Journal of Time Series Analysis

Article	Citations
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	28
Issue Information	23
	14
Count network autoregression	10
Issue Information	10
Markov Determinantal Point Process for Dynamic Random Sets	8
	7
New associate editors	7
Issue Information	6
	6
Issue Information	6
Editorial announcement	6
	5
Conditional quantile analysis for realized GARCH models	5
	5
A new non‐parametric cross‐spectrum estimator	5
Ridge regularized estimation of VAR models for inference	4
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	4
Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations	4
Stationarity and ergodicity of Markov switching positive conditional mean models	4
	4
High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models	4
	4
Asymptotic Normality of Bias Reduction Estimation for Jump Intensity Function in Financial Markets	3
Simultaneous inference for autocovariances based on autoregressive sieve bootstrap	3

Editorial announcement	3
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	3
Higher‐order asymptotics of minimax estimators for time series	3
Some recent trends in embeddings of time series and dynamic networks	3
High‐Frequency‐Based Volatility Model with Network Structure	3
On highly skewed fractional log‐stable noise sequences and their application	3
Inference in Coarsened Time Series via Generalized Method of Moments	2
A prediction perspective on the Wiener–Hopf equations for time series	2
On the Relationship between Uhlig Extended and beta‐Bartlett Processes	2
Simultaneous Estimation of Stable Parameters for Multiple Autoregressive Processes From Datasets of Nonuniform Sizes	2
	2
Monitoring panels of sparse functional data	2
Granger causality tests based on reduced variable information	2
Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients	2
Smooth transition moving average models: Estimation, testing, and computation	2
Test of change point versus long‐range dependence in functional time series	2
Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions	2
Poisson count time series	2
	2
	2
A residual‐based nonparametric variance ratio no‐cointegration test	2
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices	2
Non‐crossing quantile double‐autoregression for the analysis of streaming time series data	2
Regime switching models for circular and linear time series	2
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	2
	2
Existence of a Periodic and Seasonal INAR Process	1
Generalized binary vector autoregressive processes	1
Issue Information	1
Issue Information	1
Exact likelihood for inverse gamma stochastic volatility models	1
Editorial Announcement	1
Issue Information	1
	1
	1
Simultaneous inference of a partially linear model in time series	1
Regular multidimensional stationary time series	1
Inverse Autocovariance Estimates	1
On the asymptotic behavior of bubble date estimators	1
Issue Information	1
Periodic autoregressive conditional duration	1
Margin‐closed vector autoregressive time series models	1
Issue Information	1
System identification using autoregressive Bayesian neural networks with nonparametric noise models	1
A new volatility model: GQARCH‐ItÔ model	1
A multiplicative thinning‐based integer‐valued GARCH model	1
Dependence properties of stochastic volatility models	1
Autoregressive mixture models for clustering time series	1
Bootstrapping non‐stationary and irregular time series using singular spectral analysis	1
Issue Information	1

	1
Sparsity concepts and estimation procedures for high‐dimensional vector autoregressive models	1
Johansen‐type cointegration tests with a Fourier function	1
Bubbles and crashes: A tale of quantiles	1
Mixing properties of non‐stationary multi‐variate count processes	1
	1
Corrigendum to the article “Regular multidimensional stationary time series”	1
On distributional autoregression and iterated transportation	1
Stochastic local and moderate departures from a unit root and its application to unit root testing	1
On Exponential‐Family INGARCH Models	1
Blockwise Empirical Likelihood and Efficiency for Markov Chains	1
Mean‐preserving rounding integer‐valued ARMA models	1
Fractional gaussian noise: Spectral density and estimation methods	0
Testing for a bubble with a stochastically varying explosive coefficient	0
Continuous Record Asymptotics for Change‐Point Models	0
Testing covariance separability for continuous functional data	0
Seasonal functional autoregressive models	0
Local quadratic spectral and covariance matrix estimation	0
Estimation and inference in adaptive learning models with slowly decreasing gains	0
Detecting relevant changes in the spatiotemporal mean function	0
A two‐step procedure for testing partial parameter stability in cointegrated regression models	0
Consistency of averaged impulse response estimators in vector autoregressive models	0
Functional principal component analysis for cointegrated functional time series	0
Variable length Markov chain with exogenous covariates	0
State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data	0
A Mixture Transition Distribution Modeling for Higher‐Order Circular Markov Processes	0
	0
Clustering multivariate time series using energy distance	0
Testing for symmetric correlation matrices with applications to factor models	0
Issue Information	0
A non‐parametric test for multi‐variate trend functions	0
Issue Information	0
On the Estimation of Periodicity or Almost Periodicity in Inhomogeneous Gamma Point‐Process Data	0
Sequential Monitoring for Changes in GARCH(1,1) Models Without Assuming Stationarity	0
Gradual Changes in Functional Time Series	0
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	0
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	0
Issue Information	0
Selecting the number of factors in multi‐variate time series	0
Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes	0
Permutation testing for dependence in time series	0
Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting	0
Modeling normalcy‐dominant ordinal time series: An application to air quality level	0
Analysis of Crisis Effects via Maximum Entropy Adjustment	0
	0
Preface to the Murray Rosenblatt memorial special issue of JTSA	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
A new portmanteau test for predictive regression models with possible embedded endogeneity	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2024	0
Estimation on unevenly spaced time series	0
General estimation results for tdVARMA array models	0
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	0
A testing approach to clustering scalar time series	0
Optimal estimating function for weak location‐scale dynamic models	0
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	0
The Granger–Johansen representation theorem for integrated time series on Banach space	0
Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain	0
Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model	0
Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi	0
Testing the volatility jumps based on the high frequency data	0
Spectral Density Estimation for a Class of Spectrally Correlated Processes	0
Testing in GARCH‐X models: boundary, correlations and bootstrap theory	0
Wasserstein autoregressive models for density time series	0
On causal and non‐causal cointegrated vector autoregressive time series	0
Seasonal count time series	0
Student‐t stochastic volatility model with composite likelihood EM‐algorithm	0
Issue Information	0
Self‐normalization inference for linear trends in cointegrating regressions	0
A nonparametric predictive regression model using partitioning estimators based on Taylor expansions	0
A new GJR‐GARCH model for ℤ‐valued time series	0
Tempered functional time series	0
Local Whittle estimation with (quasi‐)analytic wavelets	0
Estimation for conditional moment models based on martingale difference divergence	0
Testing for the extent of instability in nearly unstable processes	0
Peaks, gaps, and time‐reversibility of economic time series	0
Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function	0
Statistical analysis of irregularly spaced spatial data in frequency domain	0
High‐dimensional sparse multivariate stochastic volatility models	0
Generalized covariance‐based inference for models set‐identified from independence restrictions	0
A first order continuous timeVARwith random coefficients	0

Event‐Day Options	0
Flexible bivariate INGARCH process with a broad range of contemporaneous correlation	0
A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots	0
Issue Information	0
Portmanteau test for a class of multivariate asymmetric power GARCH model	0
	0
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor	0
A Zero Serial Cross‐Correlation Test Before Fitting Heteroscedasticity	0
On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting	0
An Automatic Multi‐Scale Test for Serial Correlation of High‐Dimensional Time Series	0
Editorial Announcement	0
Fractional stochastic volatility model	0
Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models	0
Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series	0
Estimating a common break point in means for long‐range dependent panel data	0
	0
	0
Goodness‐of‐fit tests for the multivariate Student‐tdistribution based on i.i.d. data, and for GARCH observations	0
Estimation for Markov Chains with Periodically Missing Observations	0
Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods	0
Estimating lagged (cross‐)covariance operators of Lp‐m‐approximable processes in Cartesian product Hilbert spaces	0
Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model	0
Self‐Normalized KPSS Tests With Power Enhancement	0
Quasi‐Likelihood Estimation in Volatility Models for Semi‐Continuous Time Series	0
Issue Information	0
Simultaneous variable selection and structural identification for time‐varying coefficient models	0
Mean square consistency and improved rate of convergence of generalized subsampling estimator for non‐stationary time series	0
Correcting the bias of the sample cross‐covariance estimator	0
The Liquidity Uncertainty Premium Puzzle	0
A new estimator for LARCH processes	0
Nonlinear kernel mode‐based regression for dependent data	0
Factor models for high‐dimensional functional time series I: Representation results	0
A trinomial difference autoregressive process for the bounded ℤ‐valued time series	0
Generalized autoregressive moving average models with GARCH errors	0
Issue Information	0
Panel Threshold Mixed Data Sampling Models With a Covariate‐Dependent Threshold	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022	0
A new heteroskedasticity‐robust test for explosive bubbles	0
Local Whittle estimation in time‐varying long memory series	0
Trend locally stationary wavelet processes	0
Modal volatility function	0
Factor models for high‐dimensional functional time series II: Estimation and forecasting	0
On buffered moving average models	0
A note on Johansen's rank conditions and the Jordan form of a matrix	0
Threshold Network GARCH Model	0
Bootstrap prediction inference of nonlinear autoregressive models	0
Autoregressive density modeling with the Gaussian process mixture transition distribution	0
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	0
Issue Information	0
Asymmetric linear double autoregression	0
Tail index estimation for tail adversarial stable time series with an application to high‐dimensional tail clustering	0
Time Series Quantile Regression Using Random Forests	0
	0
Volatility models for stylized facts of high‐frequency financial data	0
The spectral analysis of the Hodrick–Prescott filter	0
Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors	0
Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor	0
A Stochastic Tree for Bubble Asset Modelling and Pricing	0
An Improved Procedure for Retrospectively Dating the Emergence and Collapse of Bubbles	0
On cointegration for processes integrated at different frequencies	0
Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors	0
On vector linear double autoregression	0
Dynamic deconvolution and identification of independent autoregressive sources	0
Aspects of non‐causal and non‐invertible CARMA processes	0
Issue Information	0
Autoregressive spectral estimates under ignored changes in the mean	0
Local GMM Estimation for Nonparametric Time‐Varying Coefficient Moment Condition Models	0
Estimation of non‐smooth non‐parametric estimating equations models with dependent data	0
Quantile analysis for financial bubble detection and surveillance	0
Cointegrating Polynomial Regressions With Power Law Trends	0
Mixed orthogonality graphs for continuous‐time state space models and orthogonal projections	0
Issue Information	0
Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra	0
Inference for calendar effects in microstructure noise	0
Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations	0
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties	0
Directed graphs and variable selection in large vector autoregressive models	0
Integer‐valued asymmetric garch modeling	0
Additive autoregressive models for matrix valued time series	0
Inference for high‐dimensional linear models with locally stationary error processes	0
Maxima of linear processes with heavy‐tailed innovations and random coefficients	0
Weighted discrete ARMA models for categorical time series	0
Call for Papers: Special Issue on Recent Developments in Time Series Methods for Detecting Bubbles and Crashes	0
Long‐term prediction intervals with many covariates	0
Issue Information	0
CAViaR Model Selection via Adaptive Lasso	0
	0
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	0
Issue Information	0
Misspecified semiparametric model selection with weakly dependent observations	0
Rank test of unit‐root hypothesis with AR‐GARCH errors	0
Quantile Regression Estimation for Poisson Autoregressive Models	0
Editorial Announcement: Professor Michael McAleer	0
Gaussian Approximation for Lag‐Window Estimators and the Construction of Confidence Bands for the Spectral Density	0
Understanding Multi‐horizon Forecasts: Identification, Estimation and Testing	0