JournalTOCs

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

Citation Impact (citeScore): 1
Number of Followers: 18

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

[1764 journals]

Issue Information
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  Abstract: Journal of Time Series Analysis, Volume 46, Issue 2, Page 211-212, March 2025.
  PubDate: 2025-02-05T06:21:15-08:00
  DOI: 10.1111/jtsa.12753
  Issue No: Vol. 46, No. 2 (2025)
Inverse Autocovariance Estimates
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  Authors: Jiang Wang; Dimitris N. Politis
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-03-21T12:36:21-07:00
  DOI: 10.1111/jtsa.12832
On Exponential‐Family INGARCH Models
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  Authors: Alan Huang; Thomas Fung, Kyle Macaskill, Rowan Aukes
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-03-15T02:00:09-07:00
  DOI: 10.1111/jtsa.12831
Valid Post‐Averaging Inference in AR‐G/GARCH Models
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  Authors: Hsin‐Chieh Wong
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-03-05T08:31:27-08:00
  DOI: 10.1111/jtsa.12827
Blockwise Empirical Likelihood and Efficiency for Markov Chains
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  Authors: Ursula U. Müller; Anton Schick, Wolfgang Wefelmeyer
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-03-04T04:50:30-08:00
  DOI: 10.1111/jtsa.12825
Editorial Announcement
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  Authors: Robert Taylor
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-03-03T09:19:11-08:00
  DOI: 10.1111/jtsa.12829
Gaussian Approximation for Lag‐Window Estimators and the Construction of
Confidence Bands for the Spectral Density
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  Authors: Jens‐Peter Kreiß; Anne Leucht, Efstathios Paparoditis
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-03-02T05:06:27-08:00
  DOI: 10.1111/jtsa.12826
Sequential Monitoring for Changes in GARCH(1,1) Models Without Assuming
Stationarity
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  Authors: Lajos Horváth; Lorenzo Trapani, Shixuan Wang
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-02-23T04:29:19-08:00
  DOI: 10.1111/jtsa.12824
Markov Determinantal Point Process for Dynamic Random Sets
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  Authors: Christian Gouriéroux; Yang Lu
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-02-18T06:21:19-08:00
  DOI: 10.1111/jtsa.12823
On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series
With Applications to Solar Flare Forecasting
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  Authors: Victor Verma; Stilian Stoev, Yang Chen
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-02-13T08:42:46-08:00
  DOI: 10.1111/jtsa.12820
Continuous Record Asymptotics for Change‐Point Models
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  Authors: Alessandro Casini; Pierre Perron
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-02-13T05:07:44-08:00
  DOI: 10.1111/jtsa.12821
Local GMM Estimation for Nonparametric Time‐Varying Coefficient
Moment Condition Models
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  Authors: Yu Bai
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-02-09T07:14:56-08:00
  DOI: 10.1111/jtsa.12822
Self‐Normalized KPSS Tests With Power Enhancement
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  Authors: JunYi Peng‐Zhou; Xiaojun Song
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-01-27T06:32:29-08:00
  DOI: 10.1111/jtsa.12818
Event‐Day Options
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  Authors: Jonathan H. Wright
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-01-27T06:32:28-08:00
  DOI: 10.1111/jtsa.12819
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With
Time‐Varying Properties
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  Authors: Matei Demetrescu; Mehdi Hosseinkouchack
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-01-23T06:25:23-08:00
  DOI: 10.1111/jtsa.12817
An Automatic Multi‐Scale Test for Serial Correlation of
High‐Dimensional Time Series
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  Authors: Bingbing Zhang; Mengya Liu
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-01-21T07:18:34-08:00
  DOI: 10.1111/jtsa.12815
High‐Frequency Instruments and Identification‐Robust Inference for
Stochastic Volatility Models
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  Authors: Md. Nazmul Ahsan; Jean‐Marie Dufour
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-01-12T07:11:52-08:00
  DOI: 10.1111/jtsa.12812
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis
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  Authors: Christian Francq; Christophe Hurlin, Sébastien Laurent, Jean‐Michel Zakoian
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-01-12T07:08:38-08:00
  DOI: 10.1111/jtsa.12814
Editorial Announcement: Journal of Time Series Analysis Distinguished
Authors 2024
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  Authors: Robert Taylor
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-01-12T07:08:22-08:00
  DOI: 10.1111/jtsa.12816
Simultaneous Estimation of Stable Parameters for Multiple Autoregressive
Processes From Datasets of Nonuniform Sizes
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  Authors: Johannes Lederer; Rainer von Sachs
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-01-07T04:49:55-08:00
  DOI: 10.1111/jtsa.12806
Panel Threshold Mixed Data Sampling Models With a
Covariate‐Dependent Threshold
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  Authors: Lixiong Yang; I‐Po Chen, Chingnun Lee, Yihang Ye
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-01-05T04:46:19-08:00
  DOI: 10.1111/jtsa.12813
Quantile Regression Estimation for Poisson Autoregressive Models
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  Authors: Danshu Sheng; Dehui Wang
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-01-01T12:00:00-08:00
  DOI: 10.1111/jtsa.12811
An Improved Procedure for Retrospectively Dating the Emergence and
Collapse of Bubbles
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  Authors: Mohitosh Kejriwal; Linh Nguyen, Pierre Perron
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-01-01T12:00:00-08:00
  DOI: 10.1111/jtsa.12810
Gradual Changes in Functional Time Series
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  Authors: Patrick Bastian; Holger Dette
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2025-01-01T06:21:47-08:00
  DOI: 10.1111/jtsa.12809
Analysis of Crisis Effects via Maximum Entropy Adjustment
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  Authors: Tucker McElroy
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-12-16T06:09:18-08:00
  DOI: 10.1111/jtsa.12808
A Zero Serial Cross‐Correlation Test Before Fitting
Heteroscedasticity
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  Authors: Yaolan Ma; Xiaohong Chen, Liang Peng, Rongmao Zhang
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-12-16T06:04:56-08:00
  DOI: 10.1111/jtsa.12807
A Mixture Transition Distribution Modeling for Higher‐Order Circular
Markov Processes
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  Authors: Hiroaki Ogata; Takayuki Shiohama
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-12-10T04:53:25-08:00
  DOI: 10.1111/jtsa.12803
CAViaR Model Selection via Adaptive Lasso
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  Authors: Zongwu Cai; Ying Fang, Dingshi Tian
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-12-10T04:53:12-08:00
  DOI: 10.1111/jtsa.12804
A Stochastic Tree for Bubble Asset Modelling and Pricing
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  Authors: Christian Gourieroux; Joann Jasiak
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-12-05T04:42:19-08:00
  DOI: 10.1111/jtsa.12801
Cointegrating Polynomial Regressions With Power Law Trends
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  Authors: Yicong Lin; Hanno Reuvers
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-12-05T04:40:49-08:00
  DOI: 10.1111/jtsa.12805
Exact likelihood for inverse gamma stochastic volatility models
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  Authors: Roberto Leon‐Gonzalez; Blessings Majoni
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-12-02T01:58:39-08:00
  DOI: 10.1111/jtsa.12795
The Liquidity Uncertainty Premium Puzzle
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  Authors: Maria Flora; Ilaria Gianstefani, Roberto Renò
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-12-01T07:05:27-08:00
  DOI: 10.1111/jtsa.12802
Poisson count time series
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  Authors: Jiajie Kong; Robert Lund
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-11-29T11:15:24-08:00
  DOI: 10.1111/jtsa.12799
Empirical likelihood for martingale differences
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  Authors: Anton Schick
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-11-23T01:50:55-08:00
  DOI: 10.1111/jtsa.12800
Monitoring panels of sparse functional data
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  Authors: Tim Kutta; Agnieszka Jach, Piotr Kokoszka
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-11-21T07:39:07-08:00
  DOI: 10.1111/jtsa.12796
Inference on nonstationary heavy‐tailed AR processes via model
selection
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  Authors: Feifei Guo; Rui She, Yaxing Yang
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-11-20T01:01:37-08:00
  DOI: 10.1111/jtsa.12798
Understanding Multi‐horizon Forecasts: Identification, Estimation
and Testing
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  Authors: Stan Hurn; Vance Martin, Jing Tian, Lina Xu
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-11-15T09:14:25-08:00
  DOI: 10.1111/jtsa.12797
Bubbles and crashes: A tale of quantiles
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  Authors: Efthymios G. Pavlidis
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-11-15T09:00:32-08:00
  DOI: 10.1111/jtsa.12794
Mean square consistency and improved rate of convergence of generalized
subsampling estimator for non‐stationary time series
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  Authors: Patrice Bertail; Anna E. Dudek, Łukasz Lenart
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-11-12T10:45:46-08:00
  DOI: 10.1111/jtsa.12793
Modal volatility function
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  Authors: Aman Ullah; Tao Wang
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-11-07T11:25:09-08:00
  DOI: 10.1111/jtsa.12790
Quantile analysis for financial bubble detection and surveillance
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  Authors: Ruike Wu; Shuping Shi, Jilin Wu
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-11-07T11:14:45-08:00
  DOI: 10.1111/jtsa.12791
Risk parity portfolio optimization under heavy‐tailed returns and
dynamic correlations
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  Authors: Marc S. Paolella; Paweł Polak, Patrick S. Walker
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-10-31T09:09:30-07:00
  DOI: 10.1111/jtsa.12792
Mixed orthogonality graphs for continuous‐time state space models
and orthogonal projections
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  Authors: Vicky Fasen‐Hartmann; Lea Schenk
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-10-30T05:11:31-07:00
  DOI: 10.1111/jtsa.12787
A note on Johansen's rank conditions and the Jordan form of a matrix
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  Authors: Massimo Franchi
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-10-28T11:56:16-07:00
  DOI: 10.1111/jtsa.12789
Estimation for conditional moment models based on martingale difference
divergence
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  Authors: Kunyang Song; Feiyu Jiang, Ke Zhu
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-10-27T06:35:56-07:00
  DOI: 10.1111/jtsa.12788
S&P 500 microstructure noise components: empirical inferences from
futures and ETF prices
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  Authors: Stephen J. Taylor
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-10-23T06:26:08-07:00
  DOI: 10.1111/jtsa.12786
Testing in GARCH‐X models: boundary, correlations and bootstrap
theory
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  Authors: Heino Bohn Nielsen; Rasmus Søndergaard Pedersen, Anders Rahbek, Sigurd Nellemann Thorsen
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-10-21T04:55:04-07:00
  DOI: 10.1111/jtsa.12767
Tail index estimation for tail adversarial stable time series with an
application to high‐dimensional tail clustering
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  Authors: Hanyue Cao; Jingying Gao, Yu Shao, T. N. Sriram, Weiliang Wang, Fei Wen, Ting Zhang
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-10-20T05:25:03-07:00
  DOI: 10.1111/jtsa.12785
A new heteroskedasticity‐robust test for explosive bubbles
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  Authors: David I. Harvey; Stephen J. Leybourne, A. M. Robert Taylor, Yang Zu
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-10-17T03:11:20-07:00
  DOI: 10.1111/jtsa.12784
Local Whittle estimation in time‐varying long memory series
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  Authors: Josu Arteche; Luis F. Martins
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-10-01T10:54:51-07:00
  DOI: 10.1111/jtsa.12782
Local quadratic spectral and covariance matrix estimation
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  Authors: Tucker McElroy; Dimitris N. Politis
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-10-01T02:00:51-07:00
  DOI: 10.1111/jtsa.12783
Testing for a bubble with a stochastically varying explosive coefficient
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  Authors: Eiji Kurozumi; Mikihito Nishi
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-09-27T01:02:55-07:00
  DOI: 10.1111/jtsa.12768
Asymmetric stable stochastic volatility models: estimation, filtering, and
forecasting
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  Authors: Francisco Blasques; Siem Jan Koopman, Karim Moussa
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-09-26T07:45:01-07:00
  DOI: 10.1111/jtsa.12780
Simultaneous inference of a partially linear model in time series
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  Authors: Jiaqi Li; Likai Chen, Kun Ho Kim, Tianwei Zhou
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-09-26T04:15:43-07:00
  DOI: 10.1111/jtsa.12781
Generalized covariance‐based inference for models set‐identified from
independence restrictions
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  Authors: Christian Gourieroux; Joann Jasiak
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-09-24T05:29:47-07:00
  DOI: 10.1111/jtsa.12779
On buffered moving average models
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  Authors: Yipeng Zhuang; Dong Li, Philip L. H. Yu, Wai Keung Li
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-09-20T01:06:37-07:00
  DOI: 10.1111/jtsa.12778
Local powers of least‐squares‐based test for panel fractional
Ornstein–Uhlenbeck process
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  Authors: Katsuto Tanaka; Weilin Xiao, Jun Yu
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-09-18T10:49:39-07:00
  DOI: 10.1111/jtsa.12777
Non‐causal and non‐invertible ARMA models: Identification, estimation
and application in equity portfolios
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  Authors: Alain Hecq; Daniel Velasquez‐Gaviria
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-09-18T02:40:32-07:00
  DOI: 10.1111/jtsa.12776
Mixing properties of non‐stationary multi‐variate count
processes
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  Authors: Zinsou Max Debaly; Michael H. Neumann, Lionel Truquet
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-09-16T10:11:11-07:00
  DOI: 10.1111/jtsa.12775
Mean‐preserving rounding integer‐valued ARMA models
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  Authors: Christian H. Weiß; Fukang Zhu
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-09-10T08:44:33-07:00
  DOI: 10.1111/jtsa.12774
Forecasting the yield curve: the role of additional and time‐varying
decay parameters, conditional heteroscedasticity, and macro‐economic
factors
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  Authors: João F. Caldeira; Werley C. Cordeiro, Esther Ruiz, André A.P. Santos
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-09-09T04:50:21-07:00
  DOI: 10.1111/jtsa.12769
Weighted discrete ARMA models for categorical time series
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  Authors: Christian H. Weiß; Osama Swidan
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-09-06T04:00:29-07:00
  DOI: 10.1111/jtsa.12773
Improved estimation of dynamic models of conditional means and variances
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  Authors: Weining Wang; Jeffrey M. Wooldridge, Mengshan Xu
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-08-29T07:55:50-07:00
  DOI: 10.1111/jtsa.12770
Estimating lagged (cross‐)covariance operators of Lp‐m‐approximable
processes in cartesian product hilbert spaces
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  Authors: Sebastian Kühnert
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-08-29T07:54:48-07:00
  DOI: 10.1111/jtsa.12772
Self‐normalization inference for linear trends in cointegrating
regressions
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  Authors: Cheol‐Keun Cho
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-08-28T09:11:04-07:00
  DOI: 10.1111/jtsa.12771
The Granger–Johansen representation theorem for integrated time
series on Banach space
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  Authors: Phil Howlett; Brendan K. Beare, Massimo Franchi, John Boland, Konstantin Avrachenkov
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-08-18T04:13:07-07:00
  DOI: 10.1111/jtsa.12766
Dependence properties of stochastic volatility models
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  Authors: Piotr Kokoszka; Neda Mohammadi, Haonan Wang
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-08-12T04:15:22-07:00
  DOI: 10.1111/jtsa.12765
Testing covariance separability for continuous functional data
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  Authors: Holger Dette; Gauthier Dierickx, Tim Kutta
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-08-11T08:50:17-07:00
  DOI: 10.1111/jtsa.12764
Fractional gaussian noise: Spectral density and estimation methods
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  Authors: Shuping Shi; Jun Yu, Chen Zhang
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-05-20T10:17:11-07:00
  DOI: 10.1111/jtsa.12750
Fractional stochastic volatility model
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  Authors: Shuping Shi; Xiaobin Liu, Jun Yu
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-05-17T02:55:15-07:00
  DOI: 10.1111/jtsa.12749
Ridge regularized estimation of VAR models for inference
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  Authors: Giovanni Ballarin
  Abstract: Journal of Time Series Analysis, EarlyView.
  PubDate: 2024-02-18T05:00:31-08:00
  DOI: 10.1111/jtsa.12737

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