
Issue Information	0
An Automatic Multi‐Scale Test for Serial Correlation of High‐Dimensional Time Series	0
A multiplicative thinning‐based integer‐valued GARCH model	0
Issue Information	0
Autoregressive spectral estimates under ignored changes in the mean	0
Testing for the extent of instability in nearly unstable processes	0
Estimating a common break point in means for long‐range dependent panel data	0
Clustering multivariate time series using energy distance	0
System identification using autoregressive Bayesian neural networks with nonparametric noise models	0
Issue Information	0
Mean square consistency and improved rate of convergence of generalized subsampling estimator for non‐stationary time series	0
A note on Johansen's rank conditions and the Jordan form of a matrix	0
Testing the volatility jumps based on the high frequency data	0
A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots	0
Asymptotic Normality of Bias Reduction Estimation for Jump Intensity Function in Financial Markets	0
Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain	0
Inference for high‐dimensional linear models with locally stationary error processes	0
Correcting the bias of the sample cross‐covariance estimator	0
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Analysis of Crisis Effects via Maximum Entropy Adjustment	0
Quantile Regression Estimation for Poisson Autoregressive Models	0
Improved estimation of dynamic models of conditional means and variances	0
Call for Papers: Special Issue on Recent Developments in Time Series Methods for Detecting Bubbles and Crashes	0
Dependence properties of stochastic volatility models	0
Issue Information	0
Simultaneous variable selection and structural identification for time‐varying coefficient models	0
Regime switching models for circular and linear time series	0
A prediction perspective on the Wiener–Hopf equations for time series	0
Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors	0
Factor models for high‐dimensional functional time series I: Representation results	0
Fractional gaussian noise: Spectral density and estimation methods	0
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Simultaneous Estimation of Stable Parameters for Multiple Autoregressive Processes From Datasets of Nonuniform Sizes	0
Long‐term prediction intervals with many covariates	0
Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi	0
Cointegrating Polynomial Regressions With Power Law Trends	0
Fractional stochastic volatility model	0
Editorial Announcement	0
Testing for symmetric correlation matrices with applications to factor models	0
Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors	0
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor	0
Issue Information	0
Valid Post‐Averaging Inference in AR‐G/GARCH Models	0
Tempered functional time series	0

A Zero Serial Cross‐Correlation Test Before Fitting Heteroscedasticity	0
Issue Information	0
High‐Frequency‐Based Volatility Model with Network Structure	0
Quasi‐Likelihood Estimation in Volatility Models for Semi‐Continuous Time Series	0
State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data	0
Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting	0
Factor models for high‐dimensional functional time series II: Estimation and forecasting	0
Sequential Monitoring for Changes in GARCH(1,1) Models Without Assuming Stationarity	0
On the asymptotic behavior of bubble date estimators	0
mixFOCuS: A Communication‐Efficient Online Changepoint Detection Method in Distributed System for Mixed‐Type Data	0
Johansen‐type cointegration tests with a Fourier function	0
Inference on nonstationary heavy‐tailed AR processes via model selection	0
Issue Information	0
Spectral Density Estimation for a Class of Spectrally Correlated Processes	0
Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations	0
Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function	0
Simultaneous inference of a partially linear model in time series	0
A first order continuous timeVARwith random coefficients	0
A Stochastic Tree for Bubble Asset Modelling and Pricing	0
Local GMM Estimation for Nonparametric Time‐Varying Coefficient Moment Condition Models	0
Maxima of linear processes with heavy‐tailed innovations and random coefficients	0
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Panel Threshold Mixed Data Sampling Models With a Covariate‐Dependent Threshold	0
Integer‐valued asymmetric garch modeling	0
Seasonal count time series	0
A residual‐based nonparametric variance ratio no‐cointegration test	0
CAViaR Model Selection via Adaptive Lasso	0
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Nonlinear kernel mode‐based regression for dependent data	0
Smooth transition moving average models: Estimation, testing, and computation	0
Markov Determinantal Point Process for Dynamic Random Sets	0
Self‐normalization inference for linear trends in cointegrating regressions	0
Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra	0
Monitoring panels of sparse functional data	0
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Weighted discrete ARMA models for categorical time series	0
Issue Information	0
Ridge regularized estimation of VAR models for inference	0
Non‐crossing quantile double‐autoregression for the analysis of streaming time series data	0
Time Series Quantile Regression Using Random Forests	0
Issue Information	0
Local Whittle estimation in time‐varying long memory series	0
Local quadratic spectral and covariance matrix estimation	0
Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors	0
Bubbles and crashes: A tale of quantiles	0
Threshold Network GARCH Model	0
Seasonal functional autoregressive models	0
Higher‐order asymptotics of minimax estimators for time series	0
Quantile analysis for financial bubble detection and surveillance	0
Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series	0
Continuous Record Asymptotics for Change‐Point Models	0
Detecting relevant changes in the spatiotemporal mean function	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2024	0
Issue Information	0
Modeling normalcy‐dominant ordinal time series: An application to air quality level	0
A testing approach to clustering scalar time series	0
Generalized covariance‐based inference for models set‐identified from independence restrictions	0
Selecting the number of factors in multi‐variate time series	0
A trinomial difference autoregressive process for the bounded ℤ‐valued time series	0
Stochastic local and moderate departures from a unit root and its application to unit root testing	0
Goodness‐of‐fit tests for the multivariate Student‐tdistribution based on i.i.d. data, and for GARCH observations	0
Issue Information	0
Mixing properties of non‐stationary multi‐variate count processes	0
Volatility models for stylized facts of high‐frequency financial data	0
Testing Mean Stability of Heteroskedastic Time Series	0
Speculative Bubbles in the Recent AI Boom: Nasdaq and the Magnificent Seven	0
Count network autoregression	0
Modal volatility function	0
Issue Information	0
Understanding Multi‐horizon Forecasts: Identification, Estimation and Testing	0
Granger causality tests based on reduced variable information	0
Event‐Day Options	0
Issue Information	0
Testing for a bubble with a stochastically varying explosive coefficient	0
Multiple Changepoint Detection for Non‐Gaussian Time Series	0
Stationarity and ergodicity of Markov switching positive conditional mean models	0
High‐dimensional sparse multivariate stochastic volatility models	0
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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
Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments	0
Margin‐closed vector autoregressive time series models	0
Existence of a Periodic and Seasonal INAR Process	0
Autoregressive mixture models for clustering time series	0
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The spectral analysis of the Hodrick–Prescott filter	0
Estimation for Markov Chains with Periodically Missing Observations	0
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Estimation of non‐smooth non‐parametric estimating equations models with dependent data	0
Testing in GARCH‐X models: boundary, correlations and bootstrap theory	0
Bootstrap prediction inference of nonlinear autoregressive models	0
Functional principal component analysis for cointegrated functional time series	0
Editorial announcement	0