JournalTOCs

Journal of Time Series Analysis
Journal Prestige (SJR): 1.395

Citation Impact (citeScore): 1
Number of Followers: 16

Hybrid journal (It can contain Open Access articles)
ISSN (Print) 0143-9782 - ISSN (Online) 1467-9892
Published by John Wiley and Sons

[1763 journals]

Issue Information
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  Abstract: Journal of Time Series Analysis, Volume 43, Issue 3, Page 343-344, May 2022.
  PubDate: 2022-04-05T01:46:47-07:00
  DOI: 10.1111/jtsa.12598
  Issue No: Vol. 43, No. 3 (2022)
Student‐t Stochastic Volatility Model With Composite Likelihood
EM‐Algorithm
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  Authors: Raanju R. Sundararajan; Wagner Barreto‐Souza
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-05-06T10:08:45-07:00
  DOI: 10.1111/jtsa.12652
Seasonal Count Time Series
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  Authors: Jiajie Kong; Robert Lund
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-05-06T09:54:49-07:00
  DOI: 10.1111/jtsa.12651
Nonparametric short‐ and long‐run Granger causality testing in
the frequency domain
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  Authors: Cleiton Guollo Taufemback
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-04-24T07:19:45-07:00
  DOI: 10.1111/jtsa.12650
Peaks, Gaps, and Time‐Reversibility of Economic Time Series
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  Authors: Tommaso Proietti
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-04-15T03:23:00-07:00
  DOI: 10.1111/jtsa.12649
A prediction perspective on the Wiener‐Hopf equations for time
series
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  Authors: Suhasini Subba Rao; Junho Yang
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-04-11T09:23:01-07:00
  DOI: 10.1111/jtsa.12648
High‐dimensional Sparse Multivariate Stochastic Volatility Models
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  Authors: Benjamin Poignard; Manabu Asai
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-04-05T01:13:04-07:00
  DOI: 10.1111/jtsa.12647
Portmanteau test for a class of multivariate asymmetric power GARCH model
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  Authors: Y. Boubacar Maïnassara; O. Kadmiri, B. Saussereau
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-03-22T05:28:37-07:00
  DOI: 10.1111/jtsa.12646
Estimation of the empirical risk‐return relation: A
generalized‐risk‐in‐mean model
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  Authors: Xuanling Yang; Dong Li
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-03-19T09:34:31-07:00
  DOI: 10.1111/jtsa.12645
Autoregressive Mixture Models for Clustering Time Series
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  Authors: Benny Ren; Ian Barnett
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-03-01T12:29:23-08:00
  DOI: 10.1111/jtsa.12644
Trend Locally Stationary Wavelet Processes
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  Authors: Euan T. McGonigle; Rebecca Killick, Matthew A. Nunes
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-02-08T07:27:58-08:00
  DOI: 10.1111/jtsa.12643
Inference in functional factor models with applications to yield curves
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  Authors: Lajos Horváth; Piotr Kokoszka, Jeremy VanderDoes, Shixuan Wang
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-01-28T11:21:07-08:00
  DOI: 10.1111/jtsa.12642
A nonparametric test for multivariate trend functions†
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  Authors: Erhua Zhang; Xiaojun Song, Jilin Wu
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-01-23T08:28:32-08:00
  DOI: 10.1111/jtsa.12641
Johansen‐type Cointegration Tests with a Fourier Function†
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  Authors: Razvan Pascalau; Junsoo Lee, Saban Nazlioglu, Yan (Olivia) Lu
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-01-23T08:14:23-08:00
  DOI: 10.1111/jtsa.12640
A new non‐parametric cross‐spectrum estimator
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  Authors: Evangelos E. Ioannidis
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-12-25T01:54:42-08:00
  DOI: 10.1111/jtsa.12639
Permutation Testing for Dependence in Time Series
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  Authors: Joseph P. Romano; Marius A. Tirlea
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-12-18T01:38:51-08:00
  DOI: 10.1111/jtsa.12638
Asymptotic Independence ex machina – Extreme Value Theory for the
Diagonal SRE Model
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  Authors: Sebastian Mentemeier; Olivier Wintenberger
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-12-05T07:45:25-08:00
  DOI: 10.1111/jtsa.12637
Estimation and inference in adaptive learning models with slowly
decreasing gains
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  Authors: Alexander Mayer
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-11-21T02:49:57-08:00
  DOI: 10.1111/jtsa.12636
Rank Test of Unit‐Root Hypothesis with AR‐GARCH Errors
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  Authors: Guili Liao; Qimeng Liu, Rongmao Zhang, Shifang Zhang
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-11-19T07:13:17-08:00
  DOI: 10.1111/jtsa.12635
Testing the volatility jumps based on the high frequency data†
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  Authors: Guangying Liu; Meiyao Liu, Jinguan Lin
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-11-17T12:59:43-08:00
  DOI: 10.1111/jtsa.12634
Conditional Quantile Analysis for Realized GARCH Models
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  Authors: Donggyu Kim; Minseog Oh, Yazhen Wang
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-11-12T04:23:39-08:00
  DOI: 10.1111/jtsa.12633
Moment estimators for parameters of Lévy‐driven
Ornstein‐Uhlenbeck processes
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  Authors: Yanfeng Wu; Jianqiang Hu, Xiangyu Yang
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-10-23T08:39:59-07:00
  DOI: 10.1111/jtsa.12630
Long‐term prediction intervals with many covariates
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  Authors: Sayar Karmakar; Marek Chudý, Wei Biao Wu
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-10-12T09:43:56-07:00
  DOI: 10.1111/jtsa.12629
Misspecified semiparametric model selection with weakly dependent
observations
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  Authors: Francesco Bravo
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-10-10T02:52:56-07:00
  DOI: 10.1111/jtsa.12628
Regularized Estimation of High‐Dimensional Vector Autoregressions with
Weakly Dependent Innovations
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  Authors: Ricardo P. Masini; Marcelo C. Medeiros, Eduardo F. Mendes
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-10-10T02:38:52-07:00
  DOI: 10.1111/jtsa.12627
Modeling Normalcy‐Dominant Ordinal Time Series: An Application to
Air Quality Level
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  Authors: Mengya Liu; Fukang Zhu, Ke Zhu
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-09-03T12:49:41-07:00
  DOI: 10.1111/jtsa.12625
The Factor Analytical Approach in Trending Near Unit Root Panels*
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  Authors: Joakim Westerlund; Milda Norkutė, Ovidijus Stauskas
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-09-03T12:33:03-07:00
  DOI: 10.1111/jtsa.12624
Simultaneous Variable Selection and Structural Identification for
Time‐varying Coefficient Models
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  Authors: N.H. Chan; G. Linhao, W. Palma
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-09-03T10:08:36-07:00
  DOI: 10.1111/jtsa.12626
A new GJR‐GARCH model for ℤ‐valued time series
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  Authors: Yue Xu; Fukang Zhu
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-09-02T11:31:59-07:00
  DOI: 10.1111/jtsa.12623
The Spectral Analysis of the Hodrick‐Prescott Filter
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  Authors: Neslihan Sakarya; Robert M. Jong
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-09-01T02:44:35-07:00
  DOI: 10.1111/jtsa.12622
On cointegration for processes integrated at different frequencies
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  Authors: Tomás Barrio Castro; Gianluca Cubadda, Denise R. Osborn
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-09-01T02:29:31-07:00
  DOI: 10.1111/jtsa.12620
Stationarity and ergodicity of Markov switching positive conditional mean
models
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  Authors: Abdelhakim Aknouche; Christian Francq
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-08-31T06:29:17-07:00
  DOI: 10.1111/jtsa.12621
Structural Change Tests under Heteroskedasticity: Joint Estimation versus
Two‐Steps Methods*
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  Authors: Pierre Perron; Yohei Yamamoto
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-08-30T02:09:22-07:00
  DOI: 10.1111/jtsa.12619
Asymmetric linear double autoregression
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  Authors: Songhua Tan; Qianqian Zhu
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-08-23T09:06:05-07:00
  DOI: 10.1111/jtsa.12618
A new volatility model: GQARCH‐ItÔ model
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  Authors: Huiling Yuan; Yulei Su, Lu Xu, Yong Zhou, Xiangyu Cui
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2021-08-13T07:24:45-07:00
  DOI: 10.1111/jtsa.12616