Journal of Time Series Analysis

Table of Contents

Volume 33 Issue 3 (May 2012)

365-531

ORIGINAL ARTICLES

Testing for parameter stability in nonlinear autoregressive models

  • Author: Claudia Kirch, Joseph Tadjuidje Kamgaing
  • Pub Online: Mar 13, 2012
  • DOI: 10.1111/j.1467-9892.2011.00764.x (p 365-385)

Nonlinear spectral density estimation: thresholding the correlogram

  • Author: Efstathios Paparoditis, Dimitris N. Politis
  • Pub Online: Mar 13, 2012
  • DOI: 10.1111/j.1467-9892.2011.00771.x (p 386-397)

Periodic autoregressive model identification using genetic algorithms

  • Author: Eugen Ursu, Kamil Feridun Turkman
  • Pub Online: Jan 19, 2012
  • DOI: 10.1111/j.1467-9892.2011.00772.x (p 398-405)

On robust tail index estimation for linear long‐memory processes

  • Author: Jan Beran, Bikramjit Das, Dieter Schell
  • Pub Online: Mar 13, 2012
  • DOI: 10.1111/j.1467-9892.2011.00774.x (p 406-423)

Non‐parametric testing for seasonally and periodically integrated processes

  • Author: Tomás del Barrio Castro, Denise R. Osborn
  • Pub Online: Jan 19, 2012
  • DOI: 10.1111/j.1467-9892.2011.00775.x (p 424-437)

Measuring nonlinear dependence in time‐series, a distance correlation approach

  • Author: Zhou Zhou
  • Pub Online: Mar 13, 2012
  • DOI: 10.1111/j.1467-9892.2011.00780.x (p 438-457)

Estimation of regression and dynamic dependence paremeters for non‐stationary multinomial time series

  • Author: J. C. Loredo‐Osti, Brajendra C. Sutradhar
  • Pub Online: Mar 14, 2012
  • DOI: 10.1111/j.1467-9892.2012.00781.x (p 458-467)

Conditional variance estimation in regression models with long memory

  • Author: Rafal Kulik, Cornelia Wichelhaus
  • Pub Online: Mar 14, 2012
  • DOI: 10.1111/j.1467-9892.2012.00782.x (p 468-483)

A similarity‐based approach to time‐varying coefficient non‐stationary autoregression

  • Author: Offer Lieberman
  • Pub Online: Mar 13, 2012
  • DOI: 10.1111/j.1467-9892.2012.00783.x (p 484-502)

Testing for parameter constancy in general causal time‐series models

  • Author: William Charky Kengne
  • Pub Online: Mar 14, 2012
  • DOI: 10.1111/j.1467-9892.2012.00785.x (p 503-518)

Weak convergence to a modified fractional Brownian motion

  • Author: Javier Hualde
  • Pub Online: Mar 13, 2012
  • DOI: 10.1111/j.1467-9892.2012.00786.x (p 519-529)

BOOK REVIEW

The Oxford Handbook of Economic Forecasts

  • Author: Alastair R. Hall
  • Pub Online: Jan 19, 2012
  • DOI: 10.1111/j.1467-9892.2011.00776.x (p 530-531)

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