Journal of Time Series Analysis

Table of Contents

Volume 22 Issue 6 (November 2001)

631-756

Original Article

Estimation of GARCH Models from the Autocorrelations of the Squares of a Process

  • Author: Richard T. Baillie, Huimin Chung
  • Pub Online: Mar 13, 2002
  • DOI: 10.1111/1467-9892.00245 (p 631-650)

Large Sample Properties of Parameter Estimates for Periodic ARMA Models

  • Author: I. V. Basawa, Robert Lund
  • Pub Online: Mar 13, 2002
  • DOI: 10.1111/1467-9892.00246 (p 651-663)

State‐space Models with Finite Dimensional Dependence

  • Author: Christian Gourieroux, Joann Jasiak
  • Pub Online: Mar 13, 2002
  • DOI: 10.1111/1467-9892.00247 (p 665-678)

Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series

  • Author: Clifford M. Hurvich
  • Pub Online: Mar 13, 2002
  • DOI: 10.1111/1467-9892.00248 (p 679-709)

A Note on Mean‐squared Prediction Errors of the Least Squares Predictors in Random Walk Models

  • Author: C. K. Ing
  • Pub Online: Mar 13, 2002
  • DOI: 10.1111/1467-9892.00249 (p 711-724)

On Prediction Intervals for Conditionally Heteroscedastic Processes

  • Author: Paul Kabaila, Zhisong He
  • Pub Online: Mar 13, 2002
  • DOI: 10.1111/1467-9892.00250 (p 725-731)

Model Selection in Threshold Models

  • Author: George Kapetanios
  • Pub Online: Mar 13, 2002
  • DOI: 10.1111/1467-9892.00251 (p 733-754)

Index

Index to Volume: 22 2001

  • Author:
  • Pub Online: Jun 28, 2008
  • DOI: 10.1111/1467-9892.00252 (p 755-756)

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