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  Subjects -> STATISTICS (Total: 130 journals)
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Journal of Time Series Analysis
Journal Prestige (SJR): 1.395
Citation Impact (citeScore): 1
Number of Followers: 16  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 0143-9782 - ISSN (Online) 1467-9892
Published by John Wiley and Sons Homepage  [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)
       
  • Volatility Models for Stylized Facts of High‐Frequency Financial
           Data

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      Authors: Donggyu Kim; Minseok Shin
      Abstract: Journal of Time Series Analysis, Accepted Article.
      PubDate: 2022-08-29T01:49:12-07:00
      DOI: 10.1111/jtsa.12666
       
  • New associate editors

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      Abstract: Journal of Time Series Analysis, EarlyView.
      PubDate: 2022-08-21T06:38:30-07:00
      DOI: 10.1111/jtsa.12665
       
  • 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
       
 
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