Journal of Time Series Analysis

Table of Contents

Volume 35 Issue 6 (November 2014)

491-641

ORIGINAL ARTICLES

EFFICIENT METHOD OF MOMENTS ESTIMATORS FOR INTEGER TIME SERIES MODELS

  • Author: Vance L. Martin, Andrew R. Tremayne, Robert C. Jung
  • Pub Online: Aug 14, 2014
  • DOI: 10.1111/jtsa.12078 (p 491-516)

ROBUST FITTING OF INARCH MODELS

  • Author: Hanan Elsaied, Roland Fried
  • Pub Online: Jun 27, 2014
  • DOI: 10.1111/jtsa.12079 (p 517-535)

A simple example of an indirect estimator with discontinuous limit theory in the MA(1) model

  • Author: Stelios Arvanitis
  • Pub Online: Aug 11, 2014
  • DOI: 10.1111/jtsa.12080 (p 536-557)

Time‐series models with an EGB2 conditional distribution

  • Author: Michele Caivano, Andrew Harvey
  • Pub Online: Aug 11, 2014
  • DOI: 10.1111/jtsa.12081 (p 558-571)

NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS

  • Author: Chao Yu, Yue Fang, Zeng Li, Bo Zhang, Xujie Zhao
  • Pub Online: Sep 16, 2014
  • DOI: 10.1111/jtsa.12082 (p 572-591)

NORMING RATES AND LIMIT THEORY FOR SOME TIME‐VARYING COEFFICIENT AUTOREGRESSIONS

  • Author: Offer Lieberman, Peter C. B. Phillips
  • Pub Online: Sep 16, 2014
  • DOI: 10.1111/jtsa.12083 (p 592-623)

ANALYSIS OF THE LIKELIHOOD FUNCTION FOR MARKOV‐SWITCHING VAR(CH) MODELS

  • Author: Maddalena Cavicchioli
  • Pub Online: Sep 11, 2014
  • DOI: 10.1111/jtsa.12085 (p 624-639)

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