Journal of Time Series Analysis

Article	Citations
Issue Information	17
	17
New associate editors	15
High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models	12
Issue Information	12
	12
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices	11
Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations	10
A Conditional Tail Expectation Type Risk Measure for Time Series	10
Editorial Announcement	10
Mode Meets Mean: A New Robust Volatility	9
Issue Information	9
Recent Developments in Time‐Series Methods for Detecting Bubbles and Crashes: Guest Editors' Introduction	8
Online Detection of Forecast Model Inadequacies Using Forecast Errors	7
Stationary Jackknife	7
The Liquidity Uncertainty Premium Puzzle	7
Additive autoregressive models for matrix valued time series	7
Empirical likelihood for martingale differences	7
Statistical Inference for Periodic Asymmetric Power GARCH Models	6
Inference for calendar effects in microstructure noise	6
Measuring the Degree of Distribution Changes Under Local Stationarity	6
A Note on Local Polynomial Regression for Time Series in Banach Spaces	6
Estimation of the Long‐Run Variance of Nonlinear Time Series With an Application to Change Point Analysis	6
Tail index estimation for tail adversarial stable time series with an application to high‐dimensional tail clustering	6
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	5

Estimating lagged (cross‐)covariance operators of Lp‐m‐approximable processes in Cartesian product Hilbert spaces	5
Nonparametric Inference of Conditional Expectile Functions in Large‐Scale Time Series Data With Improved Efficiency	5
	5
Dynamic deconvolution and identification of independent autoregressive sources	5
On buffered moving average models	5
Consistency of averaged impulse response estimators in vector autoregressive models	5
Smoothing Spline Semi‐Parametric Non‐Gaussian Structural Vector Autoregressive Models	4
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	4
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	4
Testing and Estimation of Change Point in ARMA Model With Heavy‐Tailed G‐GARCH Noises	4
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	4
Noising the GARCH Volatility: A Random Coefficient GARCH Model	4
Permutation Testing for Monotone “Trend”	4
	4
Inference in Coarsened Time Series via Generalized Method of Moments	4
Test of change point versus long‐range dependence in functional time series	4
	4
Statistical analysis of irregularly spaced spatial data in frequency domain	4
Issue Information	4
Editorial announcement	4
The Gaussian Central Limit Theorem for a Stationary Time Series With Infinite Variance	4
Poisson count time series	4
	3
Spatiotemporal Heterogeneity Learning: Generalized SpatioTemporal Semi‐Varying Coefficient Models With Structure Identification	3
Mean‐preserving rounding integer‐valued ARMA models	3
	3
Inverse Autocovariance Estimates	3
	3
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	3
Sparse Causal Dynamic Linear Regression	3
Bootstrapping non‐stationary and irregular time series using singular spectral analysis	3
Issue Information	3
Tests for Changes in Count Time Series Models With Exogenous Covariates	3
Issue Information	3
Editorial Announcement	3
A new heteroskedasticity‐robust test for explosive bubbles	2
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	2
Towards Identification of Shocks in Linear State‐Space Models: Application to Stochastic Volatility Model	2
On Selection of Cross‐Section Averages in Non‐Stationary Environments	2
Portmanteau tests for periodic ARMA models with dependent errors	2
On Testing for Independence Between Generalized Error Models of Several Time Series	2
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties	2
Testing for Rough Volatility When Prices Are Purely Discontinuous	2
Sequential Detector Statistics for Speculative Bubbles	2
On Exponential‐Family INGARCH Models	2
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	2
Self‐Normalized KPSS Tests With Power Enhancement	2
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	2
Estimation for conditional moment models based on martingale difference divergence	2
Issue Information	2

Gradual Changes in Functional Time Series	2
A new portmanteau test for predictive regression models with possible embedded endogeneity	2
	2
Testing covariance separability for continuous functional data	2
Estimation on unevenly spaced time series	2
Transformed‐Linear Models for Time Series Extremes	2
On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting	2
	2
Blockwise Empirical Likelihood and Efficiency for Markov Chains	2
Corrigendum to the article “Regular multidimensional stationary time series”	2
On vector linear double autoregression	2
Detecting Periodicity of a General Stationary Time Series via AR(2)‐Model Fitting	2
On highly skewed fractional log‐stable noise sequences and their application	2
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	2
	2
Multiple Chains Markov Switching Vector Autoregression	2
Latent Gaussian Dynamic Factor Modeling and Forecasting for Multivariate Count Time Series	2
Extremely Fast Maximum Likelihood Estimation of High‐Order Autoregressive Models	2
Issue Information	2
Time‐Varying Dispersion Integer‐Valued GARCH Models	2
Directed graphs and variable selection in large vector autoregressive models	2
Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients	2
Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models	2
Portmanteau Tests for Functional Weak White Noise: Spherical Autocorrelation and Bootstrap Approximation	2
Detecting Relevant Deviations From the White Noise Assumption for Non‐Stationary Time Series	2
Issue Information	2
Time Series Models on Compact Spaces, With an Application to Dynamic Modeling of Relative Abundance Data in Ecology	1
A Mixture Transition Distribution Modeling for Higher‐Order Circular Markov Processes	1
The Accuracy Smoothness Dilemma in Prediction: A Novel Multivariate M‐SSA Forecast Approach	1
A new estimator for LARCH processes	1
Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra	1
Nonparametric Detection of a Time‐Varying Mean	1
Threshold Network GARCH Model	1
Local quadratic spectral and covariance matrix estimation	1
The Dynamic, the Static, and the Weak: Factor Models and the Analysis of High‐Dimensional Time Series	1
A Stochastic Tree for Bubble Asset Modelling and Pricing	1
A Novel Test for the Presence of Local Explosive Dynamics	1
Detecting relevant changes in the spatiotemporal mean function	1
Testing in GARCH‐X models: boundary, correlations and bootstrap theory	1
Estimation for Markov Chains with Periodically Missing Observations	1
Optimal estimating function for weak location‐scale dynamic models	1
Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi	1
Stochastic local and moderate departures from a unit root and its application to unit root testing	1
	1
Testing Distributional Granger Causality With Entropic Optimal Transport	1
Issue Information	1
Change Point Detection in the Distribution of the Errors in Dynamic Linear Models	1
Functional Sieve Bootstrap for the Partial Sum Process With an Application to Change‐Point Detection	1
Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting	1
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor	1
Testing Mean Stability of Heteroskedastic Time Series	1
	1
Testing for symmetric correlation matrices with applications to factor models	1
Issue Information	1
A testing approach to clustering scalar time series	1
Density‐Valued ARMA Models by Spline Mixtures	1
Oracally Efficient Estimation and Consistent Model Selection for Spatial ARMA Process With Bivariate Trend	1
A Robust Topological Framework for Detecting Regime Changes in Multi‐Trial Experiments With Application to Predictive Maintenance	1
General estimation results for tdVARMA array models	1
Testing for Unspecified Periodicities in Binary Time Series	1
Second‐Order Properties of the Convolved Subsampling Method for Time Series	1
An Improved Procedure for Retrospectively Dating the Emergence and Collapse of Bubbles	1
Issue Information	1
Special Issue in Honour of Stephen J. Taylor: Guest Editors' Introduction	1
Editorial Announcement	1
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	1
A Zero Serial Cross‐Correlation Test Before Fitting Heteroscedasticity	1
The Continuous‐Time Limit of Quasi Score‐Driven Volatility Models	1
Penalized Convex Estimation in Dynamic Location Models	1
	1
System identification using autoregressive Bayesian neural networks with nonparametric noise models	1
Constrained Fiducial Inference for Gaussian Models	1
Modeling Nonstationary Time Series Using Locally Stationary Basis Processes	0
Issue Information	0
Quantile Regression Estimation for Poisson Autoregressive Models	0
Smooth transition moving average models: Estimation, testing, and computation	0
Functional principal component analysis for cointegrated functional time series	0
Online Jump and Kink Detection in Segmented Linear Regression: Statistical Optimality Meets Computational Efficiency	0
Non‐crossing quantile double‐autoregression for the analysis of streaming time series data	0
Fractional Gaussian Noise: Spectral Density and Estimation Methods	0

Ridge regularized estimation of VAR models for inference	0
	0
Quantile analysis for financial bubble detection and surveillance	0
Band‐Pass Filtering With High‐Dimensional Time Series. A Synthetic Indicator of the Medium‐to‐Long Run Component of Growth	0
Estimation of non‐smooth non‐parametric estimating equations models with dependent data	0
CAViaR Model Selection via Adaptive Lasso	0
Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process	0
Time Series Quantile Regression Using Random Forests	0
Existence of a Periodic and Seasonal INAR Process	0
Change Point Analysis for Functional Data Using Empirical Characteristic Functionals	0
An Automatic Multi‐Scale Test for Serial Correlation of High‐Dimensional Time Series	0
Issue Information	0
Estimation of Change Points for Non‐Linear (Auto‐)Regressive Processes Using Neural Network Functions	0
A trinomial difference autoregressive process for the bounded ℤ‐valued time series	0
Gaussian Approximation for Lag‐Window Estimators and the Construction of Confidence Bands for the Spectral Density	0
Special Issue in Honor of Professor Hira Lal Koul	0
Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series	0
Spectral Density Estimation for a Class of Spectrally Correlated Processes	0
The Granger–Johansen representation theorem for integrated time series on Banach space	0
Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors	0
mixFOCuS: A Communication‐Efficient Online Changepoint Detection Method in Distributed System for Mixed‐Type Data	0
Automated Bandwidth Selection for Inference in Linear Models With Time‐Varying Coefficients	0
Fractional stochastic volatility model	0
Flexible bivariate INGARCH process with a broad range of contemporaneous correlation	0
Understanding Multi‐horizon Forecasts: Identification, Estimation and Testing	0
Tensor Changepoint Detection and Eigenbootstrap	0
Nonlinear kernel mode‐based regression for dependent data	0
A residual‐based nonparametric variance ratio no‐cointegration test	0
Issue Information	0
Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022	0
Sequential Outlier Detection in Nonstationary Time Series	0
Selecting the number of factors in multi‐variate time series	0
Issue Information	0
Some recent trends in embeddings of time series and dynamic networks	0
Autocorrelation Functions for Point‐Process Time Series	0
Local GMM Estimation for Nonparametric Time‐Varying Coefficient Moment Condition Models	0
	0
	0
Robust CDF‐Filtering of a Location Parameter	0
Cointegrating Polynomial Regressions With Power Law Trends	0
Bootstrapped Multivariate Spectral Test for Goodness‐of‐Fit of Weak Vector Autoregressive Models	0
Exact likelihood for inverse gamma stochastic volatility models	0
Issue Information	0
Quasi‐Likelihood Estimation in Volatility Models for Semi‐Continuous Time Series	0
Issue Information	0
Panel Threshold Mixed Data Sampling Models With a Covariate‐Dependent Threshold	0
	0
Multiple Changepoint Detection for Non‐Gaussian Time Series	0
On a matrix‐valued autoregressive model	0
	0
Local Whittle estimation with (quasi‐)analytic wavelets	0
Volatility models for stylized facts of high‐frequency financial data	0
Correcting the bias of the sample cross‐covariance estimator	0
A nonparametric predictive regression model using partitioning estimators based on Taylor expansions	0
Functional Vašiček Model	0
Bootstrap prediction inference of nonlinear autoregressive models	0
Local Whittle estimation in time‐varying long memory series	0
Self‐normalization inference for linear trends in cointegrating regressions	0
	0
Sequential Monitoring for Changes in GARCH(1,1) Models Without Assuming Stationarity	0
Moving Sum Procedure for Multiple Change Point Detection in Large Factor Models	0
Editorial Announcement: Addendum to Journal of Time Series Analysis Distinguished Authors 2023	0
High‐Frequency‐Based Volatility Model with Network Structure	0
Independent Component Analysis With Heavy Tails Using Distance Covariance	0
Tempered functional time series	0
Simultaneous Estimation of Stable Parameters for Multiple Autoregressive Processes From Datasets of Nonuniform Sizes	0
Wasserstein Auto‐Regressive Models for Modeling Multivariate Distributional Time Series	0
Continuous Record Asymptotics for Change‐Point Models	0
Editorial announcement	0
Autoregressive Hypergraph	0
On the Existence of One‐Sided Representations for the Generalised Dynamic Factor Model	0
Online Network Change Point Detection With Missing Values and Temporal Dependence	0
Bubbles and crashes: A tale of quantiles	0
	0
Editorial Announcement	0
Estimation and Inference for Higher‐Order Stochastic Volatility Models With Leverage	0
Laurent Series Expansion for MA(∞) Representation of Mixed Causal–Noncausal Autoregressive Processes	0
Estimating a common break point in means for long‐range dependent panel data	0
Monitoring panels of sparse functional data	0
Parametric Time‐Variation in the Unconditional Volatility: Estimation and Inference	0
Clustering multivariate time series using energy distance	0
Dependence properties of stochastic volatility models	0
Estimation of the Intercept Parameter in Integrated Galton–Watson Processes	0
Valid Post‐Averaging Inference in AR‐G/GARCH Models	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2025	0
Editorial Announcement	0
Online Randomized Distributionally Robust Forecast Combination for Dependent Data	0
Mixed orthogonality graphs for continuous‐time state space models and orthogonal projections	0
	0
Issue Information	0
A note on Johansen's rank conditions and the Jordan form of a matrix	0
Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors	0
A first order continuous timeVARwith random coefficients	0
Call for Papers: Special Issue on Recent Developments in Time Series Methods for Detecting Bubbles and Crashes	0