Journal of Time Series Analysis

Table of Contents

Journal of Time Series Analysis - Early View Articles


Notes and Comments

Deterministic Parameter Change Models in Continuous and Discrete Time

  • Author: Marcus J. Chambers, A. M. Robert Taylor
  • Pub Online: Mar 12, 2019
  • DOI: 10.1111/jtsa.12456 (p )

Properties of the Power Envelope for Tests Against Both Stationary and Explosive Alternatives: The Effect of Trends

  • Author: Patrick Marsh
  • Pub Online: Mar 18, 2019
  • DOI: 10.1111/jtsa.12458 (p )

Inference for asymmetric exponentially weighted moving average models

  • Author: Dong Li, Ke Zhu
  • Pub Online: Mar 24, 2019
  • DOI: 10.1111/jtsa.12464 (p )


Higher‐Order Accurate Spectral Density Estimation of Functional Time Series

  • Author: Tingyi Zhu, Dimitris N. Politis
  • Pub Online: May 08, 2019
  • DOI: 10.1111/jtsa.12473 (p )

Harmonically Weighted Processes

  • Author: Uwe Hassler, Mehdi Hosseinkouchack
  • Pub Online: May 15, 2019
  • DOI: 10.1111/jtsa.12475 (p )

Notes and Comments

Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models

  • Author: Yaxing Yang, Dong Li
  • Pub Online: Jul 09, 2019
  • DOI: 10.1111/jtsa.12492 (p )

Book Reviews

Notes and Comments

On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model

  • Author: Stelios Arvanitis, Sofia Anyfantaki
  • Pub Online: Jul 11, 2019
  • DOI: 10.1111/jtsa.12494 (p )


On Singular Spectrum Analysis And Stepwise Time Series Reconstruction

  • Author: Donald S. Poskitt
  • Pub Online: Jul 17, 2019
  • DOI: 10.1111/jtsa.12479 (p )

Volatility asymmetry in functional threshold GARCH model

  • Author: Hao Sun, Bo Yu
  • Pub Online: Jul 18, 2019
  • DOI: 10.1111/jtsa.12495 (p )

Notes and Comments

The Limiting Distribution of a Non‐Stationary Integer Valued GARCH(1,1) Process

  • Author: Jon Michel
  • Pub Online: Aug 01, 2019
  • DOI: 10.1111/jtsa.12496 (p )

Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model

  • Author: Emma M. Iglesias, Garry D. A. Phillips
  • Pub Online: Aug 04, 2019
  • DOI: 10.1111/jtsa.12499 (p )


Estimating the Mean Direction of Strongly Dependent Circular Time Series

  • Author: Sucharita Ghosh, Jan Beran
  • Pub Online: Aug 08, 2019
  • DOI: 10.1111/jtsa.12500 (p )

Bootstrap Inference for Garch Models by the Least Absolute Deviation Estimation

  • Author: Qianqian Zhu, Ruochen Zeng, Guodong Li
  • Pub Online: May 13, 2019
  • DOI: 10.1111/jtsa.12474 (p )

Empirical Characteristic Functions‐Based Estimation and Distance Correlation for Locally Stationary Processes

  • Author: Carsten Jentsch, Anne Leucht, Marco Meyer, Carina Beering
  • Pub Online: Aug 14, 2019
  • DOI: 10.1111/jtsa.12497 (p )
Page:   1 2 3 4 Next

Related Topics

Related Publications

Related Content

Site Footer


This website is provided by John Wiley & Sons Limited, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ (Company No: 00641132, VAT No: 376766987)

Published features on are checked for statistical accuracy by a panel from the European Network for Business and Industrial Statistics (ENBIS)   to whom Wiley and express their gratitude. This panel are: Ron Kenett, David Steinberg, Shirley Coleman, Irena Ograjenšek, Fabrizio Ruggeri, Rainer Göb, Philippe Castagliola, Xavier Tort-Martorell, Bart De Ketelaere, Antonio Pievatolo, Martina Vandebroek, Lance Mitchell, Gilbert Saporta, Helmut Waldl and Stelios Psarakis.