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	23
Issue Information	18
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Count network autoregression	7
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Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations	6
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Ridge regularized estimation of VAR models for inference	6
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Stationarity and ergodicity of Markov switching positive conditional mean models	5
High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models	5
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Asymptotic Normality of Bias Reduction Estimation for Jump Intensity Function in Financial Markets	5
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	5
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	4
New associate editors	4
High‐Frequency‐Based Volatility Model with Network Structure	4
Editorial announcement	4
Dependence properties of stochastic volatility models	4
Issue Information	3
Conditional quantile analysis for realized GARCH models	3
Simultaneous inference for autocovariances based on autoregressive sieve bootstrap	3
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A new non‐parametric cross‐spectrum estimator	3

Simultaneous inference of a partially linear model in time series	3
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Autoregressive mixture models for clustering time series	3
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Inference in Coarsened Time Series via Generalized Method of Moments	2
Higher‐order asymptotics of minimax estimators for time series	2
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices	2
On highly skewed fractional log‐stable noise sequences and their application	2
Granger causality tests based on reduced variable information	2
Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients	2
Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions	2
Editorial announcement	2
Regime switching models for circular and linear time series	2
On the Relationship between Uhlig Extended and beta‐Bartlett Processes	2
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Non‐crossing quantile double‐autoregression for the analysis of streaming time series data	2
Some recent trends in embeddings of time series and dynamic networks	2
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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
Smooth transition moving average models: Estimation, testing, and computation	1
Bootstrapping non‐stationary and irregular time series using singular spectral analysis	1
Johansen‐type cointegration tests with a Fourier function	1
Quantile Regression Estimation for Poisson Autoregressive Models	1
Mean square consistency and improved rate of convergence of generalized subsampling estimator for non‐stationary time series	1
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The Granger–Johansen representation theorem for integrated time series on Banach space	1
A multiplicative thinning‐based integer‐valued GARCH model	1
Issue Information	1
Markov Determinantal Point Process for Dynamic Random Sets	1
Poisson count time series	1
Corrigendum to the article “Regular multidimensional stationary time series”	1
A prediction perspective on the Wiener–Hopf equations for time series	1
Issue Information	1
Weighted discrete ARMA models for categorical time series	1
Existence of a Periodic and Seasonal INAR Process	1
Directed graphs and variable selection in large vector autoregressive models	1
Trend locally stationary wavelet processes	1
On the asymptotic behavior of bubble date estimators	1
Stochastic local and moderate departures from a unit root and its application to unit root testing	1
Regular multidimensional stationary time series	1
Simultaneous Estimation of Stable Parameters for Multiple Autoregressive Processes From Datasets of Nonuniform Sizes	1
Test of change point versus long‐range dependence in functional time series	1
A residual‐based nonparametric variance ratio no‐cointegration test	1
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CAViaR Model Selection via Adaptive Lasso	1
Bubbles and crashes: A tale of quantiles	1
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Monitoring panels of sparse functional data	1

Periodic autoregressive conditional duration	1
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On distributional autoregression and iterated transportation	1
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Editorial Announcement	0
Modal volatility function	0
Mean‐preserving rounding integer‐valued ARMA models	0
Issue Information	0
Local Whittle estimation with (quasi‐)analytic wavelets	0
Selecting the number of factors in multi‐variate time series	0
Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods	0
Consistency of averaged impulse response estimators in vector autoregressive models	0
Cointegrating Polynomial Regressions With Power Law Trends	0
Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi	0
Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model	0
Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations	0
Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models	0
Simultaneous variable selection and structural identification for time‐varying coefficient models	0
Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting	0
Autoregressive density modeling with the Gaussian process mixture transition distribution	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
Maxima of linear processes with heavy‐tailed innovations and random coefficients	0
Generalized autoregressive moving average models with GARCH errors	0
Exact likelihood for inverse gamma stochastic volatility models	0
Self‐Normalized KPSS Tests With Power Enhancement	0
Peaks, gaps, and time‐reversibility of economic time series	0
Tail index estimation for tail adversarial stable time series with an application to high‐dimensional tail clustering	0
Student‐t stochastic volatility model with composite likelihood EM‐algorithm	0
Mixing properties of non‐stationary multi‐variate count processes	0
Issue Information	0
Seasonal count time series	0
Estimation on unevenly spaced time series	0
A new GJR‐GARCH model for ℤ‐valued time series	0
Threshold Network GARCH Model	0
An Improved Procedure for Retrospectively Dating the Emergence and Collapse of Bubbles	0
Issue Information	0
Editorial Announcement: Professor Michael McAleer	0
Understanding Multi‐horizon Forecasts: Identification, Estimation and Testing	0
Asymmetric linear double autoregression	0
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Panel Threshold Mixed Data Sampling Models With a Covariate‐Dependent Threshold	0
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor	0
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Spectral Density Estimation for a Class of Spectrally Correlated Processes	0
Preface to the Murray Rosenblatt memorial special issue of JTSA	0
Clustering multivariate time series using energy distance	0
Detecting relevant changes in the spatiotemporal mean function	0
Transformed‐Linear Models for Time Series Extremes	0
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Long‐term prediction intervals with many covariates	0
Testing for a bubble with a stochastically varying explosive coefficient	0
Inference on nonstationary heavy‐tailed AR processes via model selection	0
Local Whittle estimation in time‐varying long memory series	0
Misspecified semiparametric model selection with weakly dependent observations	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022	0
Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors	0
Call for Papers: Special Issue on Recent Developments in Time Series Methods for Detecting Bubbles and Crashes	0
Empirical likelihood for martingale differences	0
A new portmanteau test for predictive regression models with possible embedded endogeneity	0
Testing in GARCH‐X models: boundary, correlations and bootstrap theory	0
Integer‐valued asymmetric garch modeling	0
A non‐parametric test for multi‐variate trend functions	0
Functional principal component analysis for cointegrated functional time series	0
System identification using autoregressive Bayesian neural networks with nonparametric noise models	0
Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain	0
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State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data	0
Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series	0
On causal and non‐causal cointegrated vector autoregressive time series	0
Statistical analysis of irregularly spaced spatial data in frequency domain	0
General estimation results for tdVARMA array models	0
Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors	0
A testing approach to clustering scalar time series	0
Fractional gaussian noise: Spectral density and estimation methods	0
Dynamic deconvolution and identification of independent autoregressive sources	0
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Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model	0
A new estimator for LARCH processes	0
A trinomial difference autoregressive process for the bounded ℤ‐valued time series	0

On cointegration for processes integrated at different frequencies	0
A new heteroskedasticity‐robust test for explosive bubbles	0
Inference for high‐dimensional linear models with locally stationary error processes	0
Improved estimation of dynamic models of conditional means and variances	0
Wasserstein autoregressive models for density time series	0
Estimating a common break point in means for long‐range dependent panel data	0
Continuous Record Asymptotics for Change‐Point Models	0
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Estimation for conditional moment models based on martingale difference divergence	0
Rank test of unit‐root hypothesis with AR‐GARCH errors	0
Seasonal functional autoregressive models	0
Testing for the extent of instability in nearly unstable processes	0
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	0
A new volatility model: GQARCH‐ItÔ model	0
Testing covariance separability for continuous functional data	0
On buffered moving average models	0
Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments	0
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	0
A Mixture Transition Distribution Modeling for Higher‐Order Circular Markov Processes	0
A note on Johansen's rank conditions and the Jordan form of a matrix	0
Aspects of non‐causal and non‐invertible CARMA processes	0
The spectral analysis of the Hodrick–Prescott filter	0
Permutation testing for dependence in time series	0
Sparsity concepts and estimation procedures for high‐dimensional vector autoregressive models	0
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A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots	0
Local GMM Estimation for Nonparametric Time‐Varying Coefficient Moment Condition Models	0
Additive autoregressive models for matrix valued time series	0
Flexible bivariate INGARCH process with a broad range of contemporaneous correlation	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2021	0
Estimation for Markov Chains with Periodically Missing Observations	0
Estimation and inference in adaptive learning models with slowly decreasing gains	0
Fractional stochastic volatility model	0
Gradual Changes in Functional Time Series	0
Self‐normalization inference for linear trends in cointegrating regressions	0
Autoregressive spectral estimates under ignored changes in the mean	0
Quantile analysis for financial bubble detection and surveillance	0
Portmanteau test for a class of multivariate asymmetric power GARCH model	0
An Automatic Multi‐Scale Test for Serial Correlation of High‐Dimensional Time Series	0
Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes	0
Quasi‐Likelihood Estimation in Volatility Models for Semi‐Continuous Time Series	0
Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function	0
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Event‐Day Options	0
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Testing the volatility jumps based on the high frequency data	0
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Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties	0
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Tempered functional time series	0
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The factor analytical approach in trending near unit root panels	0
A two‐step procedure for testing partial parameter stability in cointegrated regression models	0
A Stochastic Tree for Bubble Asset Modelling and Pricing	0
Bootstrap prediction inference of nonlinear autoregressive models	0
A first order continuous timeVARwith random coefficients	0
Factor models for high‐dimensional functional time series II: Estimation and forecasting	0
Optimal estimating function for weak location‐scale dynamic models	0
Issue Information	0
Nonlinear kernel mode‐based regression for dependent data	0
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	0
A nonparametric predictive regression model using partitioning estimators based on Taylor expansions	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2024	0
Factor models for high‐dimensional functional time series I: Representation results	0
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	0
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	0
On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting	0
A Zero Serial Cross‐Correlation Test Before Fitting Heteroscedasticity	0
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Margin‐closed vector autoregressive time series models	0
Modeling normalcy‐dominant ordinal time series: An application to air quality level	0
Variable length Markov chain with exogenous covariates	0
Local quadratic spectral and covariance matrix estimation	0
Generalized binary vector autoregressive processes	0
Volatility models for stylized facts of high‐frequency financial data	0
Estimating lagged (cross‐)covariance operators of Lp‐m‐approximable processes in Cartesian product Hilbert spaces	0
Testing for symmetric correlation matrices with applications to factor models	0
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Analysis of Crisis Effects via Maximum Entropy Adjustment	0
On vector linear double autoregression	0
Mixed orthogonality graphs for continuous‐time state space models and orthogonal projections	0
On the Estimation of Periodicity or Almost Periodicity in Inhomogeneous Gamma Point‐Process Data	0
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	0
The Liquidity Uncertainty Premium Puzzle	0
Correcting the bias of the sample cross‐covariance estimator	0
Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process	0
Inference for calendar effects in microstructure noise	0
Generalized covariance‐based inference for models set‐identified from independence restrictions	0
High‐dimensional sparse multivariate stochastic volatility models	0
Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor	0
Sequential Monitoring for Changes in GARCH(1,1) Models Without Assuming Stationarity	0