Journal of Time Series Analysis

Cover image for Vol. 37 Issue 6

Early View (Online Version of Record published before inclusion in an issue)

Edited By: Robert Taylor

Impact Factor: 1.0

ISI Journal Citation Reports © Ranking: 2015: 57/123 (Statistics & Probability); 58/101 (Mathematics Interdisciplinary Applications)

Online ISSN: 1467-9892


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  1. Special Issues

    1. Spectral Estimation of the Multivariate Impulse Response

      Granville Tunnicliffe Wilson

      Version of Record online: 11 NOV 2016 | DOI: 10.1111/jtsa.12226

    2. Volatility Modeling with a Generalized t Distribution

      Andrew Harvey and Rutger-Jan Lange

      Version of Record online: 11 NOV 2016 | DOI: 10.1111/jtsa.12224

  2. Book Reviews

  3. Original Articles

    1. On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space

      Giuseppe Cavaliere, Heino Bohn Nielsen and Anders Rahbek

      Version of Record online: 19 OCT 2016 | DOI: 10.1111/jtsa.12214

    2. A New Recursive Estimation Method for Single Input Single Output Models

      Abdelhamid Ouakasse and Guy Mélard

      Version of Record online: 11 OCT 2016 | DOI: 10.1111/jtsa.12210

    3. Time-Varying Transition Probabilities for Markov Regime Switching Models

      Marco Bazzi, Francisco Blasques, Siem Jan Koopman and Andre Lucas

      Version of Record online: 29 SEP 2016 | DOI: 10.1111/jtsa.12211

  4. Special Issues

    1. Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions

      Michael Eichler, Rainer Dahlhaus and Johannes Dueck

      Version of Record online: 13 SEP 2016 | DOI: 10.1111/jtsa.12213

  5. Original Articles

  6. Special Issues

    1. Factor Modelling for High-Dimensional Time Series: Inference and Model Selection

      Ngai Hang Chan, Ye Lu and Chun Yip Yau

      Version of Record online: 19 AUG 2016 | DOI: 10.1111/jtsa.12207

  7. Original Articles

    1. Quantile Regression on Quantile Ranges – A Threshold Approach

      Chung-Ming Kuan, Christos Michalopoulos and Zhijie Xiao

      Version of Record online: 10 AUG 2016 | DOI: 10.1111/jtsa.12204

    2. Marginal Estimation of Parameter Driven Binomial Time Series Models

      William Dunsmuir and Jieyi He

      Version of Record online: 8 AUG 2016 | DOI: 10.1111/jtsa.12205

  8. Book Reviews

  9. Original Articles

    1. Local Gaussian Autocorrelation and Tests for Serial Independence

      Virginia Lacal and Dag TjØstheim

      Version of Record online: 14 APR 2016 | DOI: 10.1111/jtsa.12195

    2. Functional Generalized Autoregressive Conditional Heteroskedasticity

      Alexander Aue, Lajos Horváth and Daniel F. Pellatt

      Version of Record online: 27 MAR 2016 | DOI: 10.1111/jtsa.12192

  10. Special Issues

    1. Some Properties of Local Gaussian Correlation and Other Nonlinear Dependence Measures

      Geir Drage Berentsen, Ricardo Cao, Mario Francisco-Fernández and Dag TjØstheim

      Version of Record online: 14 FEB 2016 | DOI: 10.1111/jtsa.12183

    2. Estimation for Dynamic and Static Panel Probit Models with Large Individual Effects

      Wei Gao, Wicher Bergsma and Qiwei Yao

      Version of Record online: 19 JAN 2016 | DOI: 10.1111/jtsa.12178

  11. Original Articles

    1. Estimation of stationary autoregressive models with the Bayesian LASSO

      Daniel F. Schmidt and Enes Makalic

      Version of Record online: 8 AUG 2013 | DOI: 10.1111/jtsa12027.1467-9892.2013.12027

  12. Review Articles

    1. Inference for single and multiple change-points in time series

      Venkata Jandhyala, Stergios Fotopoulos, Ian MacNeill and Pengyu Liu

      Version of Record online: 11 MAY 2013 | DOI: 10.1111/jtsa12035

  13. Original Articles

    1. Nonparametric regression with rescaled time series errors

      José E. Figueroa-López and Michael Levine

      Version of Record online: 19 MAR 2013 | DOI: 10.1111/jtsa12017


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