Journal of Time Series Analysis

Article	Citations
Modeling normalcy‐dominant ordinal time series: An application to air quality level	23
Wasserstein autoregressive models for density time series	18
A new GJR‐GARCH model for ℤ‐valued time series	14
Threshold model with a time‐varying threshold based on Fourier approximation	9
Local Whittle estimation of long‐range dependence for functional time series	9
Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations	8
State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data	7
Seasonal functional autoregressive models	6
Asymptotic Behavior of Delay Times of Bubble Monitoring Tests	6
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	6
Factor models for high‐dimensional functional time series I: Representation results	6
Flexible bivariate INGARCH process with a broad range of contemporaneous correlation	6
Stationarity and ergodicity of Markov switching positive conditional mean models	6
Factor models for high‐dimensional functional time series II: Estimation and forecasting	5
Johansen‐type cointegration tests with a Fourier function	5
Seasonal count time series	5
To infinity and beyond: Efficient computation of ARCH(∞) models	5
Integer‐valued asymmetric garch modeling	5
Trend locally stationary wavelet processes	5
Extensions of Rosenblatt's results on the asymptotic behavior of the prediction error for deterministic stationary sequences	4
On causal and non‐causal cointegrated vector autoregressive time series	4
Long‐term prediction intervals with many covariates	4
Periodic autoregressive conditional duration	4
Spectral methods for small sample time series: A complete periodogram approach	4
Sparsity concepts and estimation procedures for high‐dimensional vector autoregressive models	4

Regular multidimensional stationary time series	4
Functional principal component analysis for cointegrated functional time series	3
Rank test of unit‐root hypothesis with AR‐GARCH errors	3
On the Relationship between Uhlig Extended and beta‐Bartlett Processes	3
Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models	3
A new volatility model: GQARCH‐ItÔ model	3
Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions	3
Maxima of linear processes with heavy‐tailed innovations and random coefficients	3
A multiplicative thinning‐based integer‐valued GARCH model	3
Identifiability of structural singular vector autoregressive models	2
Variable length Markov chain with exogenous covariates	2
Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function	2
Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models	2
Some recent trends in embeddings of time series and dynamic networks	2
Detecting relevant changes in the spatiotemporal mean function	2
Nonlinear kernel mode‐based regression for dependent data	2
Asymmetric linear double autoregression	2
Inference in functional factor models with applications to yield curves	2
Testing the volatility jumps based on the high frequency data	2
Regime switching models for circular and linear time series	2
A prediction perspective on the Wiener–Hopf equations for time series	2
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models	2
Parsimonious time series modeling for high frequency climate data	2
Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments	2
Additive autoregressive models for matrix valued time series	2
On some basic features of strictly stationary, reversible Markov chains	2
Non‐crossing quantile double‐autoregression for the analysis of streaming time series data	2
Count network autoregression	2
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	2
Peaks, gaps, and time‐reversibility of economic time series	2
Student‐t stochastic volatility model with composite likelihood EM‐algorithm	1
Testing for symmetric correlation matrices with applications to factor models	1
Asymptotic theory for QMLE for the real‐time GARCH(1,1) model	1
Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors	1
Fractional stochastic volatility model	1
Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes	1
A testing approach to clustering scalar time series	1
A new estimator for LARCH processes	1
On the asymptotic behavior of bubble date estimators	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
Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models	1
Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain	1
On cointegration for processes integrated at different frequencies	1
Estimation and inference in adaptive learning models with slowly decreasing gains	1
The spectral analysis of the Hodrick–Prescott filter	1
Clustering multivariate time series using energy distance	1
Time Series Quantile Regression Using Random Forests	1
A simple nearly unbiased estimator of cross‐covariances	1
Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series	1
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Autoregressive density modeling with the Gaussian process mixture transition distribution	1
Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models	1
Autoregressive mixture models for clustering time series	1
Permutation testing for dependence in time series	1
Test of change point versus long‐range dependence in functional time series	1
Quasi‐Likelihood Estimation in Volatility Models for Semi‐Continuous Time Series	1
Estimation on unevenly spaced time series	1
Generalized autoregressive moving average models with GARCH errors	1
Volatility models for stylized facts of high‐frequency financial data	1
The factor analytical approach in trending near unit root panels	1
Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra	1
On a matrix‐valued autoregressive model	1
Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model	1
Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods	1
General estimation results for tdVARMA array models	1
Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients	1
Granger causality tests based on reduced variable information	1
Consistent autoregressive spectral estimates: Nonlinear time series and large autocovariance matrices	1
Aspects of non‐causal and non‐invertible CARMA processes	1
Misspecified semiparametric model selection with weakly dependent observations	0
Statistical foundations of data science by jianqing Fan, Runze Li, Chun‐Hui Zhang, Hui Zou. Published by Taylor & Francis Group. Total number of pages: 729. ISBN: 978‐1‐466‐51084‐5	0
Smooth transition moving average models: Estimation, testing, and computation	0
A new portmanteau test for predictive regression models with possible embedded endogeneity	0
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	0
Testing in GARCH‐X models: boundary, correlations and bootstrap theory	0
A non‐parametric test for multi‐variate trend functions	0
A trinomial difference autoregressive process for the bounded ℤ‐valued time series	0
Inference in Coarsened Time Series via Generalized Method of Moments	0
On buffered moving average models	0
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Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2021	0
Optimal estimating function for weak location‐scale dynamic models	0
Correcting the bias of the sample cross‐covariance estimator	0
Dependence properties of stochastic volatility models	0
Estimating a common break point in means for long‐range dependent panel data	0
Mixing properties of non‐stationary multi‐variate count processes	0
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor	0
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	0
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Fractional gaussian noise: Spectral density and estimation methods	0
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Simultaneous inference for autocovariances based on autoregressive sieve bootstrap	0
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Generalized binary vector autoregressive processes	0
Consistency of averaged impulse response estimators in vector autoregressive models	0
High‐Frequency‐Based Volatility Model with Network Structure	0
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Bootstrap prediction inference of nonlinear autoregressive models	0
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On vector linear double autoregression	0
Conditional quantile analysis for realized GARCH models	0
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Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors	0
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Testing for a bubble with a stochastically varying explosive coefficient	0
New associate editors	0
Threshold Network GARCH Model	0
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	0
The Granger–Johansen representation theorem for integrated time series on Banach space	0
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Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting	0
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Mixed orthogonality graphs for continuous‐time state space models and orthogonal projections	0
Editorial Announcement	0
A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots	0
Preface to the Murray Rosenblatt memorial special issue of JTSA	0
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Estimation for Markov Chains with Periodically Missing Observations	0
Portmanteau tests for periodic ARMA models with dependent errors	0
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2020	0
High‐dimensional sparse multivariate stochastic volatility models	0
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices	0
Tail index estimation for tail adversarial stable time series with an application to high‐dimensional tail clustering	0
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A new heteroskedasticity‐robust test for explosive bubbles	0
Portmanteau test for a class of multivariate asymmetric power GARCH model	0
Spectral Density Estimation for a Class of Spectrally Correlated Processes	0

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Selecting the number of factors in multi‐variate time series	0
Ridge regularized estimation of VAR models for inference	0
Existence of a Periodic and Seasonal INAR Process	0
Call for Papers: Special Issue on Recent Developments in Time Series Methods for Detecting Bubbles and Crashes	0
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Mean‐preserving rounding integer‐valued ARMA models	0
Dynamic deconvolution and identification of independent autoregressive sources	0
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Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi	0
Tempered functional time series	0
Estimation for conditional moment models based on martingale difference divergence	0
Bootstrapping non‐stationary and irregular time series using singular spectral analysis	0
Simultaneous variable selection and structural identification for time‐varying coefficient models	0
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Statistical analysis of irregularly spaced spatial data in frequency domain	0
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	0
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Simultaneous inference of a partially linear model in time series	0
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	0
Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process	0
Margin‐closed vector autoregressive time series models	0
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A new non‐parametric cross‐spectrum estimator	0
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Local quadratic spectral and covariance matrix estimation	0
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A nonparametric predictive regression model using partitioning estimators based on Taylor expansions	0
Estimation of non‐smooth non‐parametric estimating equations models with dependent data	0
Weighted discrete ARMA models for categorical time series	0
On highly skewed fractional log‐stable noise sequences and their application	0
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Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model	0
On distributional autoregression and iterated transportation	0
Estimating lagged (cross‐)covariance operators of Lp‐m‐approximable processes in Cartesian product Hilbert spaces	0
On the Estimation of Periodicity or Almost Periodicity in Inhomogeneous Gamma Point‐Process Data	0
Editorial Announcement	0
Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations	0
Inference for calendar effects in microstructure noise	0
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Transformed‐Linear Models for Time Series Extremes	0
Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor	0
Self‐normalization inference for linear trends in cointegrating regressions	0
A residual‐based nonparametric variance ratio no‐cointegration test	0
A first order continuous timeVARwith random coefficients	0
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Stationary Jackknife	0
Inference for high‐dimensional linear models with locally stationary error processes	0
Corrigendum to “A Generalised Fractional Differencing Bootstrap for Long Memory Processes” Journal of Time Series Analysis 40: 467‐492 (2019) DOI: 10.1111/jtsa.12460	0
Corrigendum to the article “Regular multidimensional stationary time series”	0
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	0
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System identification using autoregressive Bayesian neural networks with nonparametric noise models	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022	0
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Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors	0
A two‐step procedure for testing partial parameter stability in cointegrated regression models	0
A note on Johansen's rank conditions and the Jordan form of a matrix	0
Asymptotic Normality of Bias Reduction Estimation for Jump Intensity Function in Financial Markets	0
Indirect inference for time series using the empirical characteristic function and control variates	0
Improved estimation of dynamic models of conditional means and variances	0
Review of the book Stochastic Models for Time Series by Paul Doukhan	0
Testing covariance separability for continuous functional data	0
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Editorial Announcement: Professor Michael McAleer	0
Goodness‐of‐fit tests for the multivariate Student‐tdistribution based on i.i.d. data, and for GARCH observations	0
Directed graphs and variable selection in large vector autoregressive models	0
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Editorial announcement	0
Generalized covariance‐based inference for models set‐identified from independence restrictions	0
Local Whittle estimation with (quasi‐)analytic wavelets	0
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Higher‐order asymptotics of minimax estimators for time series	0
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Testing for the extent of instability in nearly unstable processes	0
Autoregressive spectral estimates under ignored changes in the mean	0
Stochastic local and moderate departures from a unit root and its application to unit root testing	0
Local Whittle estimation in time‐varying long memory series	0