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 2022-08-01 to 2026-08-01.)

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
On buffered moving average models	5

Consistency of averaged impulse response estimators in vector autoregressive models	5
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	5
Estimating lagged (cross‐)covariance operators of L^p‐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
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
Editorial Announcement	3
	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
A new portmanteau test for predictive regression models with possible embedded endogeneity	2
Issue Information	2
Testing covariance separability for continuous functional data	2
Transformed‐Linear Models for Time Series Extremes	2
Towards Identification of Shocks in Linear State‐Space Models: Application to Stochastic Volatility Model	2
Portmanteau tests for periodic ARMA models with dependent errors	2
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties	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
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	2
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	2
Multiple Chains Markov Switching Vector Autoregression	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
Time‐Varying Dispersion Integer‐Valued GARCH Models	2
	2
Estimation on unevenly spaced time series	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
A new heteroskedasticity‐robust test for explosive bubbles	2
On vector linear double autoregression	2
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	2
Detecting Periodicity of a General Stationary Time Series via AR(2)‐Model Fitting	2
On Selection of Cross‐Section Averages in Non‐Stationary Environments	2
On highly skewed fractional log‐stable noise sequences and their application	2
On Testing for Independence Between Generalized Error Models of Several Time Series	2
	2
Testing for Rough Volatility When Prices Are Purely Discontinuous	2
Latent Gaussian Dynamic Factor Modeling and Forecasting for Multivariate Count Time Series	2
Issue Information	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
Issue Information	2
Detecting Relevant Deviations From the White Noise Assumption for Non‐Stationary Time Series	2