Journal of Time Series Analysis

Table of Contents

Volume 33 Issue 1 (January 2012)

1-176

ORIGINAL ARTICLES

Limit theorems for the discount sums of moving averages

  • Author: Ba Chu
  • Pub Online: Apr 21, 2011
  • DOI: 10.1111/j.1467-9892.2011.00727.x (p 1-12)

Frequency and phase estimation in time series with quasi periodic components

  • Author: Konstantinos Paraschakis, Rainer Dahlhaus
  • Pub Online: Apr 25, 2011
  • DOI: 10.1111/j.1467-9892.2011.00736.x (p 13-31)

Unit root bootstrap tests under infinite variance

  • Author: Marta Moreno, Juan Romo
  • Pub Online: Jun 16, 2011
  • DOI: 10.1111/j.1467-9892.2011.00737.x (p 32-47)

Multi‐variate stochastic volatility modelling using Wishart autoregressive processes

  • Author: K. Triantafyllopoulos
  • Pub Online: May 30, 2011
  • DOI: 10.1111/j.1467-9892.2011.00738.x (p 48-60)

Efficient estimation and particle filter for max‐stable processes

  • Author: Tsuyoshi Kunihama, Yasuhiro Omori, Zhengjun Zhang
  • Pub Online: May 31, 2011
  • DOI: 10.1111/j.1467-9892.2011.00740.x (p 61-80)

Weighted scatter estimation method of the GO‐GARCH models

  • Author: Lingyu Zheng, William W. S. Wei
  • Pub Online: Jun 30, 2011
  • DOI: 10.1111/j.1467-9892.2011.00741.x (p 81-95)

Subsampling inference for the mean of heavy‐tailed long‐memory time series

  • Author: Agnieszka Jach, Tucker McElroy, Dimitris N. Politis
  • Pub Online: May 30, 2011
  • DOI: 10.1111/j.1467-9892.2011.00742.x (p 96-111)

Maximum entropy models for general lag patterns

  • Author: Georgi N. Boshnakov, Bisher M. Iqelan
  • Pub Online: Jun 29, 2011
  • DOI: 10.1111/j.1467-9892.2011.00744.x (p 112-120)

Selection of weak VARMA models by modified Akaike's information criteria

  • Author: Y. Boubacar Maïnassara
  • Pub Online: Jun 03, 2011
  • DOI: 10.1111/j.1467-9892.2011.00746.x (p 121-130)

Statistical tests for a single change in mean against long‐range dependence

  • Author: Changryong Baek, Vladas Pipiras
  • Pub Online: Jun 30, 2011
  • DOI: 10.1111/j.1467-9892.2011.00747.x (p 131-151)

High‐frequency sampling of a continuous‐time ARMA process

  • Author: Peter J. Brockwell, Vincenzo Ferrazzano, Claudia Klüppelberg
  • Pub Online: Jun 16, 2011
  • DOI: 10.1111/j.1467-9892.2011.00748.x (p 152-160)

Limit theory for a general class of GARCH models with just barely infinite variance

  • Author: Rong‐Mao Zhang, Zheng‐Yan Lin
  • Pub Online: Jul 27, 2011
  • DOI: 10.1111/j.1467-9892.2011.00749.x (p 161-174)

Book Reviews

Non–Parametric Econometrics

  • Author: Piotr S. Kokoszka
  • Pub Online: Jun 07, 2011
  • DOI: 10.1111/j.1467-9892.2011.00743.x (p 175-175)

Statistical Methods for Trend Detection and Analysis in the Environmental Sciences

  • Author: Tata Subba Rao
  • Pub Online: Jun 30, 2011
  • DOI: 10.1111/j.1467-9892.2011.00745.x (p 176-176)

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