Journal of Time Series Analysis

Article	Citations
Modeling normalcy‐dominant ordinal time series: An application to air quality level	18
A new approach for open‐end sequential change point monitoring	15
Wasserstein autoregressive models for density time series	14
Tests for conditional heteroscedasticity of functional data	13
A new GJR‐GARCH model for ℤ‐valued time series	11
Models for circular data from time series spectra	10
Local Whittle estimation of long‐range dependence for functional time series	9
Threshold model with a time‐varying threshold based on Fourier approximation	8
Mixtures of Nonlinear Poisson Autoregressions	7
Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations	7
Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution	7
State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data	6
Asymptotic Behavior of Delay Times of Bubble Monitoring Tests	6
Seasonal functional autoregressive models	6
Conway–Maxwell–Poisson Autoregressive Moving Average Model for Equidispersed, Underdispersed, and Overdispersed Count Data	6
Testing equality of autocovariance operators for functional time series	5
Integer‐valued asymmetric garch modeling	5
Stationarity and ergodicity of Markov switching positive conditional mean models	5
Flexible bivariate INGARCH process with a broad range of contemporaneous correlation	5
Robust estimation of stationary continuous‐time arma models via indirect inference	4
Sparsity concepts and estimation procedures for high‐dimensional vector autoregressive models	4
To infinity and beyond: Efficient computation of ARCH(∞) models	4
Spectral methods for small sample time series: A complete periodogram approach	4
Extensions of Rosenblatt's results on the asymptotic behavior of the prediction error for deterministic stationary sequences	4
A family of multivariate non‐gaussian time series models	4

A local limit theorem for linear random fields	4
Johansen‐type cointegration tests with a Fourier function	4
Trend locally stationary wavelet processes	4
Regular multidimensional stationary time series	3
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	3
Long range dependence for stable random processes	3
Long‐term prediction intervals with many covariates	3
Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series	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
Functional lagged regression with sparse noisy observations	3
Factor models for high‐dimensional functional time series I: Representation results	3
Periodic autoregressive conditional duration	3
Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions	3
Maxima of linear processes with heavy‐tailed innovations and random coefficients	3
Necessary and sufficient conditions for the identifiability of observation‐driven models	3
A new volatility model: GQARCH‐ItÔ model	3
A multiplicative thinning‐based integer‐valued GARCH model	3
Backtesting portfolio value‐at‐risk with estimated portfolio weights	2
Parsimonious time series modeling for high frequency climate data	2
Factor models for high‐dimensional functional time series II: Estimation and forecasting	2
Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function	2
A Note on Efficient Fitting of Stochastic Volatility Models	2
Seasonal count time series	2
Identifiability of structural singular vector autoregressive models	2
Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments	2
Unit root testing with slowly varying trends	2
Some recent trends in embeddings of time series and dynamic networks	2
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models	2
Independent block identification in multivariate time series	2
Inference in functional factor models with applications to yield curves	2
Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models	2
Estimating wold matrices and vector moving average processes	2
Permutation testing for dependence in time series	1
Non‐crossing quantile double‐autoregression for the analysis of streaming time series data	1
A simple nearly unbiased estimator of cross‐covariances	1
Rank test of unit‐root hypothesis with AR‐GARCH errors	1
Detecting relevant changes in the spatiotemporal mean function	1
Asymmetric linear double autoregression	1
The spectral analysis of the Hodrick–Prescott filter	1
Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model	1
Testing the volatility jumps based on the high frequency data	1
Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain	1
On some basic features of strictly stationary, reversible Markov chains	1
Clustering multivariate time series using energy distance	1
Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models	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
On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models	1
Peaks, gaps, and time‐reversibility of economic time series	1
Estimation and inference in adaptive learning models with slowly decreasing gains	1

Student‐t stochastic volatility model with composite likelihood EM‐algorithm	1
The factor analytical approach in trending near unit root panels	1
A testing approach to clustering scalar time series	1
Efficient Bayesian PARCOR approaches for dynamic modeling of multivariate time series	1
Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra	1
Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods	1
Consistent autoregressive spectral estimates: Nonlinear time series and large autocovariance matrices	1
Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models	1
Regime switching models for circular and linear time series	1
Functional principal component analysis for cointegrated functional time series	1
On cointegration for processes integrated at different frequencies	1
Aspects of non‐causal and non‐invertible CARMA processes	1
Generalized autoregressive moving average models with GARCH errors	1
Testing for symmetric correlation matrices with applications to factor models	1
Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors	1
Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series	1
Autoregressive density modeling with the Gaussian process mixture transition distribution	1
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	1
On the asymptotic behavior of bubble date estimators	1
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A non‐parametric test for multi‐variate trend functions	0
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Simultaneous inference for autocovariances based on autoregressive sieve bootstrap	0
Dynamic deconvolution and identification of independent autoregressive sources	0
On the limit theory of mixed to unity VARs: Panel setting with weakly dependent errors	0
Editorial Announcement: Professor Michael McAleer	0
Review of the book Stochastic Models for Time Series by Paul Doukhan	0
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor	0
Missing not at random and the nonparametric estimation of the spectral density	0
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On vector linear double autoregression	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
A new non‐parametric cross‐spectrum estimator	0
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Correcting the bias of the sample cross‐covariance estimator	0
A two‐step procedure for testing partial parameter stability in cointegrated regression models	0
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New associate editors	0
Misspecified semiparametric model selection with weakly dependent observations	0
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Higher‐order asymptotics of minimax estimators for time series	0
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	0
Nonlinear kernel mode‐based regression for dependent data	0
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On highly skewed fractional log‐stable noise sequences and their application	0
Preface to the Murray Rosenblatt memorial special issue of JTSA	0
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Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	0
Editorial Announcement	0
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Correction to: Random Coefficient Autoregressive Processes: a Markov Chain Analysis of Stationarity and Finiteness of Moments by Paul D. Feigin and Richard L. Tweedie J. Time Series Anal., Vol.	0
Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi	0
A new estimator for LARCH processes	0
Local Whittle estimation with (quasi‐)analytic wavelets	0
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Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients	0
Asymptotic theory for QMLE for the real‐time GARCH(1,1) model	0
Autoregressive spectral estimates under ignored changes in the mean	0
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Portmanteau test for a class of multivariate asymmetric power GARCH model	0
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Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	0
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Robust discrimination between long‐range dependence and a change in mean	0
Portmanteau tests for periodic ARMA models with dependent errors	0
Smooth transition moving average models: Estimation, testing, and computation	0
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Optimal estimating function for weak location‐scale dynamic models	0
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Correction to: Quasi‐Bayesian Estimation of Time‐Varying Volatility in DSGE Models by Katerina Petrova J. Time Series Anal, Vol. 40, No. 1 (2019)	0
Tempered functional time series	0
Empirical likelihood test for the application of swqmele in fitting an arma‐garch model	0
Autoregressive mixture models for clustering time series	0

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Issue Information	0
On causal and non‐causal cointegrated vector autoregressive time series	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors	0
Corrigendum to the article “Regular multidimensional stationary time series”	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2021	0
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Margin‐closed vector autoregressive time series models	0
A prediction perspective on the Wiener–Hopf equations for time series	0
Time Series Quantile Regression Using Random Forests	0
A first order continuous time VAR with random coefficients	0
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Additive autoregressive models for matrix valued time series	0
Editorial Announcement	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
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Inference for high‐dimensional linear models with locally stationary error processes	0
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Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2020	0
Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors	0
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Consistency of averaged impulse response estimators in vector autoregressive models	0
Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model	0
Simultaneous variable selection and structural identification for time‐varying coefficient models	0
High‐Frequency‐Based Volatility Model with Network Structure	0
Volatility models for stylized facts of high‐frequency financial data	0
Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor	0
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High‐dimensional sparse multivariate stochastic volatility models	0
Directed graphs and variable selection in large vector autoregressive models	0
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	0
Asymptotic Normality of Bias Reduction Estimation for Jump Intensity Function in Financial Markets	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022	0
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On the Estimation of Periodicity or Almost Periodicity in Inhomogeneous Gamma Point‐Process Data	0
Granger causality tests based on reduced variable information	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
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Variable length Markov chain with exogenous covariates	0
Conditional quantile analysis for realized GARCH models	0
Call for Papers: Special Issue on Recent Developments in Time Series Methods for Detecting Bubbles and Crashes	0
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Stationary Jackknife	0
Editorial announcement	0
Transformed‐Linear Models for Time Series Extremes	0
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Generalized binary vector autoregressive processes	0
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A nonparametric predictive regression model using partitioning estimators based on Taylor expansions	0
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	0
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Editorial announcement	0
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Count network autoregression	0
Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations	0
Indirect inference for time series using the empirical characteristic function and control variates	0
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Publish your next paper open access in Journal of Time Series Analysis	0
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Stochastic local and moderate departures from a unit root and its application to unit root testing	0
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Estimation on unevenly spaced time series	0
Ridge regularized estimation of VAR models for inference	0
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Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes	0
Robust empirical likelihood for time series	0
Test of change point versus long‐range dependence in functional time series	0