Journal of Time Series Analysis

Cover image for Vol. 38 Issue 1

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. A Spectral Domain Test for Stationarity of Spatio-Temporal Data

      Soutir Bandyopadhyay, Carsten Jentsch and Suhasini Subba Rao

      Version of Record online: 28 DEC 2016 | DOI: 10.1111/jtsa.12222

  2. Original Articles

    1. Detecting at-Most-m Changes in Linear Regression Models

      Lajos Horváth, William Pouliot and Shixuan Wang

      Version of Record online: 26 DEC 2016 | DOI: 10.1111/jtsa.12228

    2. Oracle M-Estimation for Time Series Models

      Mihai C. Giurcanu

      Version of Record online: 26 DEC 2016 | DOI: 10.1111/jtsa.12221

  3. Special Issues

  4. Original Articles

    1. QMLE for quadratic ARCH model with long memory

      Ieva Grublytė, Donatas Surgailis and Andrius Škarnulis

      Version of Record online: 19 DEC 2016 | DOI: 10.1111/jtsa.12227

  5. 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

  6. Book Reviews

  7. 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

  8. 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

  9. Original Articles

  10. 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

  11. Book Reviews

  12. 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


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