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

Article	Citations
Issue Information	14
	13
High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models	12
New associate editors	12
Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations	10
Issue Information	8
Editorial Announcement	8
	8
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices	8
A Conditional Tail Expectation Type Risk Measure for Time Series	7
Issue Information	7
Trend locally stationary wavelet processes	6
Mode Meets Mean: A New Robust Volatility	6
Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model	5
Empirical likelihood for martingale differences	5
Recent Developments in Time‐Series Methods for Detecting Bubbles and Crashes: Guest Editors' Introduction	5
Stationary Jackknife	5
Online Detection of Forecast Model Inadequacies Using Forecast Errors	5
The Liquidity Uncertainty Premium Puzzle	5
Additive autoregressive models for matrix valued time series	5
A Note on Local Polynomial Regression for Time Series in Banach Spaces	4
Estimating lagged (cross‐)covariance operators of L^p‐m‐approximable processes in Cartesian product Hilbert spaces	4
Consistency of averaged impulse response estimators in vector autoregressive models	4
Dynamic deconvolution and identification of independent autoregressive sources	4
Inference for calendar effects in microstructure noise	4

On buffered moving average models	4
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	4
Estimation of the Long‐Run Variance of Nonlinear Time Series With an Application to Change Point Analysis	4
Tail index estimation for tail adversarial stable time series with an application to high‐dimensional tail clustering	4
	4
Nonparametric Inference of Conditional Expectile Functions in Large‐Scale Time Series Data With Improved Efficiency	4
	3
Statistical analysis of irregularly spaced spatial data in frequency domain	3
	3
Bootstrapping non‐stationary and irregular time series using singular spectral analysis	3
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	3
Noising the GARCH Volatility: A Random Coefficient GARCH Model	3
Smoothing Spline Semi‐Parametric Non‐Gaussian Structural Vector Autoregressive Models	3
Inference in Coarsened Time Series via Generalized Method of Moments	3
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	3
Editorial announcement	3
Permutation Testing for Monotone “Trend”	3
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	3
	3
	3
	2
Time‐Varying Dispersion Integer‐Valued GARCH Models	2
Tests for Changes in Count Time Series Models With Exogenous Covariates	2
Issue Information	2
Testing and Estimation of Change Point in ARMA Model With Heavy‐Tailed G‐GARCH Noises	2
The Gaussian Central Limit Theorem for a Stationary Time Series With Infinite Variance	2
Issue Information	2
A new heteroskedasticity‐robust test for explosive bubbles	2
Transformed‐Linear Models for Time Series Extremes	2
Portmanteau tests for periodic ARMA models with dependent errors	2
A non‐parametric test for multi‐variate trend functions	2
Spatiotemporal Heterogeneity Learning: Generalized SpatioTemporal Semi‐Varying Coefficient Models With Structure Identification	2
	2
Inverse Autocovariance Estimates	2
Mean‐preserving rounding integer‐valued ARMA models	2
	2
Inference in functional factor models with applications to yield curves	2
Extremely Fast Maximum Likelihood Estimation of High‐Order Autoregressive Models	2
Issue Information	2
Towards Identification of Shocks in Linear State‐Space Models: Application to Stochastic Volatility Model	2
	2
Editorial Announcement	2
Poisson count time series	2
Test of change point versus long‐range dependence in functional time series	2
	2
Gradual Changes in Functional Time Series	2
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	2
Optimal estimating function for weak location‐scale dynamic models	1
Johansen‐type cointegration tests with a Fourier function	1
Issue Information	1

Permutation testing for dependence in time series	1
On Exponential‐Family INGARCH Models	1
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	1
On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting	1
Peaks, gaps, and time‐reversibility of economic time series	1
Testing covariance separability for continuous functional data	1
Issue Information	1
A new non‐parametric cross‐spectrum estimator	1
On highly skewed fractional log‐stable noise sequences and their application	1
Time Series Models on Compact Spaces, With an Application to Dynamic Modeling of Relative Abundance Data in Ecology	1
A new estimator for LARCH processes	1
Sequential Detector Statistics for Speculative Bubbles	1
Blockwise Empirical Likelihood and Efficiency for Markov Chains	1
Estimation for conditional moment models based on martingale difference divergence	1
Oracally Efficient Estimation and Consistent Model Selection for Spatial ARMA Process With Bivariate Trend	1
Self‐Normalized KPSS Tests With Power Enhancement	1
Latent Gaussian Dynamic Factor Modeling and Forecasting for Multivariate Count Time Series	1
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties	1
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	1
Corrigendum to the article “Regular multidimensional stationary time series”	1
	1
Testing for Unspecified Periodicities in Binary Time Series	1
A Mixture Transition Distribution Modeling for Higher‐Order Circular Markov Processes	1
Directed graphs and variable selection in large vector autoregressive models	1
	1
Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients	1
On vector linear double autoregression	1
Detecting Relevant Deviations From the White Noise Assumption for Non‐Stationary Time Series	1
On Selection of Cross‐Section Averages in Non‐Stationary Environments	1
A new portmanteau test for predictive regression models with possible embedded endogeneity	1
Estimation on unevenly spaced time series	1
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	1
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	1
Stochastic local and moderate departures from a unit root and its application to unit root testing	1