Journal of Time Series Analysis

Table of Contents

Volume 40 Issue 4 (July 2019)

383-628

Issue Information

Issue Information

  • Author:
  • Pub Online: Jun 06, 2019
  • DOI: 10.1111/jtsa.12414 (p 383-384)

Editorials

Editorial Announcement

  • Author: Robert Taylor
  • Pub Online: Jun 06, 2019
  • DOI: 10.1111/jtsa.12477 (p 385-385)

Special Issue

Bayesian Inference for ARFIMA Models

  • Author: Garland Durham, John Geweke, Susan Porter‐Hudak, Fallaw Sowell
  • Pub Online: Jan 02, 2019
  • DOI: 10.1111/jtsa.12443 (p 388-410)

A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter

  • Author: Murad S. Taqqu, Ting Zhang
  • Pub Online: Jan 04, 2019
  • DOI: 10.1111/jtsa.12444 (p 411-424)

Order Selection and Inference with Long Memory Dependent Data

  • Author: Abhimanyu Gupta, Javier Hidalgo
  • Pub Online: May 22, 2019
  • DOI: 10.1111/jtsa.12476 (p 425-446)

Empirical Likelihood for a Long Range Dependent Process Subordinated to a Gaussian Process

  • Author: Soumendra N. Lahiri, Ujjwal Das, Daniel J. Nordman
  • Pub Online: Apr 07, 2019
  • DOI: 10.1111/jtsa.12465 (p 447-466)

A Generalised Fractional Differencing Bootstrap for Long Memory Processes

  • Author: George Kapetanios, Fotis Papailias, A. M. Robert Taylor
  • Pub Online: Jun 06, 2019
  • DOI: 10.1111/jtsa.12460 (p 467-492)

Asymptotic Distribution of the Bias Corrected Least Squares Estimators in Measurement Error Linear Regression Models Under Long Memory

  • Author: Hira L. Koul, Donatas Surgailis
  • Pub Online: Feb 17, 2019
  • DOI: 10.1111/jtsa.12451 (p 493-518)

Nonstationary Cointegration in the Fractionally Cointegrated VAR Model

  • Author: Søren Johansen, Morten Ørregaard Nielsen
  • Pub Online: Dec 02, 2018
  • DOI: 10.1111/jtsa.12438 (p 519-543)

Fixed Bandwidth Inference for Fractional Cointegration

  • Author: Javier Hualde, Fabrizio Iacone
  • Pub Online: Mar 12, 2019
  • DOI: 10.1111/jtsa.12455 (p 544-572)

Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects

  • Author: Yunus Emre Ergemen, Carlos Velasco
  • Pub Online: Nov 28, 2018
  • DOI: 10.1111/jtsa.12436 (p 573-589)

The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility

  • Author: Jun Liu, Rohit Deo, Clifford Hurvich
  • Pub Online: Jan 07, 2019
  • DOI: 10.1111/jtsa.12445 (p 590-608)

Long Memory, Realized Volatility and Heterogeneous Autoregressive Models

  • Author: Richard T. Baillie, Fabio Calonaci, Dooyeon Cho, Seunghwa Rho
  • Pub Online: Apr 24, 2019
  • DOI: 10.1111/jtsa.12470 (p 609-628)

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