Printed from https://ideas.repec.org/s/bla/jtsera6.html
Content
July 2004, Volume 25, Issue 4
- 529-550 Analysis of the correlation structure of square time series
by Wilfredo Palma & Mauricio Zevallos - 551-561 Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time–series models
by Taiyeong Lee & David A. Dickey - 563-582 Kernel deconvolution of stochastic volatility models
by Fabienne Comte - 583-602 Asymptotic mean‐squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process
by Tae‐Hwan Kim & Stephen J. Leybourne & Paul Newbold - 603-623 Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models
by William R. Bell & Donald E. K. Martin
May 2004, Volume 25, Issue 3
- 317-333 Difference Equations for the Higher‐Order Moments and Cumulants of the INAR(1) Model
by Maria Eduarda Da Silva & Vera Lúcia Oliveira - 335-350 Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
by Georges Oppenheim & Marie‐Claude Viano - 351-358 The adjustment of prediction intervals to account for errors in parameter estimation
by Paul Kabaila & Zhisong He - 359-372 Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
by Qin Shao & Robert Lund - 373-395 Goodness‐of‐fit tests of normality for the innovations in ARMA models
by Gilles R. Ducharme & Pierre Lafaye de Micheaux - 397-407 A Note on the Filtering for Some Time Series Models
by S. Peiris & A. Thavaneswaran - 409-417 Asymmetric adjustment and smooth transitions: a combination of some unit root tests
by Robert Sollis - 419-441 Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing
by P. W. Fong & W. K. Li
March 2004, Volume 25, Issue 2
- 159-172 Some comments on specification tests in nonparametric absolutely regular processes
by Holger Dette & Ingrid Spreckelsen - 173-197 Partial Likelihood Inference For Time Series Following Generalized Linear Models
by Konstantinos Fokianos & Benjamin Kedem - 199-216 Kernel matching scheme for block bootstrap of time series data
by Tae Yoon Kim & Sun Young Hwang - 217-234 Subsampling the mean of heavy‐tailed dependent observations
by Piotr Kokoszka & Michael Wolf - 235-250 A class of modified high‐order autoregressive models with improved resolution of low‐frequency cycles
by Alex S. Morton & Granville Tunnicliffe‐Wilson - 251-263 Inference for Autocorrelations in the Possible Presence of a Unit Root
by Dimitris N. Politis & Joseph P. Romano & Michael Wolf - 265-282 On the Autocorrelation Properties of Long‐Memory GARCH Processes
by Menelaos Karanasos & Zacharias Psaradakis & Martin Sola - 283-299 M‐Estimation for regressions with integrated regressors and arma errors
by Dong Wan Shin & Oesook Lee - 301-313 Assessment of Local Influence in GARCH Processes
by Xibin Zhang - 315-316 Book review
by Terence C. Mills
January 2004, Volume 25, Issue 1
- 1-25 Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models
by Stelios Arvanitis & Antonis Demos - 27-32 Error Correction Models for Fractionally Cointegrated Time Series
by Ingolf Dittmann - 33-53 Seasonal Unit Root Tests Under Structural Breaks
by Uwe Hassler & Paulo M. M. Rodrigues - 55-81 Estimation of the location and exponent of the spectral singularity of a long memory process
by Javier Hidalgo & Philippe Soulier - 83-101 Improvement of the Likelihood Ratio Test Statistic in ARMA Models
by Bernardo M. Lagos & Pedro A. Morettin - 103-125 The Stationary Marginal Distribution of a Threshold AR(1) Process
by Wilfried Loges - 127-135 A small‐sample overlapping variance‐ratio test
by Y. K. Tse & K. W. Ng & Xibin Zhang - 137-154 Improved prediction intervals for stochastic process models
by Paolo Vidoni - 155-157 Book Reviews
by B. L. S. Prakasa Rao - 157-157 Book Reviews
by M. B. Priestley - 157-158 Book Reviews
by T. Subba Rao
November 2003, Volume 24, Issue 6
- 631-646 A Bayesian Approach to Event Prediction
by M. Antunes & M. A. Amaral Turkman & K. F. Turkman - 647-662 Rank Based Dickey–Fuller Test Statistics
by Stergios B. Fotopoulos & Sung K. Ahn - 663-678 The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model
by Søren Johansen - 679-703 A Time‐Domain Semi‐parametric Estimate for Strongly Dependent Continuous‐Time Stationary Processes
by Takeshi Kato & Elias Masry - 705-720 Distribution of the estimated lyapunov exponents from noisy chaotic time series
by Dejian Lai & Guanrong Chen - 721-738 Non‐Gaussian Filter and Smoother Based on the Pearson Distribution System
by Yuichi Nagahara - 739-754 Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations
by B. Tarami & M. Pourahmadi
September 2003, Volume 24, Issue 5
- 505-511 Simulating a class of stationary Gaussian processes using the Davies–Harte algorithm, with application to long memory processes
by Peter F. Craigmile - 513-527 Decomposition of Time Series Dynamic Linear Models
by E. J. G Odolphin & S. E. Johnson - 539-551 Testing for Linear Trend with Application to Relative Primary Commodity Prices
by Tae‐Hwan Kim & Stephan Pfaffenzeller & Tony Rayner & Paul Newbold - 553-577 Tests for non‐correlation of two cointegrated ARMA time series
by Dinh Tuan Pham & Roch Roy & Lyne Cédras - 579-590 Extremes of Some Sub‐Sampled Time Series
by M. G. Scotto & K. F. Turkman & C. W. Anderson - 591-612 Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
by A. M. Robert Taylor - 613-629 A note on estimation by least squares for harmonic component models
by A. M. Walker
July 2003, Volume 24, Issue 4
- 379-400 A Sieve Bootstrap For The Test Of A Unit Root
by Yoosoon Chang & Joon Y. Park - 401-422 On Estimating Conditional Mean‐Squared Prediction Error in Autoregressive Models
by Ching‐Kang Ing & Shu‐Hui Yu - 423-439 Reducing size distortions of parametric stationarity tests
by Markku Lanne & Pentti Saikkonen - 441-460 Seasonal Unit Root Tests Based on Forward and Reverse Estimation
by Stephen Leybourne & A. M. Robert Taylor - 461-482 Diagnostic Checking in a Flexible Nonlinear Time Series Model
by Marcelo C. Medeiros & Alvaro Veiga - 483-504 Testing Composite Hypotheses for Locally Stationary Processes
by Kenji Sakiyama & Masanobu Taniguchi
May 2003, Volume 24, Issue 3
- 253-267 Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives
by Andrew P. Blake & George Kapetanios - 269-282 Default Bayesian Priors for Regression Models with First‐Order Autoregressive Residuals
by Malay Ghosh & Jungeun Heo - 283-309 First‐Order Autoregressive Processes with Heterogeneous Persistence
by Joann Jasiak - 311-335 Testing Serial Correlation in Semiparametric Time Series Models
by Dingding Li & Thanasis Stengos - 337-344 Likelihood analysis of a first‐order autoregressive model with exponential innovations
by B. Nielsen & N. Shephard - 345-378 Gaussian Semi‐parametric Estimation of Fractional Cointegration
by Carlos Velasco
March 2003, Volume 24, Issue 2
- 127-136 Estimating The Arch Parameters By Solving Linear Equations
by Arup Bose & Kanchan Mukherjee - 137-140 Further Comments On Stationarity Tests In Series With Structural Breaks At Unknown Points
by Fabio Busetti & Andrew Harvey - 141-148 Smoothing With An Unknown Initial Condition
by Piet De Jong & Singfat Chu‐Chun‐Lin - 149-158 Dynamic State‐Space Models
by Wensheng Guo - 159-164 A Note On Busetti–Harvey Tests For Stationarity In Series With Structural Breaks
by David I. Harvey & Terence C. Mills - 165-172 Generalized Least Squares Estimation Of Arma Models
by L. Kavalieris & E. J. Hannan & M. Salau - 173-192 Stationary Tangent: The Discrete And Non‐Smooth Case
by U. Keich - 193-220 Searching For Additive Outliers In Nonstationary Time Series
by Pierre Perron & Gabriel Rodríguez - 221-236 Leave‐K‐Out Diagnostics In State‐Space Models
by Tommaso Proietti - 237-252 On The Determination Of The Number Of Regimes In Markov‐Switching Autoregressive Models
by Zacharias Psaradakis & Nicola Spagnolo
January 2003, Volume 24, Issue 1
- 1-23 Optimal sampling for density estimation in continuous time
by D. Blanke & B. Pumo - 25-44 Maximum likelihood estimation in space time bilinear models
by Yuqing Dai & L. Billard - 45-63 On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations
by A. S. Hurn & K. A. Lindsay & V. L. Martin - 65-84 Testing for serial dependence in time series models of counts
by Robert C. Jung & A. R. Tremayne - 85-98 Filtering and smoothing of state vector for diffuse state‐space models
by S. J. Koopman & J. Durbin - 99-126 Bootstrapping unit root tests for integrated processes
by Anders Rygh Swensen
November 2002, Volume 23, Issue 6
- 629-649 Selecting the forgetting factor in subset autoregressive modelling
by T. J. Brailsford & Jack H. W. Penm & R. D. Terrell - 651-665 Temporal aggregation and spurious instantaneous causality in multiple time series models
by Jörg Breitung & Norman R. Swanson - 667-685 Comparison of unit root tests for time series with level shifts
by Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen - 687-705 Bayesian methods for change‐point detection in long‐range dependent processes
by Bonnie K. Ray & Ruey S. Tsay - 707-731 Asymptotic laws of successive least squares estimates for seasonal arima models and application
by B. Truong‐van & P. Varachaud - 733-751 A State space approach to bootstrapping conditional forecasts in arma models
by Kent D. Wall & David S. Stoffer
September 2002, Volume 23, Issue 5
- 503-508 A note on calculating autocovariances of long‐memory processes
by Stefano Bertelli & Massimiliano Caporin - 509-522 Nonlinear error correction models
by Alvaro Escribano & Santiago Mira - 523-553 Nonlinear functionals of the periodogram
by Gilles Fay & Eric Moulines & Philippe Soulier - 555-585 Properties of the nonparametric autoregressive bootstrap
by J. Franke & J.‐P. Kreiss & E. Mammen & M. H. Neumann - 587-598 Adjusting forecast intervals in arch‐m models
by Jesús Miguel & Pilar Olave - 599-618 Time‐varying autoregressions with model order uncertainty
by Raquel Prado & Gabriel Huerta - 619-626 A note on maximum autoregressive processes of order one
by M. Zarepour & D. Banjevic - 627-628 The Estimation and Tracking of Frequency
by P. Whittle
July 2002, Volume 23, Issue 4
- 401-423 Lag length estimation in large dimensional systems
by Jesús Gonzalo & Jean‐Yves Pitarakis - 425-458 Bayesian analysis of switching ARCH models
by Sylvia Kaufmann & Sylvia Frühwirth‐Schnatter - 459-471 Nonlinear modelling of periodic threshold autoregressions using Tsmars
by Peter A. W. Lewis & Bonnie K. Ray - 473-486 An algorithm for the exact likelihood of a stationary vector autoregressive‐moving average model
by José Alberto Mauricio - 487-501 Deconvolution of fractional brownian motion
by Vladas Pipiras & Murad S. Taqqu
May 2002, Volume 23, Issue 3
- 251-285 Semiparametric robust tests on seasonal or cyclical long memory time series
by Josu Arteche - 287-312 Efficient use of higher‐lag autocorrelations for estimating autoregressive processes
by Laurence Broze & Christian Francq & Jean‐Michel Zakoïan - 313-331 Prediction and nonparametric estimation for time series with heavy tails
by Peter Hall & Liang Peng & Qiwei Yao - 333-339 Cointegration in frequency domain
by D. Levy - 341-375 Robust estimates for arch processes
by Nora Muler & Victor J. Yohai
March 2002, Volume 23, Issue 2
- 127-154 Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations
by Christian Gouriéroux & Joann Jasiak - 155-171 On the Robustness of Unit Root Tests in the Presence of Double Unit Roots
by Niels Haldrup & Peter Lildholdt - 173-191 A Direct Test for Cointegration Between a Pair of Time Series
by Stephen J. Leybourne & Paul Newbold & Dimitrios Vougas & Tae‐Hwan Kim - 193-213 Controlling Revisions in Arima‐Model‐Based Seasonal Adjustment
by Christophe Planas & Raoul Depoutot - 215-250 A Nonparametric Prewhitened Covariance Estimator
by Zhijie Xiao & Oliver Linton
January 2002, Volume 23, Issue 1
- 1-28 Approximate Conditional Unit Root Inference
by Henrik Hansen & Anders Rahbek - 29-48 Weighted Estimation of Harmonic Components in a Musical Sound Signal
by Rafael A. Irizarry - 49-56 Exact Maximum Likelihood Estimation of an ARMA(1, 1) Model with Incomplete Data
by Chunsheng Ma - 57-93 Pooled Log Periodogram Regression
by Katsumi Shimotsu & Peter C. B. Phillips - 95-116 The Use of Aggregate Time Series in Testing for Gaussianity
by Paulo Teles & William W. S. Wei - 117-126 The Variance Ratio Test with Stable Paretian Errors
by Y. K. Tse & X. B. Zhang
November 2001, Volume 22, Issue 6
- 631-650 Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
by Richard T. Baillie & Huimin Chung - 651-663 Large Sample Properties of Parameter Estimates for Periodic ARMA Models
by I. V. Basawa & Robert Lund - 665-678 State‐space Models with Finite Dimensional Dependence
by Christian Gourieroux & Joann Jasiak - 679-709 Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series
by Clifford M. Hurvich - 711-724 A Note on Mean‐squared Prediction Errors of the Least Squares Predictors in Random Walk Models
by C. K. Ing - 725-731 On Prediction Intervals for Conditionally Heteroscedastic Processes
by Paul Kabaila & Zhisong He - 733-754 Model Selection in Threshold Models
by George Kapetanios
September 2001, Volume 22, Issue 5
- 505-515 Maximum Likelihood Estimates of a Class of One‐Dimensional Stochastic Differential Equation Models From Discrete Data
by Eugene M. Cleur - 517-535 Parameter Estimation of Stochastic Processes with Long‐range Dependence and Intermittency
by Jiti Gao & Vo Anh & Chris Heyde & Quang Tieng - 537-554 Elimination of Third‐series Effect and Defining Partial Measures of Causality
by Yuzo Hosoya - 555-576 Prediction in ARMA Models with GARCH in Mean Effects
by Menelaos Karanasos - 577-594 Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors
by Zacharias Psaradakis - 595-612 recursive Mean Adjustment for Unit Root Tests
by Dong Wan Shin & Beong Soo So - 613-629 Estimation of Hidden Frequencies for 2D Stationary Processes
by Hao Zhang & V. Mandrekar
July 2001, Volume 22, Issue 4
- 379-397 Estimation in the Mixture Transition Distribution Model
by Andre Berchtold - 399-410 Recursive Relations for Multistep Prediction of a Stationary Time Series
by Pascal Bondon - 411-430 Testing Stochastic Cycles in Macroeconomic Time Series
by L. A. Gil‐Alana - 431-459 Averaged Periodogram Spectral Estimation with Long‐memory Conditional Heteroscedasticity
by Marc Henry - 461-480 Bootstrapping Time Series Regressions with Integrated Processes
by Hongyi Li & Zhijie Xiao - 481-492 Sample Cross‐correlations for Moving Averages with Regularly Varying Tails
by Mark M. Meerschaert & Hans‐Peter Scheffler - 493-503 A Bias Correction for Cross‐validation Bandwidth Selection when a Kernel Estimate is Based on Dependent Data
by Martin Skold
May 2001, Volume 22, Issue 3
- 253-266 A Hierarchical Approach to Covariance Function Estimation for Time Series
by Michael J. Daniels & Noel Cressie - 267-281 Cross‐validation Criteria for Setar Model Selection
by Jan G. De Gooijer - 283-292 The Effect of Linear Time Trends on the KPSS Test for Cointegration
by Uwe Hassler - 293-316 Robust Automatic Bandwidth for Long Memory
by Marc Henry - 317-337 Can One Use the Durbin–Levinson Algorithm to Generate Infinite Variance Fractional ARIMA Time Series?
by Piotr S. Kokoszka & Murad S. Taqqu - 339-352 On the Distributional Properties of GARCH Processes
by M. Pawlak & W. Schmid - 353-363 S‐Estimation in the Linear Regression Model with Long‐memory Error Terms Under Trend
by Philipp Sibbertsen - 365-373 Predictions in time Series Using Multivariate Regression Models
by Frantisek Stulajter
March 2001, Volume 22, Issue 2
- 127-150 Testing for the Presence of a Random Walk in Series with Structural Breaks
by Fabio Busetti & Andrew Harvey - 151-173 Functional Coefficient Autoregressive Models: Estimation and Tests of Hypotheses
by Rong Chen & Lon‐Mu Liu - 175-196 Stochastic Regression Model with Dependent Disturbances
by Kokyo Choy & Masanobu Taniguchi - 197-220 Conditional Heteroskedasticity Driven by Hidden Markov Chains
by Christian Francq & Michel Roussignol & Jean‐Michel Zakoian - 221-249 Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models
by Clifford M. Hurvich & Julia Brodsky
January 2001, Volume 22, Issue 1
- 1-11 An Extension Problem For Discrete‐Time Periodically Correlated Stochastic Processes
by D. Alpay & A. Chevreuil & Ph. Loubaton - 13-43 Nonparametric Tests of Change‐Points with Tapered Data
by Yves Rozenholc - 45-66 Properties of Predictors in Overdifferenced Nearly Nonstationary Autoregression
by Ismael Sanchez & Daniel Pena - 67-86 Fractional Bayesian Lag Length Inference in Multivariate Autoregressive Processes
by Mattias Villani - 87-105 Testing the Null Hypothesis of Stationarity Against an Autoregressive Unit Root Alternative
by Zhijie Xiao - 107-124 Autocovariance Structure of Markov Regime Switching Models and Model Selection
by Jing Zhang & Robert A. Stine
November 2000, Volume 21, Issue 6
- 615-647 Residual‐Based Tests For Fractional Cointegration: A Monte Carlo Study
by Ingolf Dittmann - 649-662 Adaptive Fourier Series and the Analysis of Periodicities in Time Series Data
by Robert V. Foutz & Hoonja Lee - 663-684 Highly Robust Estimation of the Autocovariance Function
by Yanyuan Ma & Marc G. Genton - 685-705 Spectral Regression For Cointegrated Time Series With Long‐Memory Innovations
by D. Marinucci - 707-712 On Kay's Frequency Estimator
by B. G. Quinn - 713-722 Testing Linearity For Stationary Time Series Using the Sample Interquartile Range
by J. Yuan - 723-737 Testing Gaussianity and Linearity For Random Fields in the Frequency Domain
by J. Yuan
September 2000, Volume 21, Issue 5
- 489-496 Sign Invariance in Goodness‐of‐Fit Tests for Time Series
by T. W. Anderson & M. A. Stephens - 497-515 Testing for the Presence of Self‐Similarity of Gaussian Time Series Having Stationary Increments
by Jean‐Marc Bardet - 517-533 Estimation of the Dominating Frequency for Stationary and Nonstationary Fractional Autoregressive Models
by Jan Beran & Sucharita Ghosh - 535-557 Second‐Order Noncausality in Multivariate GARCH Processes
by Fabienne Comte & Offer Lieberman - 559-570 Subset ARMA Model Identification Using Genetic Algorithms
by Carlo Gaetan - 571-596 Time Series Models in Non‐Normal Situations: Symmetric Innovations
by M. L. Tiku & Wing‐Keung Wong & David C. Vaughan & Guorui Bian - 597-613 A Wavelet‐Based Test for Stationarity
by Rainer Von Sachs & Michael H. Neumann
July 2000, Volume 21, Issue 4
- 363-387 The Role of the Likelihood Function in the Estimation of Chaos Models
by T. Ozaki & J. C. Jimenez & V. Haggan‐Ozaki - 389-412 A Robust Algorithm in Sequentially Selecting Subset Time Series Systems Using Neural Networks
by J. H. W. Penm & T. J. Brailsford & R. D. Terrell - 413-434 Prediction Variance and Information Worth of Observations in Time Series
by Mohsen Pourahmadi & E. S. Soofi - 435-456 Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
by Pentti Saikkonen & Helmut Lutkepohl - 457-487 Nonparametric Lag Selection for Time Series
by Rolf Tschernig & Lijian Yang
May 2000, Volume 21, Issue 3
- 237-248 Time Scale Estimation by Tracking Parameter Variation
by John Belcher & Granville Tunnicliffe Wilson - 249-260 The Limiting Density of Unit Root Test Statistics: A Unifying Technique
by Mithat Gonen & Madan L. Puri & Frits H. Ruymgaart & Martien C. A. Van Zuijlen - 261-280 Bayesian Unit Root Test in Nonnormal AR(1) Model
by Hikaru Hasegawa & Anoop Chaturvedi & Tran Van Hoa - 281-296 Fast Filtering and Smoothing for Multivariate State Space Models
by S. J. Koopman & J. Durbin - 297-328 Moving Averages of Random Vectors with Regularly Varying Tails
by Mark M. Meerschaert & Hans‐Peter Scheffler - 329-361 Local Cross‐validation for Spectrum Bandwidth Choice
by Carlos Velasco
March 2000, Volume 21, Issue 2
- 113-142 Hidden Frequency Estimation with Data Tapers
by Zhao‐Guo Chen & Ka Ho Wu & Rainer Dahlhaus - 143-153 Residual Autocorrelation Distribution in the Validation Data Set
by Alessandro Fasso - 155-180 An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series
by Clifford M. Hurvich & Willa W. Chen - 181-191 Correlational Properties of Chebyshev Chaotic Sequences
by Tohru Kohda & Akio Tsuneda & Anthony J. Lawrance - 193-218 Data Driven Order Selection for Projection Estimator of the Spectral Density of Time Series with Long Range Dependence
by Eric Moulines & Philippe Soulier - 219-236 Bayesian Prediction Mean Squared Error for State Space Models with Estimated Parameters
by Benoit Quenneville & Avinash C. Singh
January 2000, Volume 21, Issue 1
- 1-25 Semiparametric Inference in Seasonal and Cyclical Long Memory Processes
by Josu Arteche & Peter M. Robinson - 27-32 Simple Regressions with Linear Time Trends
by Uwe Hasseler - 33-59 Least‐squares Estimation of an Unknown Number of Shifts in a Time Series
by Marc Lavielle & Eric Moulines - 61-74 Modelling Long‐memory Time Series with Finite or Infinite Variance: a General Approach
by Remigijus Leipus & Marie‐Claude Viano - 75-93 Recursive Prediction and Likelihood Evaluation for Periodic ARMA Models
by Robert Lund & I. V. Basawa - 95-109 Some Results Concerning the Asymptotic Distribution of Sample Fourier Transforms and Periodograms for a Discrete‐time Stationary Process with a Continuous Spectrum
by A. M. Walker
November 1999, Volume 20, Issue 6
- 605-618 Inverse Gaussian Autoregressive Models
by B. Abraham & N. Balakrishna - 619-654 Bootstrap‐assisted Goodness‐of‐fit Tests in the Frequency Domain
by Hui Chen & J. P. Romano - 655-662 The Relevance Property For Prediction Intervals
by Paul Kabaila - 663-670 On Assessing Prediction Error in Autoregressive Models
by Paul Kabaila & Zhisong He - 671-677 Unit Roots and Asymmetric Smooth Transitions
by Robert Sollis & Stephen Leybourne & Paul Newbold - 679-691 A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
by Y. K. Tse & A. K. C. Tsui - 693-714 Projection Pursuit Autoregression in Time Series
by Xingcun Xia & H. Z. An
September 1999, Volume 20, Issue 5
- 387-512 Polyvariograms and their Asymptotes
by Z. G. Chen & O. D. Anderson - 483-486 A Class of Non‐Embeddable ARMA Processes
by A. E. Brockwell & P. J. Brockwell - 513-526 ATesting for the Onset of Trend, Using Wavelets
by S. D. Gilbert