Journal of Time Series Analysis

Table of Contents

Volume 41 Issue 5 (September 2020)

603-730

Issue Information

Issue Information

  • Author:
  • Pub Online: Aug 04, 2020
  • DOI: 10.1111/jtsa.12488 (p 603-604)

ORIGINAL ARTICLES

Backtesting portfolio value‐at‐risk with estimated portfolio weights

  • Author: Zaichao Du, Pei Pei
  • Pub Online: Apr 06, 2020
  • DOI: 10.1111/jtsa.12524 (p 605-619)

Robust estimation of stationary continuous‐time arma models via indirect inference

  • Author: Vicky Fasen‐Hartmann, Sebastian Kimmig
  • Pub Online: May 06, 2020
  • DOI: 10.1111/jtsa.12526 (p 620-651)

Missing not at random and the nonparametric estimation of the spectral density

  • Author: Sam Efromovich
  • Pub Online: Jun 18, 2020
  • DOI: 10.1111/jtsa.12527 (p 652-675)

Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series

  • Author: Mohitosh Kejriwal, Xuewen Yu, Pierre Perron
  • Pub Online: May 06, 2020
  • DOI: 10.1111/jtsa.12528 (p 676-690)

A family of multivariate non‐gaussian time series models

  • Author: Tevfik Aktekin, Nicholas G. Polson, Refik Soyer
  • Pub Online: May 28, 2020
  • DOI: 10.1111/jtsa.12529 (p 691-721)

Notes and Comments

A Portmanteau Test for Smooth Transition Autoregressive Models

  • Author: Qiang Xia, Zhiqiang Zhang, Wai Keung Li
  • Pub Online: Dec 01, 2019
  • DOI: 10.1111/jtsa.12512 (p 722-730)

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