Journal of Time Series Analysis

Table of Contents

Volume 34 Issue 3 (May 2013)

285-422

Original Article

Estimation of the long‐memory stochastic volatility model parameters that is robust to level shifts and deterministic trends

  • Author: Adam McCloskey
  • Pub Online: Feb 26, 2013
  • DOI: 10.1111/jtsa.12012 (p 285-301)

Robust estimation for copula Parameter in SCOMDY models

  • Author: Byungsoo Kim, Sangyeol Lee
  • Pub Online: Dec 06, 2012
  • DOI: 10.1111/jtsa.12013 (p 302-314)

Score statistics for testing serial dependence in count data

  • Author: Jiajing Sun, Brendan P. McCabe
  • Pub Online: Dec 07, 2012
  • DOI: 10.1111/jtsa.12014 (p 315-329)

ORIGINAL ARTICLES

A class of optimal tests for contemporaneous non‐causality in VAR models

  • Author: Maria Caterina Bramati
  • Pub Online: Mar 13, 2013
  • DOI: 10.1111/jtsa.12016 (p 330-344)

Nonparametric regression with rescaled time series errors

  • Author: José E. Figueroa‐López, Michael Levine
  • Pub Online: Apr 25, 2013
  • DOI: 10.1111/jtsa.12017 (p 345-361)

A note on non‐parametric testing for Gaussian innovations in AR–ARCH models

  • Author: Natalie Neumeyer, Leonie Selk
  • Pub Online: Mar 12, 2013
  • DOI: 10.1111/jtsa.12018 (p 362-367)

Unit root testing with stationary covariates and a structural break in the trend function

  • Author: Sebastian Fossati
  • Pub Online: Mar 14, 2013
  • DOI: 10.1111/jtsa.12020 (p 368-384)

High‐frequency sampling and kernel estimation for continuous‐time moving average processes

  • Author: Peter J. Brockwell, Vincenzo Ferrazzano, Claudia Klüppelberg
  • Pub Online: Mar 17, 2013
  • DOI: 10.1111/jtsa.12022 (p 385-404)

Original Article

Modelling long‐run trends and cycles in financial time series data

  • Author: Guglielmo Maria Caporale, Juncal Cuñado, Luis A. Gil‐Alana
  • Pub Online: Dec 05, 2012
  • DOI: 10.1111/jtsa.12010 (p 405-421)

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