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 2021-09-01 to 2025-09-01.)

Article	Citations
	30
New associate editors	22
Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations	12
Issue Information	12
High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models	10
	10
Issue Information	10
Conditional quantile analysis for realized GARCH models	9
Simultaneous inference for autocovariances based on autoregressive sieve bootstrap	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 new volatility model: GQARCH‐ItÔ model	7
A Conditional Tail Expectation Type Risk Measure for Time Series	7
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
On buffered moving average models	4
Estimating lagged (cross‐)covariance operators of L^p‐m‐approximable processes in Cartesian product Hilbert spaces	4
Editorial Announcement: Professor Michael McAleer	4
Misspecified semiparametric model selection with weakly dependent observations	4
A new GJR‐GARCH model for ℤ‐valued time series	4
Inference for calendar effects in microstructure noise	4
Empirical likelihood for martingale differences	4

Estimation of the Long‐Run Variance of Nonlinear Time Series With an Application to Change Point Analysis	4
Recent Developments in Time‐Series Methods for Detecting Bubbles and Crashes: Guest Editors' Introduction	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
Stationary Jackknife	4
Online Detection of Forecast Model Inadequacies Using Forecast Errors	4
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	3
	3
Dynamic deconvolution and identification of independent autoregressive sources	3
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis	3
	3
Statistical analysis of irregularly spaced spatial data in frequency domain	3
	3
Noising the GARCH Volatility: A Random Coefficient GARCH Model	3
Permutation Testing for Monotone “Trend”	3
Editorial announcement	3
Consistency of averaged impulse response estimators in vector autoregressive models	3
Inverse Autocovariance Estimates	2
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios	2
	2
	2
Tests for Changes in Count Time Series Models With Exogenous Covariates	2
Issue Information	2
A non‐parametric test for multi‐variate trend functions	2
Issue Information	2
Poisson count time series	2
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity	2
	2
	2
Mean‐preserving rounding integer‐valued ARMA models	2
Gradual Changes in Functional Time Series	2
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates	2
Test of change point versus long‐range dependence in functional time series	2
	2
Bootstrapping non‐stationary and irregular time series using singular spectral analysis	2
Inference in Coarsened Time Series via Generalized Method of Moments	2
Editorial Announcement	2
Spatiotemporal Heterogeneity Learning: Generalized SpatioTemporal Semi‐Varying Coefficient Models With Structure Identification	2
Time‐Varying Dispersion Integer‐Valued GARCH Models	2
Generalized binary vector autoregressive processes	2
Self‐Normalized KPSS Tests With Power Enhancement	1
A new non‐parametric cross‐spectrum estimator	1
Estimation on unevenly spaced time series	1
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023	1
	1
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties	1
Extremely Fast Maximum Likelihood Estimation of High‐Order Autoregressive Models	1
On Exponential‐Family INGARCH Models	1
Sequential Detector Statistics for Speculative Bubbles	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
Detecting Relevant Deviations From the White Noise Assumption for Non‐Stationary Time Series	1
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	1
A new portmanteau test for predictive regression models with possible embedded endogeneity	1
On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting	1
Issue Information	1
Portmanteau tests for periodic ARMA models with dependent errors	1
A new heteroskedasticity‐robust test for explosive bubbles	1
Estimation and inference in adaptive learning models with slowly decreasing gains	1
On vector linear double autoregression	1
Issue Information	1
Blockwise Empirical Likelihood and Efficiency for Markov Chains	1
	1
Permutation testing for dependence in time series	1
Estimation for conditional moment models based on martingale difference divergence	1
Issue Information	1
Testing covariance separability for continuous functional data	1
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models	1
	1
Inference in functional factor models with applications to yield curves	1
Peaks, gaps, and time‐reversibility of economic time series	1
Transformed‐Linear Models for Time Series Extremes	1
Latent Gaussian Dynamic Factor Modeling and Forecasting for Multivariate Count Time Series	1
	1
Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility	1
Corrigendum to the article “Regular multidimensional stationary time series”	1