OOIR: Observatory of International Research

Papers

(The TQCC of Journal of Time Series Analysis is 2. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2022-06-01 to 2026-06-01.)

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

Estimating lagged (cross‐)covariance operators of L^p‐m‐approximable processes in Cartesian product Hilbert spaces	5
Statistical Inference for Periodic Asymmetric Power GARCH Models	5
Noising the GARCH Volatility: A Random Coefficient GARCH Model	4
Nonparametric Inference of Conditional Expectile Functions in Large‐Scale Time Series Data With Improved Efficiency	4
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	4
	4
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	4
Dynamic deconvolution and identification of independent autoregressive sources	4
Permutation Testing for Monotone “Trend”	4
Smoothing Spline Semi‐Parametric Non‐Gaussian Structural Vector Autoregressive Models	4
Consistency of averaged impulse response estimators in vector autoregressive models	4
Statistical analysis of irregularly spaced spatial data in frequency domain	4
Issue Information	4
Poisson count time series	3
Bootstrapping non‐stationary and irregular time series using singular spectral analysis	3
Inference in Coarsened Time Series via Generalized Method of Moments	3
Inverse Autocovariance Estimates	3
	3
	3
	3
The Gaussian Central Limit Theorem for a Stationary Time Series With Infinite Variance	3
Testing and Estimation of Change Point in ARMA Model With Heavy‐Tailed G‐GARCH Noises	3
	3
Editorial announcement	3
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	3
Issue Information	3
Test of change point versus long‐range dependence in functional time series	3
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	3
Estimation on unevenly spaced time series	2
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties	2
	2
Time‐Varying Dispersion Integer‐Valued GARCH Models	2
On Testing for Independence Between Generalized Error Models of Several Time Series	2
	2
Transformed‐Linear Models for Time Series Extremes	2
Spatiotemporal Heterogeneity Learning: Generalized SpatioTemporal Semi‐Varying Coefficient Models With Structure Identification	2
Multiple Chains Markov Switching Vector Autoregression	2
Tests for Changes in Count Time Series Models With Exogenous Covariates	2
Blockwise Empirical Likelihood and Efficiency for Markov Chains	2
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	2
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	2
On Selection of Cross‐Section Averages in Non‐Stationary Environments	2
Latent Gaussian Dynamic Factor Modeling and Forecasting for Multivariate Count Time Series	2
A new portmanteau test for predictive regression models with possible embedded endogeneity	2
A new heteroskedasticity‐robust test for explosive bubbles	2
Issue Information	2
Testing for Rough Volatility When Prices Are Purely Discontinuous	2
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	2
Editorial Announcement	2
Towards Identification of Shocks in Linear State‐Space Models: Application to Stochastic Volatility Model	2

Testing covariance separability for continuous functional data	2
Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models	2
On vector linear double autoregression	2
Self‐Normalized KPSS Tests With Power Enhancement	2
On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting	2
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	2
Estimation for conditional moment models based on martingale difference divergence	2
Extremely Fast Maximum Likelihood Estimation of High‐Order Autoregressive Models	2
Gradual Changes in Functional Time Series	2
Issue Information	2
Portmanteau tests for periodic ARMA models with dependent errors	2
Mean‐preserving rounding integer‐valued ARMA models	2
	2
Issue Information	2
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	2
On Exponential‐Family INGARCH Models	2
Detecting Relevant Deviations From the White Noise Assumption for Non‐Stationary Time Series	2
On highly skewed fractional log‐stable noise sequences and their application	2