Journal of Time Series Analysis

Early View Articles

Notes and Comments

On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model

  • Author: Stelios Arvanitis, Sofia Anyfantaki
  • Pub Online: Jul 11, 2019
  • DOI: 10.1111/jtsa.12494 (p )

The Limiting Distribution of a Non‐Stationary Integer Valued GARCH(1,1) Process

  • Author: Jon Michel
  • Pub Online: Aug 01, 2019
  • DOI: 10.1111/jtsa.12496 (p )

Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model

  • Author: Emma M. Iglesias, Garry D. A. Phillips
  • Pub Online: Aug 04, 2019
  • DOI: 10.1111/jtsa.12499 (p )

ORIGINAL ARTICLES

Estimating the Mean Direction of Strongly Dependent Circular Time Series

  • Author: Sucharita Ghosh, Jan Beran
  • Pub Online: Aug 08, 2019
  • DOI: 10.1111/jtsa.12500 (p )

A Stationary Spatio‐Temporal GARCH Model

  • Author: Sondre Hølleland, Hans Arnfinn Karlsen
  • Pub Online: Aug 22, 2019
  • DOI: 10.1111/jtsa.12498 (p )

Notes and Comments

The Marginal Density of a TMA(1) Process

  • Author: Dong Li, Jiaming Qiu
  • Pub Online: Aug 21, 2019
  • DOI: 10.1111/jtsa.12501 (p )

ORIGINAL ARTICLES

Extracting Conditionally Heteroskedastic Components using Independent Component Analysis

  • Author: Jari Miettinen, Markus Matilainen, Klaus Nordhausen, Sara Taskinen
  • Pub Online: Sep 08, 2019
  • DOI: 10.1111/jtsa.12505 (p )

Notes and Comments

Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes

  • Author: Rachid Senoussi, Valerie Girardin
  • Pub Online: Oct 10, 2019
  • DOI: 10.1111/jtsa.12507 (p )

Book Reviews

ORIGINAL ARTICLES

Walsh Fourier Transform of Locally Stationary Time Series

  • Author: Zhelin Huang, Ngai Hang Chan
  • Pub Online: Oct 21, 2019
  • DOI: 10.1111/jtsa.12509 (p )

Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients

  • Author: Degui Li, Jiraroj Tosasukul, Wenyang Zhang
  • Pub Online: Nov 19, 2019
  • DOI: 10.1111/jtsa.12511 (p )

Location Multiplicative Error Models with Quasi Maximum Likelihood Estimation

  • Author: Qian Li
  • Pub Online: Dec 01, 2019
  • DOI: 10.1111/jtsa.12513 (p )

Consistency of the Hill Estimator for Time Series Observed with Measurement Errors

  • Author: Mihyun Kim, Piotr Kokoszka
  • Pub Online: Dec 01, 2019
  • DOI: 10.1111/jtsa.12515 (p )

Notes and Comments

A Portmanteau Test for Smooth Transition Autoregressive Models

  • Author: Qiang Xia, Zhiqiang Zhang, Wai Keung Li
  • Pub Online: Dec 02, 2019
  • DOI: 10.1111/jtsa.12512 (p )

Special Issue

THE DEPENDENT RANDOM WEIGHTING

  • Author: Srijan Sengupta, Xiaofeng Shao, Yingchuan Wang
  • Pub Online: Nov 28, 2014
  • DOI: 10.1111/jtsa.12109 (p )
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