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 2020-11-01 to 2024-11-01.)

Article	Citations
Modeling normalcy‐dominant ordinal time series: An application to air quality level	23
Wasserstein autoregressive models for density time series	18
A new GJR‐GARCH model for ℤ‐valued time series	14
Threshold model with a time‐varying threshold based on Fourier approximation	9
Local Whittle estimation of long‐range dependence for functional time series	9
Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations	8
State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data	7
Stationarity and ergodicity of Markov switching positive conditional mean models	6
Seasonal functional autoregressive models	6
Asymptotic Behavior of Delay Times of Bubble Monitoring Tests	6
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test	6
Factor models for high‐dimensional functional time series I: Representation results	6
Flexible bivariate INGARCH process with a broad range of contemporaneous correlation	6
Factor models for high‐dimensional functional time series II: Estimation and forecasting	5
Johansen‐type cointegration tests with a Fourier function	5
Seasonal count time series	5
To infinity and beyond: Efficient computation of ARCH(∞) models	5
Integer‐valued asymmetric garch modeling	5
Trend locally stationary wavelet processes	5
Spectral methods for small sample time series: A complete periodogram approach	4
Sparsity concepts and estimation procedures for high‐dimensional vector autoregressive models	4
Regular multidimensional stationary time series	4
Extensions of Rosenblatt's results on the asymptotic behavior of the prediction error for deterministic stationary sequences	4
On causal and non‐causal cointegrated vector autoregressive time series	4
Long‐term prediction intervals with many covariates	4

Periodic autoregressive conditional duration	4
Maxima of linear processes with heavy‐tailed innovations and random coefficients	3
A multiplicative thinning‐based integer‐valued GARCH model	3
Functional principal component analysis for cointegrated functional time series	3
Rank test of unit‐root hypothesis with AR‐GARCH errors	3
On the Relationship between Uhlig Extended and beta‐Bartlett Processes	3
Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models	3
A new volatility model: GQARCH‐ItÔ model	3
Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions	3
On some basic features of strictly stationary, reversible Markov chains	2
Non‐crossing quantile double‐autoregression for the analysis of streaming time series data	2
Count network autoregression	2
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm	2
Peaks, gaps, and time‐reversibility of economic time series	2
Identifiability of structural singular vector autoregressive models	2
Variable length Markov chain with exogenous covariates	2
Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function	2
Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models	2
Some recent trends in embeddings of time series and dynamic networks	2
Detecting relevant changes in the spatiotemporal mean function	2
Nonlinear kernel mode‐based regression for dependent data	2
Asymmetric linear double autoregression	2
Inference in functional factor models with applications to yield curves	2
Testing the volatility jumps based on the high frequency data	2
Regime switching models for circular and linear time series	2
A prediction perspective on the Wiener–Hopf equations for time series	2
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models	2
Parsimonious time series modeling for high frequency climate data	2
Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments	2
Additive autoregressive models for matrix valued time series	2
On a matrix‐valued autoregressive model	1
Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model	1
Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods	1
General estimation results for tdVARMA array models	1
Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients	1
Granger causality tests based on reduced variable information	1
Consistent autoregressive spectral estimates: Nonlinear time series and large autocovariance matrices	1
Volatility models for stylized facts of high‐frequency financial data	1
Aspects of non‐causal and non‐invertible CARMA processes	1
Student‐t stochastic volatility model with composite likelihood EM‐algorithm	1
Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra	1
Testing for symmetric correlation matrices with applications to factor models	1
Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors	1
Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes	1
A testing approach to clustering scalar time series	1
A new estimator for LARCH processes	1
On the asymptotic behavior of bubble date estimators	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
Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models	1
Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain	1

Asymptotic theory for QMLE for the real‐time GARCH(1,1) model	1
On cointegration for processes integrated at different frequencies	1
Estimation and inference in adaptive learning models with slowly decreasing gains	1
Fractional stochastic volatility model	1
The spectral analysis of the Hodrick–Prescott filter	1
Time Series Quantile Regression Using Random Forests	1
Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series	1
	1
Autoregressive density modeling with the Gaussian process mixture transition distribution	1
Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models	1
Autoregressive mixture models for clustering time series	1
Test of change point versus long‐range dependence in functional time series	1
Permutation testing for dependence in time series	1
Quasi‐Likelihood Estimation in Volatility Models for Semi‐Continuous Time Series	1
Estimation on unevenly spaced time series	1
Clustering multivariate time series using energy distance	1
Generalized autoregressive moving average models with GARCH errors	1
A simple nearly unbiased estimator of cross‐covariances	1
The factor analytical approach in trending near unit root panels	1