Journal of Time Series Analysis

Article	Citations
	30
New associate editors	22
Issue Information	12
High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models	10
Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations	10
Simultaneous inference for autocovariances based on autoregressive sieve bootstrap	9
	9
Issue Information	9
Conditional quantile analysis for realized GARCH models	8
Trend locally stationary wavelet processes	7
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices	7
Issue Information	7
A Conditional Tail Expectation Type Risk Measure for Time Series	7
A new volatility model: GQARCH‐ItÔ model	6
Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model	6
Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods	6
The Liquidity Uncertainty Premium Puzzle	5
Additive autoregressive models for matrix valued time series	5
Inference for calendar effects in microstructure noise	4
Consistency of averaged impulse response estimators in vector autoregressive models	4
Misspecified semiparametric model selection with weakly dependent observations	4
Editorial Announcement: Professor Michael McAleer	4
Estimating lagged (cross‐)covariance operators of Lp‐m‐approximable processes in Cartesian product Hilbert spaces	4
Tail index estimation for tail adversarial stable time series with an application to high‐dimensional tail clustering	4
On buffered moving average models	4

Online Detection of Forecast Model Inadequacies Using Forecast Errors	4
Stationary Jackknife	4
A new GJR‐GARCH model for ℤ‐valued time series	4
Rank test of unit‐root hypothesis with AR‐GARCH errors	4
	4
Recent Developments in Time‐Series Methods for Detecting Bubbles and Crashes: Guest Editors' Introduction	4
Estimation of the Long‐Run Variance of Nonlinear Time Series With an Application to Change Point Analysis	4
Empirical likelihood for martingale differences	4
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	3
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	3
	3
Editorial announcement	3
Statistical analysis of irregularly spaced spatial data in frequency domain	3
Permutation Testing for Monotone “Trend”	3
	3
Dynamic deconvolution and identification of independent autoregressive sources	3
	3
Bootstrapping non‐stationary and irregular time series using singular spectral analysis	3
Editorial Announcement	2
Generalized binary vector autoregressive processes	2
A non‐parametric test for multi‐variate trend functions	2
Issue Information	2
Inverse Autocovariance Estimates	2
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	2
	2
Issue Information	2
Spatiotemporal Heterogeneity Learning: Generalized SpatioTemporal Semi‐Varying Coefficient Models With Structure Identification	2
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	2
Gradual Changes in Functional Time Series	2
Issue Information	2
Poisson count time series	2
Inference in Coarsened Time Series via Generalized Method of Moments	2
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	2
	2
Tests for Changes in Count Time Series Models With Exogenous Covariates	2
	2
Mean‐preserving rounding integer‐valued ARMA models	2
	2
	2
Test of change point versus long‐range dependence in functional time series	2
Estimation and inference in adaptive learning models with slowly decreasing gains	1
	1
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	1
Issue Information	1
Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients	1
On highly skewed fractional log‐stable noise sequences and their application	1
Self‐Normalized KPSS Tests With Power Enhancement	1
Estimation on unevenly spaced time series	1
A new portmanteau test for predictive regression models with possible embedded endogeneity	1
Regular multidimensional stationary time series	1

Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	1
Portmanteau tests for periodic ARMA models with dependent errors	1
Transformed‐Linear Models for Time Series Extremes	1
On vector linear double autoregression	1
Detecting Relevant Deviations From the White Noise Assumption for Non‐Stationary Time Series	1
	1
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	1
A new non‐parametric cross‐spectrum estimator	1
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	1
Permutation testing for dependence in time series	1
Issue Information	1
Time‐Varying Dispersion Integer‐Valued GARCH Models	1
A new heteroskedasticity‐robust test for explosive bubbles	1
Extremely Fast Maximum Likelihood Estimation of High‐Order Autoregressive Models	1
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties	1
Blockwise Empirical Likelihood and Efficiency for Markov Chains	1
System identification using autoregressive Bayesian neural networks with nonparametric noise models	1
On Exponential‐Family INGARCH Models	1
	1
Corrigendum to the article “Regular multidimensional stationary time series”	1
Peaks, gaps, and time‐reversibility of economic time series	1
On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting	1
Estimation for conditional moment models based on martingale difference divergence	1
Testing covariance separability for continuous functional data	1
Inference in functional factor models with applications to yield curves	1
The Dynamic, the Static, and the Weak: Factor Models and the Analysis of High‐Dimensional Time Series	0
The Continuous‐Time Limit of Quasi Score‐Driven Volatility Models	0
An Automatic Multi‐Scale Test for Serial Correlation of High‐Dimensional Time Series	0
Monitoring panels of sparse functional data	0
Oracally Efficient Estimation and Consistent Model Selection for Spatial ARMA Process With Bivariate Trend	0
Issue Information	0
A note on Johansen's rank conditions and the Jordan form of a matrix	0
Smooth transition moving average models: Estimation, testing, and computation	0
Time Series Models on Compact Spaces, With an Application to Dynamic Modeling of Relative Abundance Data in Ecology	0
Fractional gaussian noise: Spectral density and estimation methods	0
On the asymptotic behavior of bubble date estimators	0
Issue Information	0
	0
Estimating a common break point in means for long‐range dependent panel data	0
Local Whittle estimation in time‐varying long memory series	0
Issue Information	0
Stochastic local and moderate departures from a unit root and its application to unit root testing	0
Quantile Regression Estimation for Poisson Autoregressive Models	0
Continuous Record Asymptotics for Change‐Point Models	0
Decoupling Interday and Intraday Volatility Dynamics With Price Durations	0
Quantile analysis for financial bubble detection and surveillance	0
	0
Optimal estimating function for weak location‐scale dynamic models	0
Editorial Announcement	0
The spectral analysis of the Hodrick–Prescott filter	0
Testing for the extent of instability in nearly unstable processes	0
High‐dimensional sparse multivariate stochastic volatility models	0
Improved estimation of dynamic models of conditional means and variances	0
A Mixture Transition Distribution Modeling for Higher‐Order Circular Markov Processes	0
Simultaneous variable selection and structural identification for time‐varying coefficient models	0
Selecting the number of factors in multi‐variate time series	0
Goodness‐of‐fit tests for the multivariate Student‐tdistribution based on i.i.d. data, and for GARCH observations	0
Issue Information	0
A Novel Test for the Presence of Local Explosive Dynamics	0
Spectral Density Estimation for a Class of Spectrally Correlated Processes	0
Mean square consistency and improved rate of convergence of generalized subsampling estimator for non‐stationary time series	0
On cointegration for processes integrated at different frequencies	0
Ridge regularized estimation of VAR models for inference	0
Volatility models for stylized facts of high‐frequency financial data	0
	0
Fractional stochastic volatility model	0
Clustering multivariate time series using energy distance	0
Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function	0
Regime switching models for circular and linear time series	0
Testing in GARCH‐X models: boundary, correlations and bootstrap theory	0
A trinomial difference autoregressive process for the bounded ℤ‐valued time series	0
Inference on nonstationary heavy‐tailed AR processes via model selection	0
Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting	0
Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra	0
Tensor Changepoint Detection and Eigenbootstrap	0
	0
A testing approach to clustering scalar time series	0
Estimation for Markov Chains with Periodically Missing Observations	0
Modeling normalcy‐dominant ordinal time series: An application to air quality level	0
A prediction perspective on the Wiener–Hopf equations for time series	0

Sequential Detector Statistics for Speculative Bubbles	0
An Improved Procedure for Retrospectively Dating the Emergence and Collapse of Bubbles	0
Existence of a Periodic and Seasonal INAR Process	0
Simultaneous Estimation of Stable Parameters for Multiple Autoregressive Processes From Datasets of Nonuniform Sizes	0
Cointegrating Polynomial Regressions With Power Law Trends	0
Higher‐order asymptotics of minimax estimators for time series	0
Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors	0
Editorial announcement	0
Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations	0
Issue Information	0
Issue Information	0
Local GMM Estimation for Nonparametric Time‐Varying Coefficient Moment Condition Models	0
Johansen‐type cointegration tests with a Fourier function	0
Exact likelihood for inverse gamma stochastic volatility models	0
Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments	0
Issue Information	0
Editorial Announcement	0
Testing for a bubble with a stochastically varying explosive coefficient	0
A new estimator for LARCH processes	0
Tempered functional time series	0
Long‐term prediction intervals with many covariates	0
Bootstrap prediction inference of nonlinear autoregressive models	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022	0
	0
Stationarity and ergodicity of Markov switching positive conditional mean models	0
Margin‐closed vector autoregressive time series models	0
Time Series Quantile Regression Using Random Forests	0
Issue Information	0
Quasi‐Likelihood Estimation in Volatility Models for Semi‐Continuous Time Series	0
High‐Frequency‐Based Volatility Model with Network Structure	0
Seasonal count time series	0
Issue Information	0
Functional Sieve Bootstrap for the Partial Sum Process With an Application to Change‐Point Detection	0
Self‐normalization inference for linear trends in cointegrating regressions	0
Nonlinear Wavelet Threshold Estimation of Time‐Varying Covariance Matrices in a Log‐Euclidean Manifold	0
Mixing properties of non‐stationary multi‐variate count processes	0
Nonparametric Detection of a Time‐Varying Mean	0
A first order continuous timeVARwith random coefficients	0
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2024	0
Threshold Network GARCH Model	0
Functional principal component analysis for cointegrated functional time series	0
Call for Papers: Special Issue on Recent Developments in Time Series Methods for Detecting Bubbles and Crashes	0
Understanding Multi‐horizon Forecasts: Identification, Estimation and Testing	0
Testing Mean Stability of Heteroskedastic Time Series	0
Detecting relevant changes in the spatiotemporal mean function	0
Sequential Monitoring for Changes in GARCH(1,1) Models Without Assuming Stationarity	0
Automated Bandwidth Selection for Inference in Linear Models With Time‐Varying Coefficients	0
Autoregressive spectral estimates under ignored changes in the mean	0
Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi	0
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Dependence properties of stochastic volatility models	0
Testing for symmetric correlation matrices with applications to factor models	0
CAViaR Model Selection via Adaptive Lasso	0
Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor	0
Panel Threshold Mixed Data Sampling Models With a Covariate‐Dependent Threshold	0
Some recent trends in embeddings of time series and dynamic networks	0
On distributional autoregression and iterated transportation	0
Seasonal functional autoregressive models	0
Non‐crossing quantile double‐autoregression for the analysis of streaming time series data	0
Testing for Unspecified Periodicities in Binary Time Series	0
Bubbles and crashes: A tale of quantiles	0
Issue Information	0
Issue Information	0
Editorial Announcement: Addendum to Journal of Time Series Analysis Distinguished Authors 2023	0
Asymptotic Normality of Bias Reduction Estimation for Jump Intensity Function in Financial Markets	0
Directed graphs and variable selection in large vector autoregressive models	0
The Granger–Johansen representation theorem for integrated time series on Banach space	0
Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors	0
Generalized covariance‐based inference for models set‐identified from independence restrictions	0
Correcting the bias of the sample cross‐covariance estimator	0
Student‐t stochastic volatility model with composite likelihood EM‐algorithm	0
General estimation results for tdVARMA array models	0
Mixed orthogonality graphs for continuous‐time state space models and orthogonal projections	0
Estimation of non‐smooth non‐parametric estimating equations models with dependent data	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
A Zero Serial Cross‐Correlation Test Before Fitting Heteroscedasticity	0
Multiple Changepoint Detection for Non‐Gaussian Time Series	0
Speculative Bubbles in the Recent AI Boom: Nasdaq and the Magnificent Seven	0
Change Point Analysis for Functional Data Using Empirical Characteristic Functionals	0
	0
Flexible bivariate INGARCH process with a broad range of contemporaneous correlation	0
Estimation and Inference for Higher‐Order Stochastic Volatility Models With Leverage	0
Gaussian Approximation for Lag‐Window Estimators and the Construction of Confidence Bands for the Spectral Density	0
A Stochastic Tree for Bubble Asset Modelling and Pricing	0
Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain	0
A multiplicative thinning‐based integer‐valued GARCH model	0
A residual‐based nonparametric variance ratio no‐cointegration test	0
Local quadratic spectral and covariance matrix estimation	0
Modal volatility function	0
Issue Information	0
Variable length Markov chain with exogenous covariates	0
Issue Information	0
Nonlinear kernel mode‐based regression for dependent data	0
Factor models for high‐dimensional functional time series II: Estimation and forecasting	0