Journal of Time Series Analysis

Early View Articles

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 )

Corrigendum

ORIGINAL ARTICLES

Testing equality of autocovariance operators for functional time series

  • Author: Dimitrios Pilavakis, Efstathios Paparoditis, Theofanis Sapatinas
  • Pub Online: Apr 06, 2020
  • DOI: 10.1111/jtsa.12523 (p )

Two‐Step Estimation for Time Varying Arch Models

  • Author: Yuanyuan Zhang, Rong Liu, Qin Shao, Lijian Yang
  • Pub Online: Feb 05, 2020
  • DOI: 10.1111/jtsa.12522 (p )

Backtesting portfolio value‐at‐risk with estimated portfolio weights

  • Author: Zaichao Du, Pei Pei
  • Pub Online: Apr 07, 2020
  • DOI: 10.1111/jtsa.12524 (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 )

ORIGINAL ARTICLES

Estimating Long Memory in Panel Random‐Coefficient AR(1) Data

  • Author: Remigijus Leipus, Anne Philippe, Vytautė Pilipauskaitė, Donatas Surgailis
  • Pub Online: Jan 31, 2020
  • DOI: 10.1111/jtsa.12519 (p )

AN ASYMPTOTIC F TEST FOR UNCORRELATEDNESS IN THE PRESENCE OF TIME SERIES DEPENDENCE

  • Author: Yixiao Sun, Xuexin Wang
  • Pub Online: Jan 15, 2020
  • DOI: 10.1111/jtsa.12520 (p )

Modeling the Variance of Return Intervals Toward Volatility Prediction

  • Author: Isaac Blackhurst, Jennifer Loveland, Zudi Lu, Guanghua Lian, Yan Sun
  • Pub Online: Dec 16, 2019
  • DOI: 10.1111/jtsa.12518 (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 )

Special Issues

BOOTSTRAP SEQUENTIAL TESTS TO DETERMINE THE ORDER OF INTEGRATION OF INDIVIDUAL UNITS IN A TIME SERIES PANEL

  • Author: Stephan Smeekes
  • Pub Online: Nov 28, 2014
  • DOI: 10.1111/jtsa.12110 (p )

ORIGINAL ARTICLES

VINE COPULA SPECIFICATIONS FOR STATIONARY MULTIVARIATE MARKOV CHAINS

  • Author: Brendan K. Beare, Juwon Seo
  • Pub Online: Nov 28, 2014
  • DOI: 10.1111/jtsa.12103 (p )

ASYMPTOTICS FOR THE CONDITIONAL‐SUM‐OF‐SQUARES ESTIMATOR IN MULTIVARIATE FRACTIONAL TIME‐SERIES MODELS

  • Author: Morten Ørregaard Nielsen
  • Pub Online: Nov 28, 2014
  • DOI: 10.1111/jtsa.12100 (p )

TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES

  • Author: Lajos Horváth, Gregory Rice
  • Pub Online: Dec 01, 2014
  • DOI: 10.1111/jtsa.12095 (p )

Special Issue

Structural Break Inference Using Information Criteria in Models Estimated by Two‐Stage Least Squares

  • Author: Alastair R. Hall, Denise R. Osborn, Nikolaos Sakkas
  • Pub Online: Jan 22, 2015
  • DOI: 10.1111/jtsa.12107 (p )
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