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September 2024, Volume 45, Issue 5
- 671-690 Transformed‐Linear Models for Time Series Extremes
by Nehali Mhatre & Daniel Cooley - 691-713 Consistency of averaged impulse response estimators in vector autoregressive models
by Jan Lohmeyer & Franz Palm & Jean‐Pierre Urbain - 714-738 Statistical analysis of irregularly spaced spatial data in frequency domain
by Shibin Zhang - 739-770 On distributional autoregression and iterated transportation
by Laya Ghodrati & Victor M. Panaretos - 771-799 Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients
by Francesco Giordano & Marcella Niglio & Maria Lucia Parrella - 800-822 Bootstrap prediction inference of nonlinear autoregressive models
by Kejin Wu & Dimitris N. Politis - 823-846 Inference in Coarsened Time Series via Generalized Method of Moments
by Man Fai Ip & Kin Wai Chan - 847-856 A residual‐based nonparametric variance ratio no‐cointegration test
by Karsten Reichold
July 2024, Volume 45, Issue 4
- 497-512 Test of change point versus long‐range dependence in functional time series
by Changryong Baek & Piotr Kokoszka & Xiangdong Meng - 513-532 Non‐crossing quantile double‐autoregression for the analysis of streaming time series data
by Rong Jiang & Siu Kai Choy & Keming Yu - 533-557 High‐Frequency‐Based Volatility Model with Network Structure
by Huiling Yuan & Kexin Lu & Guodong Li & Junhui Wang - 558-583 Asymptotic Normality of Bias Reduction Estimation for Jump Intensity Function in Financial Markets
by Yuping Song & Min Zhu & Jiawei Qiu - 584-612 Count network autoregression
by Mirko Armillotta & Konstantinos Fokianos - 613-638 Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility
by Jin Yu Fu & Jin Guan Lin & Guangying Liu & Hong Xia Hao - 639-659 Time Series Quantile Regression Using Random Forests
by Hiroshi Shiraishi & Tomoshige Nakamura & Ryotato Shibuki - 660-668 A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots
by Vladimir Andric & Sanja Nenadovic
May 2024, Volume 45, Issue 3
- 333-360 Stationary Jackknife
by Weilian Zhou & Soumendra Lahiri - 361-375 Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity
by Andreas Anastasiou & Tobias Kley - 376-397 On vector linear double autoregression
by Yuchang Lin & Qianqian Zhu - 398-420 Additive autoregressive models for matrix valued time series
by Hong‐Fan Zhang - 421-443 Local Whittle estimation with (quasi‐)analytic wavelets
by Sophie Achard & Irène Gannaz - 444-462 Granger causality tests based on reduced variable information
by Neng‐Fang Tseng & Ying‐Chao Hung & Junji Nakano - 463-478 Smooth transition moving average models: Estimation, testing, and computation
by Xinyu Zhang & Dong Li - 479-494 Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm
by Haeran Cho & Piotr Fryzlewicz
March 2024, Volume 45, Issue 2
- 163-163 Call for Papers: Special Issue on Recent Developments in Time Series Methods for Detecting Bubbles and Crashes
by Robert Taylor - 164-188 Portmanteau tests for periodic ARMA models with dependent errors
by Y. Boubacar Maïnassara & A. Ilmi Amir - 189-213 Nonlinear kernel mode‐based regression for dependent data
by Tao Wang - 214-247 Correcting the bias of the sample cross‐covariance estimator
by Yifan Li - 248-268 Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
by Søren Johansen & Anders Rygh Swensen - 269-297 Margin‐closed vector autoregressive time series models
by Lin Zhang & Harry Joe & Natalia Nolde - 298-319 Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations
by Simos Meintanis & Bojana Milošević & Marko Obradović & Mirjana Veljović - 320-330 Functional principal component analysis for cointegrated functional time series
by Won‐Ki Seo
September 2023, Volume 44, Issue 5-6
- 439-439 Editorial Announcement
by Robert Taylor - 440-441 Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi
by Marc Hallin & Yoshihide Kakizawa & Hira Koul - 442-473 Weighted l1‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors
by Monika Bhattacharjee & Nilanjan Chakraborty & Hira L. Koul - 474-486 Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates
by Shan Dai & Ngai Hang Chan - 487-504 Clustering multivariate time series using energy distance
by Richard A. Davis & Leon Fernandes & Konstantinos Fokianos - 505-532 Detecting relevant changes in the spatiotemporal mean function
by Holger Dette & Pascal Quanz - 533-555 Optimal estimating function for weak location‐scale dynamic models
by Christian Francq & Jean‐Michel Zakoïan - 556-577 Estimation on unevenly spaced time series
by Liudas Giraitis & Fulvia Marotta - 578-600 Factor models for high‐dimensional functional time series I: Representation results
by Marc Hallin & Gilles Nisol & Shahin Tavakoli - 601-621 Factor models for high‐dimensional functional time series II: Estimation and forecasting
by Shahin Tavakoli & Gilles Nisol & Marc Hallin - 622-643 Testing for symmetric correlation matrices with applications to factor models
by Nan‐Jung Hsu & Lai Heng Sim & Ruey S. Tsay - 644-666 Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test
by Sangyeol Lee & Minyoung Jo - 667-685 A testing approach to clustering scalar time series
by Daniel Peña & Ruey S. Tsay - 686-709 Some recent trends in embeddings of time series and dynamic networks
by Dag Tjøstheim & Martin Jullum & Anders Løland
July 2023, Volume 44, Issue 4
- 335-335 Editorial announcement
by Robert Taylor - 336-336 Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor
by Torben Andersen & Kim Christensen & Ingmar Nolte - 337-358 On highly skewed fractional log‐stable noise sequences and their application
by Harry Pavlopoulos & George Chronis - 359-373 On the asymptotic behavior of bubble date estimators
by Eiji Kurozumi & Anton Skrobotov - 374-392 Regime switching models for circular and linear time series
by Andrew Harvey & Dario Palumbo - 393-417 Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
by Abdelhakim Aknouche & Stefanos Dimitrakopoulos - 418-436 Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors
by Xiaoyan Li & Jiazhu Pan & Anchao Song
May 2023, Volume 44, Issue 3
- 262-279 Volatility models for stylized facts of high‐frequency financial data
by Donggyu Kim & Minseok Shin - 280-293 Tempered functional time series
by Farzad Sabzikar & Piotr Kokoszka - 294-318 A nonparametric predictive regression model using partitioning estimators based on Taylor expansions
by Jose Olmo - 319-330 System identification using autoregressive Bayesian neural networks with nonparametric noise models
by Christos Merkatas & Simo Särkkä - 331-332 Corrigendum to the article “Regular multidimensional stationary time series”
by Tamás Szabados
March 2023, Volume 44, Issue 2
- 151-180 Dynamic deconvolution and identification of independent autoregressive sources
by Christian Gourieroux & Joann Jasiak - 181-205 Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments
by David I. Harvey & Stephen J. Leybourne & Yang Zu - 206-222 Flexible bivariate INGARCH process with a broad range of contemporaneous correlation
by Luiza S. C. Piancastelli & Wagner Barreto‐Souza & Hernando Ombao - 223-246 Directed graphs and variable selection in large vector autoregressive models
by Dominik Bertsche & Ralf Brüggemann & Christian Kascha - 247-257 Higher‐order asymptotics of minimax estimators for time series
by Xiaofei Xu & Yan Liu & Masanobu Taniguchi
January 2023, Volume 44, Issue 1
- 3-3 Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022
by Robert Taylor - 4-22 High‐dimensional sparse multivariate stochastic volatility models
by Benjamin Poignard & Manabu Asai - 23-42 A prediction perspective on the Wiener–Hopf equations for time series
by Suhasini Subba Rao & Junho Yang - 43-68 Peaks, gaps, and time‐reversibility of economic time series
by Tommaso Proietti - 69-92 Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain
by Cleiton Guollo Taufemback - 93-124 Seasonal count time series
by Jiajie Kong & Robert Lund - 125-147 Student‐t stochastic volatility model with composite likelihood EM‐algorithm
by Raanju R. Sundararajan & Wagner Barreto‐Souza
November 2022, Volume 43, Issue 6
- 856-871 A non‐parametric test for multi‐variate trend functions
by Erhua Zhang & Xiaojun Song & Jilin Wu - 872-894 Inference in functional factor models with applications to yield curves
by Lajos Horváth & Piotr Kokoszka & Jeremy VanderDoes & Shixuan Wang - 895-917 Trend locally stationary wavelet processes
by Euan T. McGonigle & Rebecca Killick & Matthew A. Nunes - 918-937 Autoregressive mixture models for clustering time series
by Benny Ren & Ian Barnett - 938-963 Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model
by Xuanling Yang & Dong Li - 964-1002 Portmanteau test for a class of multivariate asymmetric power GARCH model
by Yacouba Boubacar Maïnassara & Othman Kadmiri & Bruno Saussereau
September 2022, Volume 43, Issue 5
- 669-694 Testing the volatility jumps based on the high frequency data
by Guangying Liu & Meiyao Liu & Jinguan Lin - 695-719 Rank test of unit‐root hypothesis with AR‐GARCH errors
by Guili Liao & Qimeng Liu & Rongmao Zhang & Shifang Zhang - 720-749 Estimation and inference in adaptive learning models with slowly decreasing gains
by Alexander Mayer - 750-780 Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model
by Sebastian Mentemeier & Olivier Wintenberger - 781-807 Permutation testing for dependence in time series
by Joseph P. Romano & Marius A. Tirlea - 808-827 A new non‐parametric cross‐spectrum estimator
by Evangelos E. Ioannidis - 828-852 Johansen‐type cointegration tests with a Fourier function
by Razvan Pascalau & Junsoo Lee & Saban Nazlioglu & Yan (Olivia) Lu
July 2022, Volume 43, Issue 4
- 511-531 Simultaneous variable selection and structural identification for time‐varying coefficient models
by Ngai Hang Chan & Linhao Gao & Wilfredo Palma - 532-557 Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations
by Ricardo P. Masini & Marcelo C. Medeiros & Eduardo F. Mendes - 558-586 Misspecified semiparametric model selection with weakly dependent observations
by Francesco Bravo - 587-609 Long‐term prediction intervals with many covariates
by Sayar Karmakar & Marek Chudý & Wei Biao Wu - 610-639 Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes
by Yanfeng Wu & Jianqiang Hu & Xiangyu Yang - 640-665 Conditional quantile analysis for realized GARCH models
by Donggyu Kim & Minseog Oh & Yazhen Wang
May 2022, Volume 43, Issue 3
- 345-370 A new volatility model: GQARCH‐ItÔ model
by Huiling Yuan & Yulei Sun & Lu Xu & Yong Zhou & Xiangyu Cui - 371-388 Asymmetric linear double autoregression
by Songhua Tan & Qianqian Zhu - 389-411 Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods
by Pierre Perron & Yohei Yamamoto - 412-435 On cointegration for processes integrated at different frequencies
by Tomás del Barrio Castro & Gianluca Cubadda & Denise R. Osborn - 436-459 Stationarity and ergodicity of Markov switching positive conditional mean models
by Abdelhakim Aknouche & Christian Francq - 460-478 Modeling normalcy‐dominant ordinal time series: An application to air quality level
by Mengya Liu & Fukang Zhu & Ke Zhu - 479-489 The spectral analysis of the Hodrick–Prescott filter
by Neslihan Sakarya & Robert M. de Jong - 490-500 A new GJR‐GARCH model for ℤ‐valued time series
by Yue Xu & Fukang Zhu - 501-508 The factor analytical approach in trending near unit root panels
by Joakim Westerlund & Milda Norkutė & Ovidijus Stauskas
March 2022, Volume 43, Issue 2
- 157-177 Autoregressive density modeling with the Gaussian process mixture transition distribution
by Matthew Heiner & Athanasios Kottas - 178-196 On causal and non‐causal cointegrated vector autoregressive time series
by Anders Rygh Swensen - 197-218 Seasonal functional autoregressive models
by Atefeh Zamani & Hossein Haghbin & Maryam Hashemi & Rob J. Hyndman - 219-237 A two‐step procedure for testing partial parameter stability in cointegrated regression models
by Mohitosh Kejriwal & Pierre Perron & Xuewen Yu - 238-262 Maxima of linear processes with heavy‐tailed innovations and random coefficients
by Danijel Krizmanić - 263-284 Regular multidimensional stationary time series
by Tamás Szabados - 285-311 Generalized binary vector autoregressive processes
by Carsten Jentsch & Lena Reichmann - 312-328 Variable length Markov chain with exogenous covariates
by Adriano Zanin Zambom & Seonjin Kim & Nancy Lopes Garcia - 329-340 Autoregressive spectral estimates under ignored changes in the mean
by Matei Demetrescu & Mehdi Hosseinkouchack - 341-342 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
by Alexander Aue
January 2022, Volume 43, Issue 1
- 3-3 Editorial Announcement: Professor Michael McAleer
by Robert Taylor - 4-4 Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2021
by Robert Taylor - 5-29 Periodic autoregressive conditional duration
by Abdelhakim Aknouche & Bader Almohaimeed & Stefanos Dimitrakopoulos - 30-52 Wasserstein autoregressive models for density time series
by Chao Zhang & Piotr Kokoszka & Alexander Petersen - 53-82 Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor
by Yuping Song & Weijie Hou & Zhengyan Lin - 83-104 Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions
by Karsten Schweikert - 105-124 State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data
by Dohyun Chun & Donggyu Kim - 125-146 Generalized autoregressive moving average models with GARCH errors
by Tingguo Zheng & Han Xiao & Rong Chen - 147-153 On the Relationship between Uhlig Extended and beta‐Bartlett Processes
by Víctor Peña & Kaoru Irie - 154-154 Review of the book Stochastic Models for Time Series by Paul Doukhan
by Efstathios Paparoditis
September 2021, Volume 42, Issue 5-6
- 495-498 Preface to the Murray Rosenblatt memorial special issue of JTSA
by Richard C. Bradley & Richard A. Davis & Dimitris N. Politis - 499-533 On some basic features of strictly stationary, reversible Markov chains
by Richard C. Bradley - 534-553 Simultaneous inference for autocovariances based on autoregressive sieve bootstrap
by Alexander Braumann & Jens‐Peter Kreiss & Marco Meyer - 554-579 Sparsity concepts and estimation procedures for high‐dimensional vector autoregressive models
by Jonas Krampe & Efstathios Paparoditis - 580-596 Consistent autoregressive spectral estimates: Nonlinear time series and large autocovariance matrices
by Jiang Wang & Dimitris N. Politis - 597-621 Spectral methods for small sample time series: A complete periodogram approach
by Sourav Das & Suhasini Subba Rao & Junho Yang - 622-652 Extensions of Rosenblatt's results on the asymptotic behavior of the prediction error for deterministic stationary sequences
by Nikolay M. Babayan & Mamikon S. Ginovyan & Murad S. Taqqu - 653-684 Indirect inference for time series using the empirical characteristic function and control variates
by Richard A. Davis & Thiago do Rêgo Sousa & Claudia Klüppelberg - 685-695 Local Whittle estimation of long‐range dependence for functional time series
by Degui Li & Peter M. Robinson & Han Lin Shang - 696-710 A local limit theorem for linear random fields
by Timothy Fortune & Magda Peligrad & Hailin Sang - 711-736 On the Estimation of Periodicity or Almost Periodicity in Inhomogeneous Gamma Point‐Process Data
by Rodrigo Saul Gaitan & Keh‐Shin Lii - 737-751 Integer‐valued asymmetric garch modeling
by Xiaofei Hu & Beth Andrews - 752-776 Asymptotic theory for QMLE for the real‐time GARCH(1,1) model
by Ekaterina Smetanina & Wei Biao Wu - 777-790 Aspects of non‐causal and non‐invertible CARMA processes
by Peter J. Brockwell & Alexander Lindner
July 2021, Volume 42, Issue 4
- 377-405 Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models
by Paulo M. D. C. Parente & Richard J. Smith - 406-430 Threshold model with a time‐varying threshold based on Fourier approximation
by Lixiong Yang & Chingnun Lee & I‐Po Chen - 431-441 Identifiability of structural singular vector autoregressive models
by Bernd Funovits & Alexander Braumann - 442-470 Parsimonious time series modeling for high frequency climate data
by Paul L. Anderson & Farzad Sabzikar & Mark M. Meerschaert - 471-491 Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models
by Nan Li & Simon S. Kwok - 492-492 Corrigendum to “A Generalised Fractional Differencing Bootstrap for Long Memory Processes” Journal of Time Series Analysis 40: 467‐492 (2019) DOI: 10.1111/jtsa.12460
by George Kapetanios & Fotis Papailias & A. M. Robert Taylor
May 2021, Volume 42, Issue 3
- 271-294 Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models
by Manabu Asai & Mike K. P. So - 295-313 Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models
by Siegfried Hörmann & Gilles Nisol - 314-337 Asymptotic Behavior of Delay Times of Bubble Monitoring Tests
by Eiji Kurozumi - 338-354 To infinity and beyond: Efficient computation of ARCH(∞) models
by Morten Ørregaard Nielsen & Antoine L. Noël - 355-371 Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models
by Adrian Pizzinga & Marcelo Fernandes - 372-373 Statistical foundations of data science by jianqing Fan, Runze Li, Chun‐Hui Zhang, Hui Zou. Published by Taylor & Francis Group. Total number of pages: 729. ISBN: 978‐1‐466‐51084‐5
by Weining Wang
March 2021, Volume 42, Issue 2
- 139-139 Editorial Announcement
by Robert Taylor - 140-160 Necessary and sufficient conditions for the identifiability of observation‐driven models
by Randal Douc & François Roueff & Tepmony Sim - 161-185 Long range dependence for stable random processes
by Vitalii Makogin & Marco Oesting & Albert Rapp & Evgeny Spodarev - 186-200 A Note on Efficient Fitting of Stochastic Volatility Models
by Chen Gong & David S. Stoffer - 201-221 Estimating wold matrices and vector moving average processes
by Jonas Krampe & Timothy L. McMurry - 222-239 Empirical likelihood test for the application of swqmele in fitting an arma‐garch model
by Mo Zhou & Liang Peng & Rongmao Zhang - 240-266 A simple nearly unbiased estimator of cross‐covariances
by Yifan Li & Yao Rao
January 2021, Volume 42, Issue 1
- 3-3 Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2020
by Robert Taylor - 4-18 Robust empirical likelihood for time series
by Kun Chen & Rui Huang - 19-33 Independent block identification in multivariate time series
by Florencia Leonardi & Matías Lopez‐Rosenfeld & Daniela Rodriguez & Magno T. F. Severino & Mariela Sued - 34-62 Robust discrimination between long‐range dependence and a change in mean
by Carina Gerstenberger - 63-84 A new approach for open‐end sequential change point monitoring
by Josua Gösmann & Tobias Kley & Holger Dette - 85-106 Unit root testing with slowly varying trends
by Sven Otto - 107-135 Mixtures of Nonlinear Poisson Autoregressions
by Paul Doukhan & Konstantinos Fokianos & Joseph Rynkiewicz
November 2020, Volume 41, Issue 6
- 733-758 Tests for conditional heteroscedasticity of functional data
by Gregory Rice & Tony Wirjanto & Yuqian Zhao - 759-784 Efficient Bayesian PARCOR approaches for dynamic modeling of multivariate time series
by Wenjie Zhao & Raquel Prado - 785-807 Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution
by Aleksandra Grzesiek & Prashant Giri & S. Sundar & Agnieszka WyŁomańska - 808-829 Models for circular data from time series spectra
by Masanobu Taniguchi & Shogo Kato & Hiroaki Ogata & Arthur Pewsey - 830-857 Conway–Maxwell–Poisson Autoregressive Moving Average Model for Equidispersed, Underdispersed, and Overdispersed Count Data
by Moizes Melo & Airlane Alencar - 858-882 Functional lagged regression with sparse noisy observations
by Tomáš Rubín & Victor M. Panaretos - 883-891 On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models
by Huan Gong & Dong Li - 892-898 On the limit theory of mixed to unity VARs: Panel setting with weakly dependent errors
by Ovidijus Stauskas - 899-900 Correction to: Random Coefficient Autoregressive Processes: a Markov Chain Analysis of Stationarity and Finiteness of Moments by Paul D. Feigin and Richard L. Tweedie J. Time Series Anal., Vol. 6, No. 1 (1985)
by Paul D. Feigin
September 2020, Volume 41, Issue 5
- 605-619 Backtesting portfolio value‐at‐risk with estimated portfolio weights
by Zaichao Du & Pei Pei - 620-651 Robust estimation of stationary continuous‐time arma models via indirect inference
by Vicky Fasen‐Hartmann & Sebastian Kimmig - 652-675 Missing not at random and the nonparametric estimation of the spectral density
by Sam Efromovich - 676-690 Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
by Mohitosh Kejriwal & Xuewen Yu & Pierre Perron - 691-721 A family of multivariate non‐gaussian time series models
by Tevfik Aktekin & Nicholas G. Polson & Refik Soyer - 722-730 A Portmanteau Test for Smooth Transition Autoregressive Models
by Qiang Xia & Zhiqiang Zhang & Wai Keung Li
July 2020, Volume 41, Issue 4
- 489-490 Editorial Announcement: Journal of Time Series Analysis Distinguished Authors
by Robert Taylor - 492-519 Modeling the Variance of Return Intervals Toward Volatility Prediction
by Yan Sun & Guanghua Lian & Zudi Lu & Jennifer Loveland & Isaac Blackhurst - 520-535 Estimating Long Memory in Panel Random‐Coefficient AR(1) Data
by Remigijus Leipus & Anne Philippe & Vytautė Pilipauskaitė & Donatas Surgailis - 536-550 An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence
by Xuexin Wang & Yixiao Sun - 551-570 Two‐Step Estimation for Time Varying Arch Models
by Yuanyuan Zhang & Rong Liu & Qin Shao & Lijian Yang - 571-589 Testing equality of autocovariance operators for functional time series
by Dimitrios Pilavakis & Efstathios Paparoditis & Theofanis Sapatinas - 590-602 Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes
by Valerie Girardin & Rachid Senoussi
May 2020, Volume 41, Issue 3
- 367-386 Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients
by Degui Li & Jiraroj Tosasukul & Wenyang Zhang - 387-405 Location Multiplicative Error Models with Quasi Maximum Likelihood Estimation
by Qian Li - 406-420 On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One
by Soumya Das & Marc G. Genton - 421-435 Consistency of the Hill Estimator for Time Series Observed with Measurement Errors
by Mihyun Kim & Piotr Kokoszka - 436-453 A Flexible Univariate Autoregressive Time‐Series Model for Dispersed Count Data
by Kimberly F. Sellers & Stephen J. Peng & Ali Arab - 454-475 Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with α‐Stable Noise
by Aleksandra Grzesiek & Grzegorz Sikora & Marek Teuerle & Agnieszka Wyłomańska - 476-484 The Marginal Density of a TMA(1) Process
by Dong Li & Jiaming Qiu - 485-486 Time Series: a Data Analysis Approach Using R By Robert H. Shumway and David S. Stoffer. Published by Taylor & Francis Group, LLC, Boca Raton, London, New York, 2019. ISBN: 9780367221096 (Hardback)
by Matthew Nunes
March 2020, Volume 41, Issue 2
- 177-209 A Stationary Spatio‐Temporal GARCH Model
by Sondre Hølleland & Hans Arnfinn Karlsen - 210-228 Estimating the Mean Direction of Strongly Dependent Circular Time Series
by Jan Beran & Sucharita Ghosh - 229-248 Robust Linear Interpolation and Extrapolation of Stationary Time Series in Lp
by Yan Liu & Yujie Xue & Masanobu Taniguchi - 249-267 Mixed First‐ and Second‐Order Cointegrated Continuous Time Models with Mixed Stock and Flow Data
by Milena Hoyos - 268-292 Modeling bivariate long‐range dependence with general phase
by Stefanos Kechagias & Vladas Pipiras - 293-311 Extracting Conditionally Heteroskedastic Components using Independent Component Analysis
by Jari Miettinen & Markus Matilainen & Klaus Nordhausen & Sara Taskinen - 312-340 Walsh Fourier Transform of Locally Stationary Time Series
by Zhelin Huang & Ngai Hang Chan - 341-350 On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model
by Stelios Arvanitis & Sofia Anyfantaki - 351-356 The Limiting Distribution of a Non‐Stationary Integer Valued GARCH(1,1) Process
by Jon Michel - 357-364 Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model
by Emma M. Iglesias & Garry D. A. Phillips
January 2020, Volume 41, Issue 1
- 3-20 Higher‐Order Accurate Spectral Density Estimation of Functional Time Series
by Tingyi Zhu & Dimitris N. Politis