OOIR: Observatory of International Research

Papers

(The TQCC of Journal of Time Series Analysis is 1. 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 2021-06-01 to 2025-06-01.)

Article	Citations
	28
New associate editors	22
Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations	10
Issue Information	10
High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models	9
	9
Issue Information	9
Conditional quantile analysis for realized GARCH models	8
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices	8
Simultaneous inference for autocovariances based on autoregressive sieve bootstrap	8
Issue Information	7
A new volatility model: GQARCH‐ItÔ model	6
Trend locally stationary wavelet processes	6
A two‐step procedure for testing partial parameter stability in cointegrated regression models	6
Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model	5
On causal and non‐causal cointegrated vector autoregressive time series	5
Empirical likelihood for martingale differences	5
Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods	5
Additive autoregressive models for matrix valued time series	4
Editorial Announcement: Professor Michael McAleer	4
Inference for calendar effects in microstructure noise	4
A new GJR‐GARCH model for ℤ‐valued time series	4
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	4
On buffered moving average models	4
Generalized autoregressive moving average models with GARCH errors	4

Estimating lagged (cross‐)covariance operators of L^p‐m‐approximable processes in Cartesian product Hilbert spaces	4
Misspecified semiparametric model selection with weakly dependent observations	4
	4
Dynamic deconvolution and identification of independent autoregressive sources	4
The Liquidity Uncertainty Premium Puzzle	4
Stationary Jackknife	4
Rank test of unit‐root hypothesis with AR‐GARCH errors	4
Tail index estimation for tail adversarial stable time series with an application to high‐dimensional tail clustering	4
Consistency of averaged impulse response estimators in vector autoregressive models	4
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	4
	3
	3
Inverse Autocovariance Estimates	3
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	3
Statistical analysis of irregularly spaced spatial data in frequency domain	3
	3
	3
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	3
Editorial announcement	3
Bootstrapping non‐stationary and irregular time series using singular spectral analysis	3
Poisson count time series	3
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	2
	2
Mean‐preserving rounding integer‐valued ARMA models	2
Tests for Changes in Count Time Series Models With Exogenous Covariates	2
Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor	2
Generalized binary vector autoregressive processes	2
Inference in Coarsened Time Series via Generalized Method of Moments	2
Issue Information	2
Editorial Announcement	2
Issue Information	2
A non‐parametric test for multi‐variate trend functions	2
Time‐Varying Dispersion Integer‐Valued GARCH Models	2
Test of change point versus long‐range dependence in functional time series	2
	2
	2
Gradual Changes in Functional Time Series	2
Corrigendum to the article “Regular multidimensional stationary time series”	1
A new estimator for LARCH processes	1
General estimation results for tdVARMA array models	1
Issue Information	1
Regular multidimensional stationary time series	1
Estimation for conditional moment models based on martingale difference divergence	1
A new non‐parametric cross‐spectrum estimator	1
Testing covariance separability for continuous functional data	1
	1
Peaks, gaps, and time‐reversibility of economic time series	1
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties	1
A new heteroskedasticity‐robust test for explosive bubbles	1
Portmanteau tests for periodic ARMA models with dependent errors	1

Issue Information	1
Directed graphs and variable selection in large vector autoregressive models	1
Autoregressive density modeling with the Gaussian process mixture transition distribution	1
Time Series Models on Compact Spaces, With an Application to Dynamic Modeling of Relative Abundance Data in Ecology	1
On Exponential‐Family INGARCH Models	1
Estimation on unevenly spaced time series	1
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	1
Self‐Normalized KPSS Tests With Power Enhancement	1
On the Relationship between Uhlig Extended and beta‐Bartlett Processes	1
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	1
Estimation and inference in adaptive learning models with slowly decreasing gains	1
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	1
Transformed‐Linear Models for Time Series Extremes	1
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	1
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	1
Optimal estimating function for weak location‐scale dynamic models	1
A Mixture Transition Distribution Modeling for Higher‐Order Circular Markov Processes	1
	1
Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients	1
Permutation testing for dependence in time series	1
On highly skewed fractional log‐stable noise sequences and their application	1
A new portmanteau test for predictive regression models with possible embedded endogeneity	1
Blockwise Empirical Likelihood and Efficiency for Markov Chains	1
On vector linear double autoregression	1
On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting	1
	1
Inference in functional factor models with applications to yield curves	1
Issue Information	1