Journal of Time Series Analysis

Article	Citations
	30
New associate editors	22
Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations	12
Issue Information	12
High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models	10
	10
Issue Information	10
Conditional quantile analysis for realized GARCH models	9
Simultaneous inference for autocovariances based on autoregressive sieve bootstrap	8
A new volatility model: GQARCH‐ItÔ model	7
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
Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model	6
Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods	6
Additive autoregressive models for matrix valued time series	5
The Liquidity Uncertainty Premium Puzzle	5
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
Stationary Jackknife	4
Online Detection of Forecast Model Inadequacies Using Forecast Errors	4
On buffered moving average models	4
Estimating lagged (cross‐)covariance operators of Lp‐m‐approximable processes in Cartesian product Hilbert spaces	4
Editorial Announcement: Professor Michael McAleer	4

Misspecified semiparametric model selection with weakly dependent observations	4
A new GJR‐GARCH model for ℤ‐valued time series	4
Inference for calendar effects in microstructure noise	4
Empirical likelihood for martingale differences	4
Estimation of the Long‐Run Variance of Nonlinear Time Series With an Application to Change Point Analysis	4
Recent Developments in Time‐Series Methods for Detecting Bubbles and Crashes: Guest Editors' Introduction	4
Consistency of averaged impulse response estimators in vector autoregressive models	3
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	3
	3
Dynamic deconvolution and identification of independent autoregressive sources	3
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	3
	3
Statistical analysis of irregularly spaced spatial data in frequency domain	3
	3
Noising the GARCH Volatility: A Random Coefficient GARCH Model	3
Permutation Testing for Monotone “Trend”	3
Editorial announcement	3
	2
Bootstrapping non‐stationary and irregular time series using singular spectral analysis	2
Inference in Coarsened Time Series via Generalized Method of Moments	2
Editorial Announcement	2
Spatiotemporal Heterogeneity Learning: Generalized SpatioTemporal Semi‐Varying Coefficient Models With Structure Identification	2
Time‐Varying Dispersion Integer‐Valued GARCH Models	2
Generalized binary vector autoregressive processes	2
Inverse Autocovariance Estimates	2
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	2
	2
	2
Tests for Changes in Count Time Series Models With Exogenous Covariates	2
Issue Information	2
A non‐parametric test for multi‐variate trend functions	2
Issue Information	2
Poisson count time series	2
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	2
	2
	2
Mean‐preserving rounding integer‐valued ARMA models	2
Gradual Changes in Functional Time Series	2
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	2
Test of change point versus long‐range dependence in functional time series	2
A new portmanteau test for predictive regression models with possible embedded endogeneity	1
	1
On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting	1
Peaks, gaps, and time‐reversibility of economic time series	1
Portmanteau tests for periodic ARMA models with dependent errors	1
Latent Gaussian Dynamic Factor Modeling and Forecasting for Multivariate Count Time Series	1
	1
Estimation and inference in adaptive learning models with slowly decreasing gains	1
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	1
Corrigendum to the article “Regular multidimensional stationary time series”	1

Self‐Normalized KPSS Tests With Power Enhancement	1
A new non‐parametric cross‐spectrum estimator	1
Issue Information	1
Testing covariance separability for continuous functional data	1
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties	1
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	1
On Exponential‐Family INGARCH Models	1
Sequential Detector Statistics for Speculative Bubbles	1
Inference in functional factor models with applications to yield curves	1
Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients	1
Transformed‐Linear Models for Time Series Extremes	1
On highly skewed fractional log‐stable noise sequences and their application	1
Detecting Relevant Deviations From the White Noise Assumption for Non‐Stationary Time Series	1
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	1
Estimation on unevenly spaced time series	1
Issue Information	1
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	1
A new heteroskedasticity‐robust test for explosive bubbles	1
	1
On vector linear double autoregression	1
Issue Information	1
Extremely Fast Maximum Likelihood Estimation of High‐Order Autoregressive Models	1
Blockwise Empirical Likelihood and Efficiency for Markov Chains	1
	1
Permutation testing for dependence in time series	1
Estimation for conditional moment models based on martingale difference divergence	1
Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi	0
Editorial Announcement	0
Mixed orthogonality graphs for continuous‐time state space models and orthogonal projections	0
Testing for symmetric correlation matrices with applications to factor models	0
Testing for the extent of instability in nearly unstable processes	0
Higher‐order asymptotics of minimax estimators for time series	0
Editorial announcement	0
Flexible bivariate INGARCH process with a broad range of contemporaneous correlation	0
A Mixture Transition Distribution Modeling for Higher‐Order Circular Markov Processes	0
Goodness‐of‐fit tests for the multivariate Student‐tdistribution based on i.i.d. data, and for GARCH observations	0
Issue Information	0
Multiple Changepoint Detection for Non‐Gaussian Time Series	0
Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations	0
A multiplicative thinning‐based integer‐valued GARCH model	0
Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments	0
Asymmetric linear double autoregression	0
Clustering multivariate time series using energy distance	0
Oracally Efficient Estimation and Consistent Model Selection for Spatial ARMA Process With Bivariate Trend	0
Speculative Bubbles in the Recent AI Boom: Nasdaq and the Magnificent Seven	0
Issue Information	0
Volatility models for stylized facts of high‐frequency financial data	0
A Zero Serial Cross‐Correlation Test Before Fitting Heteroscedasticity	0
Issue Information	0
Autocorrelation Functions for Point‐Process Time Series	0
Change Point Analysis for Functional Data Using Empirical Characteristic Functionals	0
Nonlinear kernel mode‐based regression for dependent data	0
	0
Factor models for high‐dimensional functional time series II: Estimation and forecasting	0
Estimation of non‐smooth non‐parametric estimating equations models with dependent data	0
Estimation of Change Points for Non‐Linear (Auto‐)Regressive Processes Using Neural Network Functions	0
Modeling normalcy‐dominant ordinal time series: An application to air quality level	0
Nonparametric Detection of a Time‐Varying Mean	0
Automated Bandwidth Selection for Inference in Linear Models With Time‐Varying Coefficients	0
Exact likelihood for inverse gamma stochastic volatility models	0
A residual‐based nonparametric variance ratio no‐cointegration test	0
Self‐normalization inference for linear trends in cointegrating regressions	0
Special Issue in Honour of Stephen J. Taylor: Guest Editors' Introduction	0
Some recent trends in embeddings of time series and dynamic networks	0
A Novel Test for the Presence of Local Explosive Dynamics	0
Issue Information	0
Functional Sieve Bootstrap for the Partial Sum Process With an Application to Change‐Point Detection	0
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Testing Mean Stability of Heteroskedastic Time Series	0
Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors	0
Issue Information	0
Issue Information	0
Panel Threshold Mixed Data Sampling Models With a Covariate‐Dependent Threshold	0
Johansen‐type cointegration tests with a Fourier function	0
Existence of a Periodic and Seasonal INAR Process	0
Detecting relevant changes in the spatiotemporal mean function	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022	0
Time Series Quantile Regression Using Random Forests	0
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor	0
Correcting the bias of the sample cross‐covariance estimator	0

A first order continuous timeVARwith random coefficients	0
System identification using autoregressive Bayesian neural networks with nonparametric noise models	0
A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots	0
On distributional autoregression and iterated transportation	0
mixFOCuS: A Communication‐Efficient Online Changepoint Detection Method in Distributed System for Mixed‐Type Data	0
Time Series Models on Compact Spaces, With an Application to Dynamic Modeling of Relative Abundance Data in Ecology	0
Issue Information	0
Issue Information	0
Modal volatility function	0
Optimal estimating function for weak location‐scale dynamic models	0
Mean square consistency and improved rate of convergence of generalized subsampling estimator for non‐stationary time series	0
Continuous Record Asymptotics for Change‐Point Models	0
Testing for a bubble with a stochastically varying explosive coefficient	0
A trinomial difference autoregressive process for the bounded ℤ‐valued time series	0
General estimation results for tdVARMA array models	0
Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function	0
Issue Information	0
Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain	0
Issue Information	0
Inference on nonstationary heavy‐tailed AR processes via model selection	0
Long‐term prediction intervals with many covariates	0
On cointegration for processes integrated at different frequencies	0
Tensor Changepoint Detection and Eigenbootstrap	0
Ridge regularized estimation of VAR models for inference	0
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Editorial Announcement	0
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	0
Local quadratic spectral and covariance matrix estimation	0
Dependence properties of stochastic volatility models	0
Regime switching models for circular and linear time series	0
Tempered functional time series	0
A Stochastic Tree for Bubble Asset Modelling and Pricing	0
Simultaneous Estimation of Stable Parameters for Multiple Autoregressive Processes From Datasets of Nonuniform Sizes	0
An Improved Procedure for Retrospectively Dating the Emergence and Collapse of Bubbles	0
Issue Information	0
Issue Information	0
Non‐crossing quantile double‐autoregression for the analysis of streaming time series data	0
Estimation and Inference for Higher‐Order Stochastic Volatility Models With Leverage	0
The Dynamic, the Static, and the Weak: Factor Models and the Analysis of High‐Dimensional Time Series	0
Issue Information	0
	0
Local GMM Estimation for Nonparametric Time‐Varying Coefficient Moment Condition Models	0
Cointegrating Polynomial Regressions With Power Law Trends	0
Generalized covariance‐based inference for models set‐identified from independence restrictions	0
Estimation for Markov Chains with Periodically Missing Observations	0
Quantile analysis for financial bubble detection and surveillance	0
Fractional gaussian noise: Spectral density and estimation methods	0
Directed graphs and variable selection in large vector autoregressive models	0
Mixing properties of non‐stationary multi‐variate count processes	0
High‐dimensional sparse multivariate stochastic volatility models	0
Margin‐closed vector autoregressive time series models	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
Estimating a common break point in means for long‐range dependent panel data	0
Spectral Density Estimation for a Class of Spectrally Correlated Processes	0
Testing for Unspecified Periodicities in Binary Time Series	0
Nonlinear Wavelet Threshold Estimation of Time‐Varying Covariance Matrices in a Log‐Euclidean Manifold	0
The spectral analysis of the Hodrick–Prescott filter	0
A note on Johansen's rank conditions and the Jordan form of a matrix	0
A new estimator for LARCH processes	0
On the asymptotic behavior of bubble date estimators	0
Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors	0
	0
Sequential Monitoring for Changes in GARCH(1,1) Models Without Assuming Stationarity	0
Stationarity and ergodicity of Markov switching positive conditional mean models	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2024	0
Quasi‐Likelihood Estimation in Volatility Models for Semi‐Continuous Time Series	0
Call for Papers: Special Issue on Recent Developments in Time Series Methods for Detecting Bubbles and Crashes	0
High‐Frequency‐Based Volatility Model with Network Structure	0
Understanding Multi‐horizon Forecasts: Identification, Estimation and Testing	0
Selecting the number of factors in multi‐variate time series	0
Issue Information	0
An Automatic Multi‐Scale Test for Serial Correlation of High‐Dimensional Time Series	0
Fractional stochastic volatility model	0
Issue Information	0
Bubbles and crashes: A tale of quantiles	0
Simultaneous Detection of Structural Breaks and Outliers in Time Series	0
Simultaneous variable selection and structural identification for time‐varying coefficient models	0
Functional principal component analysis for cointegrated functional time series	0
Smooth transition moving average models: Estimation, testing, and computation	0
Threshold Network GARCH Model	0
The Granger–Johansen representation theorem for integrated time series on Banach space	0
Testing in GARCH‐X models: boundary, correlations and bootstrap theory	0
Monitoring panels of sparse functional data	0
A testing approach to clustering scalar time series	0
Bootstrap prediction inference of nonlinear autoregressive models	0
Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra	0
A prediction perspective on the Wiener–Hopf equations for time series	0
CAViaR Model Selection via Adaptive Lasso	0
Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting	0
Decoupling Interday and Intraday Volatility Dynamics With Price Durations	0
The Continuous‐Time Limit of Quasi Score‐Driven Volatility Models	0
Editorial Announcement: Addendum to Journal of Time Series Analysis Distinguished Authors 2023	0
Quantile Regression Estimation for Poisson Autoregressive Models	0