Journal of Time Series Analysis

Table of Contents

Volume 40 Issue 1 (January 2019)


Issue Information

Issue Information

  • Author:
  • Pub Online: Dec 09, 2018
  • DOI: 10.1111/jtsa.12411 (p 1-2)


Time‐Dependent Dual‐Frequency Coherence in Multivariate Non‐Stationary Time Series

  • Author: Cristina Gorrostieta, Hernando Ombao, Rainer Von Sachs
  • Pub Online: Jul 01, 2018
  • DOI: 10.1111/jtsa.12408 (p 3-22)

Least Squares Bias in Time Series with Moderate Deviations from a Unit Root

  • Author: Marian Z. Stoykov
  • Pub Online: Jul 10, 2018
  • DOI: 10.1111/jtsa.12417 (p 23-42)

Asymptotic Theory and Unified Confidence Region for an Autoregressive Model

  • Author: Xiaohui Liu, Liang Peng
  • Pub Online: Jul 05, 2018
  • DOI: 10.1111/jtsa.12418 (p 43-65)

Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps

  • Author: Yuping Song, Ying Chen, Zhouwei Wang
  • Pub Online: Aug 19, 2018
  • DOI: 10.1111/jtsa.12423 (p 66-101)

On the Sensitivity of Granger Causality to Errors‐In‐Variables, Linear Transformations and Subsampling

  • Author: Brian D.O. Anderson, Manfred Deistler, Jean‐Marie Dufour
  • Pub Online: Sep 23, 2018
  • DOI: 10.1111/jtsa.12430 (p 102-123)

Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series

  • Author: Axel Bücher, Jean‐David Fermanian, Ivan Kojadinovic
  • Pub Online: Oct 23, 2018
  • DOI: 10.1111/jtsa.12431 (p 124-150)

Notes and Comments

Quasi‐Bayesian Estimation of Time‐Varying Volatility in DSGE Models

  • Author: Katerina Petrova
  • Pub Online: Apr 03, 2018
  • DOI: 10.1111/jtsa.12290 (p 151-157)


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