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]

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, Volume 43, Issue 5, Page 669-694, September 2022.
  PubDate: 2022-08-09T05:11:13-07:00
  DOI: 10.1111/jtsa.12634
  Issue No: Vol. 43, No. 5 (2022)
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, Volume 43, Issue 5, Page 695-719, September 2022.
  PubDate: 2022-08-09T05:11:13-07:00
  DOI: 10.1111/jtsa.12635
  Issue No: Vol. 43, No. 5 (2022)
Estimation and inference in adaptive learning models with slowly
decreasing gains
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  Authors: Alexander Mayer
  Abstract: Journal of Time Series Analysis, Volume 43, Issue 5, Page 720-749, September 2022.
  PubDate: 2022-08-09T05:11:13-07:00
  DOI: 10.1111/jtsa.12636
  Issue No: Vol. 43, No. 5 (2022)
Issue Information
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  Abstract: Journal of Time Series Analysis, Volume 43, Issue 5, Page 667-668, September 2022.
  PubDate: 2022-08-09T05:11:13-07:00
  DOI: 10.1111/jtsa.12600
  Issue No: Vol. 43, No. 5 (2022)
Directed Graphs and Variable Selection in Large Vector Autoregressive
Models
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  Authors: Dominik Bertsche; Ralf Brüggemann, Christian Kascha
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-07-24T12:00:00-07:00
  DOI: 10.1111/jtsa.12664
Flexible Bivariate INGARCH Process With a Broad Range of Contemporaneous
Correlation
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  Authors: Luiza S.C. Piancastelli; Wagner Barreto‐Souza, Hernando Ombao
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-07-16T01:35:32-07:00
  DOI: 10.1111/jtsa.12663
Bivariate Random Coefficient Integer‐Valued Autoregressive Models:
Parameter Estimation and Change Point Test
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  Authors: Sangyeol Lee; Minyoung Jo
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-07-07T09:54:23-07:00
  DOI: 10.1111/jtsa.12662
Higher order asymptotics of minimax estimators for time series
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  Authors: Xiaofei Xu; Yan Liu, Masanobu Taniguchi
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-06-21T01:59:39-07:00
  DOI: 10.1111/jtsa.12661
Estimation of the variance function in structural break autoregressive
models with nonstationary and explosive segments
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  Authors: David I. Harvey; Stephen J. Leybourne, Yang Zu
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-06-12T10:49:54-07:00
  DOI: 10.1111/jtsa.12660
Dynamic Deconvolution and Identification of Independent Autoregressive
Sources
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  Authors: Christian Gourieroux; Joann Jasiak
  Abstract: Journal of Time Series Analysis, Accepted Article.
  PubDate: 2022-06-12T10:43:41-07:00
  DOI: 10.1111/jtsa.12659
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