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January 2020, Volume 41, Issue 1
- 21-40 Bootstrap Inference for Garch Models by the Least Absolute Deviation Estimation
by Qianqian Zhu & Ruochen Zeng & Guodong Li - 41-66 Harmonically Weighted Processes
by Uwe Hassler & Mehdi Hosseinkouchack - 67-94 On Singular Spectrum Analysis And Stepwise Time Series Reconstruction
by Donald S. Poskitt - 95-109 Volatility asymmetry in functional threshold GARCH model
by Hao Sun & Bo Yu - 110-133 Empirical Characteristic Functions‐Based Estimation and Distance Correlation for Locally Stationary Processes
by Carsten Jentsch & Anne Leucht & Marco Meyer & Carina Beering - 134-145 Deterministic Parameter Change Models in Continuous and Discrete Time
by Marcus J. Chambers & A. M. Robert Taylor - 146-153 Properties of the Power Envelope for Tests Against Both Stationary and Explosive Alternatives: The Effect of Trends
by Patrick Marsh - 154-162 Inference for asymmetric exponentially weighted moving average models
by Dong Li & Ke Zhu - 163-172 Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models
by Yaxing Yang & Dong Li - 173-174 Large Covariance and Autocovariance Matrices, By Arup Bose and Monika Bhattacharjee. Published by Taylor & Francis Group, LLC, Boca Raton, London, New York, 2019. ISBN: 9781138303867 (HARDBACK)
by Jianfeng Yao
November 2019, Volume 40, Issue 6
- 869-871 Econometric Modelling with Mixed Frequency and Temporally Aggregated Data
by Marcus J. Chambers & Peter A. Zadrozny - 872-886 Temporal Aggregation of Seasonally Near‐Integrated Processes
by Tomás del Barrio Castro & Paulo M. M. Rodrigues & A. M. Robert Taylor - 887-913 Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data
by Marcus J. Chambers - 914-935 Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes
by Thomas B. Götz & Alain W. Hecq - 936-950 Testing Cointegrating Relationships Using Irregular and Non‐Contemporaneous Series with an Application to Paleoclimate Data
by J. Isaac Miller - 951-967 Exact Discrete Representations of Linear Continuous Time Models with Mixed Frequency Data
by Michael A. Thornton - 968-986 Weighted‐Covariance Factor Decomposition of Varma Models Applied to Forecasting Quarterly U.S. Real GDP at Monthly Intervals
by Peter A. Zadrozny & Baoline Chen
September 2019, Volume 40, Issue 5
- 631-648 Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series
by Maria Eduarda Silva & Isabel Pereira & Brendan McCabe - 649-664 Heteroskedasticity‐Robust Unit Root Testing for Trending Panels
by Helmut Herwartz & Simone Maxand & Yabibal M. Walle - 665-692 Inference for the Lagged Cross‐Covariance Operator Between Functional Time Series
by Gregory Rice & Marco Shum - 693-706 Semiparametric Detection of Changes in Long Range Dependence
by Fabrizio Iacone & Štěpána Lazarová - 707-738 Testing for Change in Long‐Memory Stochastic Volatility Time Series
by Annika Betken & Rafał Kulik - 739-752 Multivariate Quantile Impulse Response Functions
by Gabriel Montes‐Rojas - 753-787 Volatility Estimation and Jump Testing via Realized Information Variation
by Weiyi Liu & Mingjin Wang - 788-814 Flexible and Robust Mixed Poisson INGARCH Models
by Rodrigo B. Silva & Wagner Barreto‐Souza - 815-830 Robustness of Zero Crossing Estimator
by Yuichi Goto & Masanobu Taniguchi - 831-851 Asymptotic Behavior of Optimal Weighting in Generalized Self‐Normalization for Time Series
by Ting Zhang & Liliya Lavitas & Qiao Pan - 852-857 On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects
by Joakim Westerlund - 858-866 Extending the Limits of Backtesting via the ‘Vanishing p’‐Approach
by Yannick Hoga
July 2019, Volume 40, Issue 4
- 385-385 Editorial Announcement
by Robert Taylor - 386-387 Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter‐Hudak (1983): Guest Editors' Introduction
by Morten Ørregaard Nielsen & Javier Hualde - 388-410 Bayesian Inference for ARFIMA Models
by Garland Durham & John Geweke & Susan Porter‐Hudak & Fallaw Sowell - 411-424 A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter
by Murad S. Taqqu & Ting Zhang - 425-446 Order Selection and Inference with Long Memory Dependent Data
by Abhimanyu Gupta & Javier Hidalgo - 447-466 Empirical Likelihood for a Long Range Dependent Process Subordinated to a Gaussian Process
by Soumendra N. Lahiri & Ujjwal Das & Daniel J. Nordman - 467-492 A Generalised Fractional Differencing Bootstrap for Long Memory Processes
by George Kapetanios & Fotis Papailias & A. M. Robert Taylor - 493-518 Asymptotic Distribution of the Bias Corrected Least Squares Estimators in Measurement Error Linear Regression Models Under Long Memory
by Hira L. Koul & Donatas Surgailis - 519-543 Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
by Søren Johansen & Morten Ørregaard Nielsen - 544-572 Fixed Bandwidth Inference for Fractional Cointegration
by Javier Hualde & Fabrizio Iacone - 573-589 Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects
by Yunus Emre Ergemen & Carlos Velasco - 590-608 The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility
by Jun Liu & Rohit Deo & Clifford Hurvich - 609-628 Long Memory, Realized Volatility and Heterogeneous Autoregressive Models
by Richard T. Baillie & Fabio Calonaci & Dooyeon Cho & Seunghwa Rho
May 2019, Volume 40, Issue 3
- 267-268 Recent Advances in Spatio‐Temporal Methodology
by Christopher K. Wikle & Scott H. Holan - 269-287 Scalable inference for space‐time Gaussian Cox processes
by Shinichiro Shirota & Sudipto Banerjee - 288-311 Estimating Spatial Changes Over Time of Arctic Sea Ice using Hidden 2×2 Tables
by Bohai Zhang & Noel Cressie - 312-326 A Non‐Gaussian Spatio‐Temporal Model for Daily Wind Speeds Based on a Multi‐Variate Skew‐t Distribution
by Felipe Tagle & Stefano Castruccio & Paola Crippa & Marc G. Genton - 327-342 On a Semiparametric Data‐Driven Nonlinear Model with Penalized Spatio‐Temporal Lag Interactions
by Dawlah Al‐Sulami & Zhenyu Jiang & Zudi Lu & Jun Zhu - 343-362 A Structural‐Factor Approach to Modeling High‐Dimensional Time Series and Space‐Time Data
by Zhaoxing Gao & Ruey S. Tsay - 363-382 Spatio‐temporal models for big multinomial data using the conditional multivariate logit‐beta distribution
by Jonathan R. Bradley & Christopher K. Wikle & Scott H. Holan
March 2019, Volume 40, Issue 2
- 163-181 Sampling, Embedding and Inference for CARMA Processes
by Peter J. Brockwell & Alexander Lindner - 182-202 Clustering Multiple Time Series with Structural Breaks
by Yongning Wang & Ruey S. Tsay - 203-224 On Two‐Stage Estimation of the Spectral Density with Assigned Risk in Presence of Missing Data
by Sam Efromovich - 225-247 Negative Binomial Autoregressive Process with Stochastic Intensity
by Christian Gouriéroux & Yang Lu - 248-255 Common Breaks in Means for Cross‐Correlated Fixed‐T Panel Data
by Joakim Westerlund - 256-264 On the Ergodicity of First‐Order Threshold Autoregressive Moving‐Average Processes
by Kung‐Sik Chan & Greta Goracci
January 2019, Volume 40, Issue 1
- 3-22 Time‐Dependent Dual‐Frequency Coherence in Multivariate Non‐Stationary Time Series
by Cristina Gorrostieta & Hernando Ombao & Rainer Von Sachs - 23-42 Least Squares Bias in Time Series with Moderate Deviations from a Unit Root
by Marian Z. Stoykov - 43-65 Asymptotic Theory and Unified Confidence Region for an Autoregressive Model
by Xiaohui Liu & Liang Peng - 66-101 Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps
by Yuping Song & Ying Chen & Zhouwei Wang - 102-123 On the Sensitivity of Granger Causality to Errors‐In‐Variables, Linear Transformations and Subsampling
by Brian D.O. Anderson & Manfred Deistler & Jean‐Marie Dufour - 124-150 Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series
by Axel Bücher & Jean‐David Fermanian & Ivan Kojadinovic - 151-157 Quasi‐Bayesian Estimation of Time‐Varying Volatility in DSGE Models
by Katerina Petrova - 158-159 Dynamic Data Analysis, by James Ramsay and Giles Hooker. Published by Springer, New York, USA, 2017. Total number of pages: 230. ISSN: 0172‐7397
by Jiguo Cao
November 2018, Volume 39, Issue 6
- 813-813 Editorial Announcement
by Robert Taylor - 814-815 Special Issue of the Journal of Time Series Analysis In Honour of Professor Paul Newbold: Guest Editors' Introduction
by Stephen Leybourne & Robert Taylor - 816-835 Unit Root Testing with Unstable Volatility
by Brendan K. Beare - 836-849 Testing the CVAR in the Fractional CVAR Model
by Søren Johansen & Morten Ørregaard Nielsen - 850-862 Confidence Sets for the Date of a Structural Change at the End of a Sample
by Eiji Kurozumi - 863-891 Real‐Time Monitoring for Explosive Financial Bubbles
by Sam Astill & David I. Harvey & Stephen J. Leybourne & Robert Sollis & A. M. Robert Taylor - 892-908 Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity
by Stelios Arvanitis & Tassos Magdalinos - 909-919 Modeling the Interactions between Volatility and Returns using EGARCH‐M
by Andrew Harvey & Rutger‐Jan Lange - 920-941 The Fixed Volatility Bootstrap for a Class of Arch(q) Models
by Giuseppe Cavaliere & Rasmus Søndergaard Pedersen & Anders Rahbek - 942-952 Unit Root Testing in Multiple Smooth Break Models with Nonlinear Dynamics
by Rickard Sandberg - 953-965 On the Comparison of Interval Forecasts
by Ross Askanazi & Francis X. Diebold & Frank Schorfheide & Minchul Shin - 966-987 Change Detection and the Causal Impact of the Yield Curve
by Shuping Shi & Peter C. B. Phillips & Stan Hurn
September 2018, Volume 39, Issue 5
- 639-639 Editorial, September 2018
by Robert Taylor - 640-640 Tata Subba Rao, 1942–2018
by Granville Tunnicliffe Wilson - 641-664 Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions
by Stefan Bruder & Michael Wolf - 665-689 Detecting Tail Risk Differences in Multivariate Time Series
by Yannick Hoga - 690-708 Prediction Interval for Autoregressive Time Series via Oracally Efficient Estimation of Multi‐Step‐Ahead Innovation Distribution Function
by Juanjuan Kong & Lijie Gu & Lijian Yang - 709-730 Tests for Comparing Time‐Invariant and Time‐Varying Spectra Based on the Pearson Statistic
by Shibin Zhang & Xin M. Tu - 731-747 Testing Separability of Functional Time Series
by Panayiotis Constantinou & Piotr Kokoszka & Matthew Reimherr - 748-762 A Time‐Symmetric Self‐Normalization Approach for Inference of Time Series
by Liliya Lavitas & Ting Zhang - 763-786 Change‐Point Detection in Autoregressive Models with no Moment Assumptions
by Fumiya Akashi & Holger Dette & Yan Liu - 787-809 Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation
by Stefano M. Iacus & Lorenzo Mercuri & Edit Rroji
July 2018, Volume 39, Issue 4
- 471-487 Testing Normality of Functional Time Series
by Tomasz Górecki & Siegfried Hörmann & Lajos Horváth & Piotr Kokoszka - 488-501 A Powerful Test for Changing Trends in Time Series Models
by Jilin Wu & Zhijie Xiao - 502-522 Principal Components Analysis of Periodically Correlated Functional Time Series
by Šukasz Kidziński & Piotr Kokoszka & Neda Mohammadi Jouzdani - 523-562 Boundary Limit Theory for Functional Local to Unity Regression
by Anna Bykhovskaya & Peter C. B. Phillips - 563-591 Kernel Entropy Estimation for Linear Processes
by Hailin Sang & Yongli Sang & Fangjun Xu - 592-617 On Local Trigonometric Regression Under Dependence
by Jan Beran & Britta Steffens & Sucharita Ghosh - 618-633 A Frequency†Domain Test to Check Equality in Spectral Densities of Multiple Time Series With Unequal Lengths
by Lei Jin - 634-635 Statistical Intervals: A Guide for Practitioners and Researchers, Second Edition, by William Q. Meeker, Gerald J. Hahn, and Louis A. Escobar. Wiley Series in Probability and Statistics, Published by John Wiley & Sons, 2017. Total number of pages: 35+592. ISBN: 978†0†4716†8717†7
by Maria Antónia Amaral Turkman
May 2018, Volume 39, Issue 3
- 241-241 Editorial
by Soumendra N. Lahiri & Dimitris N. Politis & Peter M. Robinson - 242-250 On Wigner–Ville Spectra and the Uniqueness of Time†Varying Copula†Based Spectral Densities
by Stefan Birr & Holger Dette & Marc Hallin & Tobias Kley & Stanislav Volgushev - 251-272 Semi†Parametric Estimation for Non†Gaussian Non†Minimum Phase ARMA Models
by Richard A. Davis & Jing Zhang - 273-298 Asymptotic Distributions of Some Scale Estimators in Nonlinear Models With Long Memory Errors Having Infinite Variance
by Hira L. Koul & Donatas Surgailis - 299-312 Recursive Computation for Block†Nested Covariance Matrices
by Tucker McElroy - 313-337 Orthogonal Samples for Estimators in Time Series
by Suhasini Subba Rao - 338-355 Stationary subspace analysis of nonstationary processes
by Raanju Ragavendar Sundararajan & Mohsen Pourahmadi - 356-379 Extending the Range of Validity of the Autoregressive (Sieve) Bootstrap
by Maria Fragkeskou & Efstathios Paparoditis - 380-401 Non†Parametric Spectral Density Estimation Under Long†Range Dependence
by Young Min Kim & Soumendra N. Lahiri & Daniel J. Nordman - 402-416 Asymptotic Theory of Test Statistic for Sphericity of High†Dimensional Time Series
by Yan Liu & Yurie Tamura & Masanobu Taniguchi - 417-432 Robust Regression on Stationary Time Series: A Self†Normalized Resampling Approach
by Fumiya Akashi & Shuyang Bai & Murad S. Taqqu - 433-446 Estimating MA Parameters through Factorization of the Autocovariance Matrix and an MA†Sieve Bootstrap
by Timothy L. McMurry & Dimitris N. Politis - 447-467 Interval Estimation for a First†Order Positive Autoregressive Process
by Wei†Cheng Hsiao & Hao†Yun Huang & Ching†Kang Ing
March 2018, Volume 39, Issue 2
- 111-128 Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M†Estimators
by Francesco Audrino & Lorenzo Camponovo - 129-149 Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
by Liudas Giraitis & George Kapetanios & Tony Yates - 150-171 Integer†Valued Autoregressive Models With Survival Probability Driven By A Stochastic Recurrence Equation
by Paolo Gorgi - 172-191 The Inverse Kullback–Leibler Method for Fitting Vector Moving Averages
by Tucker McElroy & Anindya Roy - 192-211 Negative Binomial Quasi†Likelihood Inference for General Integer†Valued Time Series Models
by Abdelhakim Aknouche & Sara Bendjeddou & Nassim Touche - 212-238 Square†Root LASSO for High†Dimensional Sparse Linear Systems with Weakly Dependent Errors
by Fang Xie & Zhijie Xiao
January 2018, Volume 39, Issue 1
- 3-3 Editorial, January 2018
by Robert Taylor - 4-27 Tests for the Equality of Two Processes' Spectral Densities with Unequal Lengths Using Wavelet Methods
by Linyuan Li & Kewei Lu - 28-53 Block Bootstrap for the Empirical Process of Long†Range Dependent Data
by Johannes Tewes - 54-74 A Simple Test for White Noise in Functional Time Series
by Pramita Bagchi & Vaidotas Characiejus & Holger Dette - 75-89 Fourier Analysis of Serial Dependence Measures
by Ria Van Hecke & Stanislav Volgushev & Holger Dette - 90-104 Robust Wilcoxon†Type Estimation of Change†Point Location Under Short†Range Dependence
by Carina Gerstenberger - 105-106 Hidden Markov Models for Time Series: An Introduction Using R, 2nd Edition, by Walter Zucchini, Iain L. Macdonald, and Roland Langrock. Monographs on Statistics and Applied Probability 150, Published by CRC Press, 2016. Total number of pages: 28+370. ISBN: 978†1†4822†5383†2 (Hardback)
by Zudi Lu - 107-107 Applied Time Series Analysis With R, Second Edition by Wayne A. Woodward, Henry L. Gray, and Alan C. Elliott (eds). Published by CRC Press, 2017. Total number of pages: 618. ISBN: 9781498734226
by Rebecca Killick
November 2017, Volume 38, Issue 6
- 809-837 A Robbins–Monro Algorithm for Non-Parametric Estimation of NAR Process with Markov Switching: Consistency
by Lisandro Javier Fermin & Ricardo Rios & Luis Angel Rodriguez - 838-864 Parametric Spectral Discrimination
by Andrew J. Grant & Barry G. Quinn - 865-879 On Asymptotic Theory for ARCH (∞) Models
by Christian M. Hafner & Arie Preminger - 880-894 Testing Parameter Change in General Integer-Valued Time Series
by Mamadou Lamine Diop & William Kengne - 895-922 Moving Fourier Analysis for Locally Stationary Processes with the Bootstrap in View
by Franziska Häfner & Claudia Kirch - 923-935 Penalised Complexity Priors for Stationary Autoregressive Processes
by Sigrunn Holbek Sørbye & Håvard Rue - 936-959 A New Covariance Function and Spatio-Temporal Prediction (Kriging) for A Stationary Spatio-Temporal Random Process
by T. Subba Rao & Gyorgy Terdik - 960-980 Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis
by Martin Wagner & Dominik Wied - 981-999 A Model-Adaptive Test for Parametric Single-Index Time Series Models
by Qiang Xia & Kejun He & Cuizhen Niu - 1000-1009 Sample Moments and Weak Convergence to Multivariate Stochastic Power Integrals
by Rickard Sandberg - 1010-1027 Cointegrated Linear Processes in Hilbert Space
by Brendan K. Beare & Juwon Seo & Won-Ki Seo - 1028-1052 Multi-Scale Detection of Variance Changes in Renewal Processes in the Presence of Rate Change Points
by Stefan Albert & Michael Messer & Julia Schiemann & Jochen Roeper & Gaby Schneider
September 2017, Volume 38, Issue 5
- 637-638 Issue Information
by Pierre Perron & Eduardo Zorita - 639-639 Time Series Methods Applied to Climate Change
by Pierre Perron & Eduardo Zorita & Pierre Perron & Eduardo Zorita - 640-667 Estimation and Inference of Linear Trend Slope Ratios With an Application to Global Temperature Data
by Pierre Perron & Eduardo Zorita & Timothy J. Vogelsang & Nasreen Nawaz - 668-710 Analysis of Non-Stationary Modulated Time Series with Applications to Oceanographic Surface Flow Measurements
by Pierre Perron & Eduardo Zorita & Arthur P. Guillaumin & Adam M. Sykulski & Sofia C. Olhede & Jeffrey J. Early & Jonathan M. Lilly - 711-732 Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures
by Pierre Perron & Eduardo Zorita & Francisco Estrada & Pierre Perron - 733-768 Unit Root Tests and Heavy-Tailed Innovations
by Pierre Perron & Eduardo Zorita & Iliyan Georgiev & Paulo M. M. Rodrigues & A. M. Robert Taylor - 769-790 Drift in Transaction-Level Asset Price Models
by Pierre Perron & Eduardo Zorita & Wen Cao & Clifford Hurvich & Philippe Soulier - 791-805 Monitoring Parameter Constancy with Endogenous Regressors
by Pierre Perron & Eduardo Zorita & Eiji Kurozumi - 806-806 State–Space Methods for Time Series Analysis: Theory, Applications and Software, by Jose Casals, Alfredo Garcia-Hiernaux, Miguel Jerez, Sonia Sotoca, and A. Alexandre Trindade. Published by CRC Press, 2016. Total number of pages: 270. ISBN: 9781482219593
by Pierre Perron & Eduardo Zorita & Mohsen Pourahmadi
July 2017, Volume 38, Issue 4
- 513-534 On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space
by Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek - 535-551 QMLE for Quadratic ARCH Model with Long Memory
by Ieva Grublytė & Donatas Surgailis & Andrius Škarnulis - 552-590 Detecting at-Most-m Changes in Linear Regression Models
by Lajos Horváth & William Pouliot & Shixuan Wang - 591-609 A Plug-in Bandwidth Selection Procedure for Long-Run Covariance Estimation with Stationary Functional Time Series
by Gregory Rice & Han Lin Shang - 610-636 Testing for Panel Cointegration Using Common Correlated Effects Estimators
by Anindya Banerjee & Josep Lluís Carrion-i-Silvestre
May 2017, Volume 38, Issue 3
- 395-416 The Asymptotic Distribution of The Pathwise Mean Squared Displacement in Single Particle Tracking Experiments
by Gustavo Didier & Kui Zhang - 417-457 A New Recursive Estimation Method for Single Input Single Output Models
by Abdelhamid Ouakasse & Guy Mélard - 458-478 Time-Varying Transition Probabilities for Markov Regime Switching Models
by Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas - 479-504 Oracle M-Estimation for Time Series Models
by Mihai C. Giurcanu - 505-507 Models for Dependent Time Series, by Granville Tunnicliffe Wilson, Marco Reale and John Haywood Published by CRC Press, 2016. Total number of pages: 323. ISBN 978-1-58488-650-1
by A. I. McLeod - 508-509 HANDBOOK OF DISCRETE-VALUED TIME SERIES, edited by R. A. Davis, S. H. Holan, R. Lund, R. and Ravishanker. Published by Hall/CRC, Boca Raton, Florida, 2015. Total number of pages: 464 . ISBN: 978-1-4665-7773-2
by Alain LaTouR
March 2017, Volume 38, Issue 2
- 147-148 Issue Information
by Tata Subba Rao & Granville Tunnicliffe Wilson - 149-150 Editorial: Special Issue to Honor the Memory of Maurice B. Priestley, 1933–2013
by Tata Subba Rao & Granville Tunnicliffe Wilson & Tata Subba Rao & Granville Tunnicliffe Wilson - 151-174 Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting
by Tata Subba Rao & Granville Tunnicliffe Wilson & Alessandro Cardinali & Guy P. Nason - 175-190 Volatility Modeling with a Generalized t Distribution
by Tata Subba Rao & Granville Tunnicliffe Wilson & Andrew Harvey & Rutger-Jan Lange - 191-203 Adaptive Estimation in Multiple Time Series With Independent Component Errors
by Tata Subba Rao & Granville Tunnicliffe Wilson & P. M. Robinson & L. Taylor - 204-224 Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions
by Tata Subba Rao & Granville Tunnicliffe Wilson & Joao Jesus & Richard E. Chandler - 225-242 Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
by Tata Subba Rao & Granville Tunnicliffe Wilson & Michael Eichler & Rainer Dahlhaus & Johannes Dueck - 243-265 A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach
by Tata Subba Rao & Granville Tunnicliffe Wilson & Shiu Fung Wong & Howell Tong & Tak Kuen Siu & Zudi Lu - 266-284 Estimation for Dynamic and Static Panel Probit Models with Large Individual Effects
by Tata Subba Rao & Granville Tunnicliffe Wilson & Wei Gao & Wicher Bergsma & Qiwei Yao - 285-307 Factor Modelling for High-Dimensional Time Series: Inference and Model Selection
by Tata Subba Rao & Granville Tunnicliffe Wilson & Ngai Hang Chan & Ye Lu & Chun Yip Yau - 308-325 On the Frequency Variogram and on Frequency Domain Methods for the Analysis of Spatio-Temporal Data
by Tata Subba Rao & Granville Tunnicliffe Wilson & Tata Subba Rao & Gyorgy Terdik - 326-351 A Spectral Domain Test for Stationarity of Spatio-Temporal Data
by Tata Subba Rao & Granville Tunnicliffe Wilson & Soutir Bandyopadhyay & Carsten Jentsch & Suhasini Subba Rao - 352-380 Some Properties of Local Gaussian Correlation and Other Nonlinear Dependence Measures
by Tata Subba Rao & Granville Tunnicliffe Wilson & Geir Drage Berentsen & Ricardo Cao & Mario Francisco-Fernández & Dag TjØstheim - 381-391 Spectral Estimation of the Multivariate Impulse Response
by Tata Subba Rao & Granville Tunnicliffe Wilson & Granville Tunnicliffe Wilson
January 2017, Volume 38, Issue 1
- 3-21 Functional Generalized Autoregressive Conditional Heteroskedasticity
by Alexander Aue & Lajos Horváth & Daniel F. Pellatt - 22-50 A Lagrange Multiplier-Type Test for Idiosyncratic Unit Roots in the Exact Factor Model
by Xingwu Zhou & Martin Solberger - 51-71 Local Gaussian Autocorrelation and Tests for Serial Independence
by Virginia Lacal & Dag TjØstheim - 72-98 Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity
by Gabe Chandler & Wolfgang Polonik - 99-119 Quantile Regression on Quantile Ranges – A Threshold Approach
by Chung-Ming Kuan & Christos Michalopoulos & Zhijie Xiao - 120-144 Marginal Estimation of Parameter Driven Binomial Time Series Models
by William Dunsmuir & Jieyi He - 145-146 Spatial and Spatio-Temporal Bayesian Models with R-INLA , by Marta Blangiardo and Michela Cameletti . Published by John Wiley and Sons , Chichester, UK , 2015 . Total number of pages: 308. ISBN 978-1-118-32655-8
by T. Subba Rao
November 2016, Volume 37, Issue 6
- 723-740 Exactly/Nearly Unbiased Estimation of Autocovariances of a Univariate Time Series With Unknown Mean
by Timothy J. Vogelsang & Jingjing Yang - 741-762 A Wavelet Characterization of Continuous-Time Periodically Correlated Processes with Application to Simulation
by Mitra Ghanbarzadeh & Mina Aminghafari - 763-784 Tests Based on Simplicial Depth for AR(1) Models With Explosion
by Christoph P. Kustosz & Anne Leucht & Christine H. MÜller - 785-809 Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test
by Annika Betken - 810-824 Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies
by J. Isaac Miller & Xi Wang - 825-836 Optimal Rate of Convergence for Empirical Quantiles and Distribution Functions for Time Series
by Moritz Jirak - 837-850 Bayesian Deconvolution of Signals Observed on Arrays
by Ming Lin & Eric A. Suess & Robert H. Shumway & Rong Chen - 851-861 Conditional and Marginal Mutual Information in Gaussian and Hyperbolic Decay Time Series
by Gordon Chavez - 862-863 Unobserved Components and Time Series Econometrics , edited by Siem Jan Koopman and Neil Shephard . Published by Oxford University Press , Oxford , 2015 . Total number of pages: 400. ISBN: 978-0-19-968366-6
by Marcus J Chambers - 864-864 Introduction to Time Series Analysis and Forecasting, 2nd Edition, Wiley Series in Probability and Statistics , by Douglas C. Montgomery , Cheryl L. Jennings and Murat Kulahci (eds). Published by John Wiley and Sons , Hoboken, NJ, USA , 2015 . Total number of pages: 672 Hardcover: ISBN: 978-1-118-74511-3 , ebook: ISBN: 978-1-118-74515-1 , etext: ISBN: 978-1-118-74495-6
by Georgi N. Boshnakov
September 2016, Volume 37, Issue 5
- 579-602 On the Distribution Estimation of Power Threshold Garch Processes
by Esmeralda Gonçalves & Joana Leite & NazarÉ Mendes-Lopes - 603-623 Quantile Autoregression for Censored Data
by Seokwoo Jake Choi & Stephen Portnoy - 624-649 Bartlett Correction of Empirical Likelihood for Non-Gaussian Short-Memory Time Series
by Kun Chen & Ngai Hang Chan & Chun Yip Yau - 650-659 Improved Tests for Forecast Comparisons in the Presence of Instabilities
by Luis Filipe Martins & Pierre Perron - 660-674 Tests for Linearity in Star Models: Supwald and Lm-Type Tests
by Rehim Kılıç - 675-689 A Bayesian Non-Parametric Dynamic AR Model for Multiple Time Series Analysis
by Luis E. Nieto-Barajas & Fernando A. Quintana - 690-708 Local Information Theoretic Methods for smooth Coefficients Dynamic Panel Data Models
by Francesco Bravo - 709-711 Time Series Analysis: Forecasting and Control, 5th Edition , by George E. P. Box , Gwilym M. Jenkins , Gregory C. Reinsel and Greta M. Ljung , 2015 . Published by John Wiley and Sons Inc. , Hoboken, New Jersey , pp. 712. ISBN: 978-1-118-67502-1
by Granville Tunnicliffe Wilson - 712-712 An Introduction to Stochastic Orders , by Félix Belzunce , Carolina Martínez and Julio Mulero . Academic Press , Elsevier Ltd . 2016 . Total number of pages: 157. ISBN: 978–0–12–803768–3 (Paperback)
by B.L.S. Prakasa Rao - 713-720 Corrigendum to ‘Subsampling Inference for the Mean of Heavy-Tailed Long-Memory Time Series’ by A. Jach, T. S. McElroy and D. N. Politis
by Agnieszka Jach & Tucker S. McElroy & Dimitris N. Politis
July 2016, Volume 37, Issue 4
- 435-450 Discriminant Analysis of Time Series in the Presence of Within-Group Spectral Variability
by Robert T. Krafty - 451-475 Parametric and Semi-Parametric Efficient Tests for Parameter Instability
by Dong Jin Lee - 476-512 Multivariate Wavelet Whittle Estimation in Long-range Dependence
by Sophie Achard & Irène Gannaz - 513-532 Statistical Inference for Unified Garch–Itô Models with High-Frequency Financial Data
by Donggyu Kim - 533-554 Powerful Unit Root Tests Free of Nuisance Parameters
by Mehdi Hosseinkouchack & Uwe Hassler