Journal of Time Series Analysis

Article	Citations
Issue Information	14
	13
High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models	12
New associate editors	12
Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations	10
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices	8
Issue Information	8
Editorial Announcement	8
	8
Issue Information	7
A Conditional Tail Expectation Type Risk Measure for Time Series	7
Trend locally stationary wavelet processes	6
Mode Meets Mean: A New Robust Volatility	6
The Liquidity Uncertainty Premium Puzzle	5
Additive autoregressive models for matrix valued time series	5
Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model	5
Empirical likelihood for martingale differences	5
Recent Developments in Time‐Series Methods for Detecting Bubbles and Crashes: Guest Editors' Introduction	5
Stationary Jackknife	5
Online Detection of Forecast Model Inadequacies Using Forecast Errors	5
Estimation of the Long‐Run Variance of Nonlinear Time Series With an Application to Change Point Analysis	4
Tail index estimation for tail adversarial stable time series with an application to high‐dimensional tail clustering	4
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Nonparametric Inference of Conditional Expectile Functions in Large‐Scale Time Series Data With Improved Efficiency	4
A Note on Local Polynomial Regression for Time Series in Banach Spaces	4

Estimating lagged (cross‐)covariance operators of Lp‐m‐approximable processes in Cartesian product Hilbert spaces	4
Consistency of averaged impulse response estimators in vector autoregressive models	4
Dynamic deconvolution and identification of independent autoregressive sources	4
Inference for calendar effects in microstructure noise	4
On buffered moving average models	4
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	4
Permutation Testing for Monotone “Trend”	3
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	3
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Statistical analysis of irregularly spaced spatial data in frequency domain	3
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Bootstrapping non‐stationary and irregular time series using singular spectral analysis	3
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	3
Noising the GARCH Volatility: A Random Coefficient GARCH Model	3
Smoothing Spline Semi‐Parametric Non‐Gaussian Structural Vector Autoregressive Models	3
Inference in Coarsened Time Series via Generalized Method of Moments	3
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	3
Editorial announcement	3
Issue Information	2
Towards Identification of Shocks in Linear State‐Space Models: Application to Stochastic Volatility Model	2
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Editorial Announcement	2
Poisson count time series	2
Test of change point versus long‐range dependence in functional time series	2
	2
Gradual Changes in Functional Time Series	2
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	2
	2
Time‐Varying Dispersion Integer‐Valued GARCH Models	2
Tests for Changes in Count Time Series Models With Exogenous Covariates	2
Issue Information	2
Testing and Estimation of Change Point in ARMA Model With Heavy‐Tailed G‐GARCH Noises	2
The Gaussian Central Limit Theorem for a Stationary Time Series With Infinite Variance	2
Issue Information	2
A new heteroskedasticity‐robust test for explosive bubbles	2
Transformed‐Linear Models for Time Series Extremes	2
Portmanteau tests for periodic ARMA models with dependent errors	2
A non‐parametric test for multi‐variate trend functions	2
Spatiotemporal Heterogeneity Learning: Generalized SpatioTemporal Semi‐Varying Coefficient Models With Structure Identification	2
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Inverse Autocovariance Estimates	2
Mean‐preserving rounding integer‐valued ARMA models	2
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Inference in functional factor models with applications to yield curves	2
Extremely Fast Maximum Likelihood Estimation of High‐Order Autoregressive Models	2
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties	1
Directed graphs and variable selection in large vector autoregressive models	1
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	1

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Corrigendum to the article “Regular multidimensional stationary time series”	1
Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients	1
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On vector linear double autoregression	1
Stochastic local and moderate departures from a unit root and its application to unit root testing	1
Detecting Relevant Deviations From the White Noise Assumption for Non‐Stationary Time Series	1
On Selection of Cross‐Section Averages in Non‐Stationary Environments	1
Optimal estimating function for weak location‐scale dynamic models	1
A new portmanteau test for predictive regression models with possible embedded endogeneity	1
Johansen‐type cointegration tests with a Fourier function	1
Estimation on unevenly spaced time series	1
Issue Information	1
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	1
On Exponential‐Family INGARCH Models	1
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	1
Permutation testing for dependence in time series	1
On highly skewed fractional log‐stable noise sequences and their application	1
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	1
Time Series Models on Compact Spaces, With an Application to Dynamic Modeling of Relative Abundance Data in Ecology	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
A new estimator for LARCH processes	1
Testing covariance separability for continuous functional data	1
Sequential Detector Statistics for Speculative Bubbles	1
Issue Information	1
Blockwise Empirical Likelihood and Efficiency for Markov Chains	1
A new non‐parametric cross‐spectrum estimator	1
Oracally Efficient Estimation and Consistent Model Selection for Spatial ARMA Process With Bivariate Trend	1
Estimation for conditional moment models based on martingale difference divergence	1
Testing for Unspecified Periodicities in Binary Time Series	1
Self‐Normalized KPSS Tests With Power Enhancement	1
A Mixture Transition Distribution Modeling for Higher‐Order Circular Markov Processes	1
Latent Gaussian Dynamic Factor Modeling and Forecasting for Multivariate Count Time Series	1
Multiple Changepoint Detection for Non‐Gaussian Time Series	0
High‐Frequency‐Based Volatility Model with Network Structure	0
Issue Information	0
Fractional Gaussian Noise: Spectral Density and Estimation Methods	0
Count network autoregression	0
Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain	0
A Robust Topological Framework for Detecting Regime Changes in Multi‐Trial Experiments With Application to Predictive Maintenance	0
High‐dimensional sparse multivariate stochastic volatility models	0
Estimation and Inference for Higher‐Order Stochastic Volatility Models With Leverage	0
Ridge regularized estimation of VAR models for inference	0
Nonlinear kernel mode‐based regression for dependent data	0
Functional Sieve Bootstrap for the Partial Sum Process With an Application to Change‐Point Detection	0
The Granger–Johansen representation theorem for integrated time series on Banach space	0
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Local quadratic spectral and covariance matrix estimation	0
Smooth transition moving average models: Estimation, testing, and computation	0
Second‐Order Properties of the Convolved Subsampling Method for Time Series	0
Tempered functional time series	0
Dependence properties of stochastic volatility models	0
A Zero Serial Cross‐Correlation Test Before Fitting Heteroscedasticity	0
Local GMM Estimation for Nonparametric Time‐Varying Coefficient Moment Condition Models	0
The Dual Frequency Spectral Density Function of Locally Periodic Stationary Processes With an Application to Testing for Correlation Between Different Frequency Bands of a Time Series	0
Simultaneous Estimation of Stable Parameters for Multiple Autoregressive Processes From Datasets of Nonuniform Sizes	0
A Novel Test for the Presence of Local Explosive Dynamics	0
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Higher‐order asymptotics of minimax estimators for time series	0
Editorial announcement	0
Editorial Announcement	0
Existence of a Periodic and Seasonal INAR Process	0
A first order continuous timeVARwith random coefficients	0
Selecting the number of factors in multi‐variate time series	0
General estimation results for tdVARMA array models	0
Editorial Announcement: Addendum to Journal of Time Series Analysis Distinguished Authors 2023	0
Issue Information	0
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Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2025	0
Inference for high‐dimensional linear models with locally stationary error processes	0
Testing for the extent of instability in nearly unstable processes	0
Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors	0
Asymptotic Normality of Bias Reduction Estimation for Jump Intensity Function in Financial Markets	0
Functional Vašiček Model	0
Regime switching models for circular and linear time series	0
Generalized covariance‐based inference for models set‐identified from independence restrictions	0
Independent Component Analysis With Heavy Tails Using Distance Covariance	0
Mixed orthogonality graphs for continuous‐time state space models and orthogonal projections	0
Modeling Nonstationary Time Series Using Locally Stationary Basis Processes	0

Goodness‐of‐fit tests for the multivariate Student‐tdistribution based on i.i.d. data, and for GARCH observations	0
Editorial Announcement	0
Issue Information	0
mixFOCuS: A Communication‐Efficient Online Changepoint Detection Method in Distributed System for Mixed‐Type Data	0
Sequential Outlier Detection in Nonstationary Time Series	0
Editorial Announcement	0
Cointegrating Polynomial Regressions With Power Law Trends	0
Nonlinear Wavelet Threshold Estimation of Time‐Varying Covariance Matrices in a Log‐Euclidean Manifold	0
Volatility models for stylized facts of high‐frequency financial data	0
Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra	0
Panel Threshold Mixed Data Sampling Models With a Covariate‐Dependent Threshold	0
Time Series Quantile Regression Using Random Forests	0
Detecting relevant changes in the spatiotemporal mean function	0
A Stochastic Tree for Bubble Asset Modelling and Pricing	0
Issue Information	0
Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi	0
Sequential Monitoring for Changes in GARCH(1,1) Models Without Assuming Stationarity	0
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor	0
Monitoring panels of sparse functional data	0
Testing in GARCH‐X models: boundary, correlations and bootstrap theory	0
Autocorrelation Functions for Point‐Process Time Series	0
Quantile Regression Estimation for Poisson Autoregressive Models	0
The Continuous‐Time Limit of Quasi Score‐Driven Volatility Models	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022	0
Functional principal component analysis for cointegrated functional time series	0
Non‐crossing quantile double‐autoregression for the analysis of streaming time series data	0
The Dynamic, the Static, and the Weak: Factor Models and the Analysis of High‐Dimensional Time Series	0
Bootstrap prediction inference of nonlinear autoregressive models	0
On distributional autoregression and iterated transportation	0
Online Network Change Point Detection With Missing Values and Temporal Dependence	0
Bubbles and crashes: A tale of quantiles	0
Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting	0
Local Whittle estimation in time‐varying long memory series	0
Issue Information	0
Mean square consistency and improved rate of convergence of generalized subsampling estimator for non‐stationary time series	0
System identification using autoregressive Bayesian neural networks with nonparametric noise models	0
Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors	0
Continuous Record Asymptotics for Change‐Point Models	0
Seasonal count time series	0
Estimation for Markov Chains with Periodically Missing Observations	0
Optimal Linear Prediction With Functional Observations: Why You Can Use a Simple Post‐Dimension Reduction Estimator	0
Online Jump and Kink Detection in Segmented Linear Regression: Statistical Optimality Meets Computational Efficiency	0
Markov Determinantal Point Process for Dynamic Random Sets	0
Flexible bivariate INGARCH process with a broad range of contemporaneous correlation	0
Autoregressive mixture models for clustering time series	0
A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots	0
Robust CDF‐Filtering of a Location Parameter	0
Modal volatility function	0
A residual‐based nonparametric variance ratio no‐cointegration test	0
Issue Information	0
Exact likelihood for inverse gamma stochastic volatility models	0
Estimating and Testing Multiple Structural Breaks in Nonparametric Regressions	0
Self‐normalization inference for linear trends in cointegrating regressions	0
Fractional stochastic volatility model	0
Understanding Multi‐horizon Forecasts: Identification, Estimation and Testing	0
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Call for Papers: Special Issue on Recent Developments in Time Series Methods for Detecting Bubbles and Crashes	0
Special Issue in Honour of Stephen J. Taylor: Guest Editors' Introduction	0
Quantile analysis for financial bubble detection and surveillance	0
Issue Information	0
Nonparametric Detection of a Time‐Varying Mean	0
Issue Information	0
Issue Information	0
A note on Johansen's rank conditions and the Jordan form of a matrix	0
A prediction perspective on the Wiener–Hopf equations for time series	0
Testing for symmetric correlation matrices with applications to factor models	0
CAViaR Model Selection via Adaptive Lasso	0
Issue Information	0
Some recent trends in embeddings of time series and dynamic networks	0
Threshold Network GARCH Model	0
Correcting the bias of the sample cross‐covariance estimator	0
Margin‐closed vector autoregressive time series models	0
Issue Information	0
Testing Mean Stability of Heteroskedastic Time Series	0
Automated Bandwidth Selection for Inference in Linear Models With Time‐Varying Coefficients	0
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Tensor Changepoint Detection and Eigenbootstrap	0
A testing approach to clustering scalar time series	0
Issue Information	0
Estimating a common break point in means for long‐range dependent panel data	0
Special Issue in Honor of Professor Hira Lal Koul	0
Spectral Density Estimation for a Class of Spectrally Correlated Processes	0
An Improved Procedure for Retrospectively Dating the Emergence and Collapse of Bubbles	0
Factor models for high‐dimensional functional time series II: Estimation and forecasting	0
Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments	0
Moving Sum Procedure for Multiple Change Point Detection in Large Factor Models	0
Density‐Valued ARMA Models by Spline Mixtures	0
Decoupling Interday and Intraday Volatility Dynamics With Price Durations	0
An Automatic Multi‐Scale Test for Serial Correlation of High‐Dimensional Time Series	0
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A trinomial difference autoregressive process for the bounded ℤ‐valued time series	0
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Inference on nonstationary heavy‐tailed AR processes via model selection	0
Estimation of non‐smooth non‐parametric estimating equations models with dependent data	0