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Blackwell Publishing

Journal of Time Series Analysis

Contact information of Blackwell Publishing:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782

Order information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0143-9782
Editor: M.B. Priestley
For technical questions regarding this series, please contact (Christopher F. Baum)
Series handle: repec:bla:jtsera

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2005, Volume 26, Issue 3

423-435 Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes
by Sophie Lambert-Lacroix [Downloadable! (restricted)]
437-462 Implicit Bayesian Inference Using Option Prices
by Gael M. Martin & Catherine S. Forbes & Vance L. Martin [Downloadable! (restricted)]
463-486 Fractional Invariance Principle
by Yuzo Hosoya [Downloadable! (restricted)]

2005, Volume 26, Issue 2

157-183 A Note on the Specification and Estimation of ARMAX Systems
by D. S. Poskitt [Downloadable! (restricted)]
185-210 Blockwise empirical entropy tests for time series regressions
by Francesco Bravo [Downloadable! (restricted)]
211-249 Asymptotic self-similarity and wavelet estimation for long-range dependent fractional autoregressive integrated moving average time series with stable innovations
by Stilian Stoev & Murad S. Taqqu [Downloadable! (restricted)]
251-278 Local Likelihood for non-parametric ARCH(1) models
by Francesco Audrino [Downloadable! (restricted)]
279-304 Semiparametric Estimation in Time-Series Regression with Long-Range Dependence
by Morten Orregaard Nielsen [Downloadable! (restricted)]
305-317 Assessing Persistence In Discrete Nonstationary Time-Series Models
by B. P. M. McCabe & G. M. Martin & A. R. Tremayne [Downloadable! (restricted)]

2005, Volume 26, Issue 1

1-16 Large sample properties of spectral estimators for a class of stationary nonlinear processes
by Kamal C. Chanda [Downloadable! (restricted)]
17-36 Difference Equations for the Higher Order Moments and Cumulants of the INAR(p) Model
by Maria Eduarda Silva & Vera Lucia Oliveira [Downloadable! (restricted)]
37-48 Estimating the Rank of the Spectral Density Matrix
by Gonzalo Camba-Mendez & George Kapetanios [Downloadable! (restricted)]
49-81 Robust and powerful serial correlation tests with new robust estimates in ARX models
by Pierre Duchesne [Downloadable! (restricted)]
83-105 Testing Non-Correlation and Non-Causality between Multivariate ARMA Time Series
by Marc Hallin & Abdessamad Saidi [Downloadable! (restricted)]
107-121 Outlier Detection And Estimation In NonLinear Time Series
by Francesco Battaglia & Lia Orfei [Downloadable! (restricted)]
123-133 Unit-root testing against the alternative hypothesis of up to m structural breaks
by George Kapetanios [Downloadable! (restricted)]
135-150 Testing for EGARCH Against Stochastic Volatility Models
by Masahito Kobayashi & Xiuhong Shi [Downloadable! (restricted)]

2004, Volume 25, Issue 6

785-809 Reversible Jump Markov Chain Monte Carlo Strategies for Bayesian Model Selection in Autoregressive Processes
by J. Vermaak & C. Andrieu & A. Doucet & S. J. Godsill [Downloadable! (restricted)]
811-830 On The Peña-Box Model
by Yu-Pin Hu & Rouh-Jane Chou [Downloadable! (restricted)]
831-872 Nonparametric Estimation and Testing in Panels of Intercorrelated Time Series
by Vidar Hjellvik & Rong Chen & Dag Tjøstheim [Downloadable! (restricted)]
873-894 Time-scale transformations of discrete time processes
by Oscar Jordà & Massimiliano Marcellino [Downloadable! (restricted)]
895-922 Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility Models
by Mark J. Jensen [Downloadable! (restricted)]
923-941 A Joint Regression Variable and Autoregressive Order Selection Criterion
by Peide Shi & Chih-Ling Tsai [Downloadable! (restricted)]

2004, Volume 25, Issue 5

627-648 An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models
by André Klein & Guy Mélard [Downloadable! (restricted)]
649-669 A Dependence Metric for Possibly Nonlinear Processes
by C. W. Granger & E. Maasoumi & J. Racine [Downloadable! (restricted)]
671-690 Bayesian Subset Model Selection for Time Series
by N. K. Unnikrishnan [Downloadable! (restricted)]
691-700 A joint test of fractional integration and structural breaks at a known period of time
by Luis A. Gil-Alana [Downloadable! (restricted)]
701-722 Analysis of low count time series data by poisson autoregression
by R. K. Freeland & B. P. M. McCabe [Downloadable! (restricted)]
723-732 Maximum quasi-likelihood estimation for the near(2) model
by S. Perera [Downloadable! (restricted)]
733-753 Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra
by Offer Lieberman & Peter C. B. Phillips [Downloadable! (restricted)]
755-764 Behaviour of Dickey-Fuller Unit-Root Tests Under Trend Misspecification
by Tae-Hwan Kim & Stephen Leybourne & Paul Newbold [Downloadable! (restricted)]
765-783 Large sample properties of parameter least squares estimates for time-varying arma models
by Christian Francq & Antony Gautier [Downloadable! (restricted)]

2004, Volume 25, Issue 4

443-448 On the closed form of the covariance matrix and its inverse of the causal ARMA process
by John N. Haddad [Downloadable! (restricted)]
449-465 Bootstrap predictive inference for ARIMA processes
by Lorenzo Pascual & Juan Romo & Esther Ruiz [Downloadable! (restricted)]
467-482 Bayesian selection of threshold autoregressive models
by Edward P. Campbell [Downloadable! (restricted)]
483-499 Estimation and testing for the parameters of ARCH(q) under ordered restriction
by Dehui Wang & Lixin Song & Ningzhong Shi [Downloadable! (restricted)]
501-528 On testing for separable correlations of multivariate time series
by Yasumasa Matsuda & Yoshihiro Yajima [Downloadable! (restricted)]
529-550 Analysis of the correlation structure of square time series
by Wilfredo Palma & Mauricio Zevallos [Downloadable! (restricted)]
551-561 Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time-series models
by Taiyeong Lee & David A. Dickey [Downloadable! (restricted)]
563-582 Kernel deconvolution of stochastic volatility models
by Fabienne Comte [Downloadable! (restricted)]
583-602 Asymptotic mean-squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process
by Tae-Hwan Kim & Stephen J. Leybourne & Paul Newbold [Downloadable! (restricted)]
603-623 Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models
by William R. Bell & Donald E. K. Martin [Downloadable! (restricted)]

2004, Volume 25, Issue 3

317-333 Difference Equations for the Higher-Order Moments and Cumulants of the INAR(1) Model
by MARIA EDUARDA DA SILVA & VERA LÚCIA OLIVEIRA [Downloadable! (restricted)]
335-350 Aggregation of random parameters Ornstein-Uhlenbeck or AR processes: some convergence results
by Georges Oppenheim & Marie-Claude Viano [Downloadable! (restricted)]
351-358 The adjustment of prediction intervals to account for errors in parameter estimation
by Paul Kabaila & Zhisong He [Downloadable! (restricted)]
359-372 Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
by QIN SHAO & ROBERT Lund [Downloadable! (restricted)]
373-395 Goodness-of-fit tests of normality for the innovations in ARMA models
by Gilles R. Ducharme & Pierre Lafaye de Micheaux [Downloadable! (restricted)]
397-407 A Note on the Filtering for Some Time Series Models
by S. Peiris & A. Thavaneswaran [Downloadable! (restricted)]
409-417 Asymmetric adjustment and smooth transitions: a combination of some unit root tests
by Robert Sollis [Downloadable! (restricted)]
419-441 Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing
by P. W. Fong & W. K. Li [Downloadable! (restricted)]

2004, Volume 25, Issue 2

159-172 Some comments on specification tests in nonparametric absolutely regular processes
by Holger Dette & Ingrid Spreckelsen [Downloadable! (restricted)]
173-197 Partial Likelihood Inference For Time Series Following Generalized Linear Models
by Konstantinos Fokianos & Benjamin Kedem [Downloadable! (restricted)]
199-216 Kernel matching scheme for block bootstrap of time series data
by Tae Yoon Kim & Sun Young Hwang [Downloadable! (restricted)]
217-234 Subsampling the mean of heavy-tailed dependent observations
by Piotr Kokoszka & Michael Wolf [Downloadable! (restricted)]
235-250 A class of modified high-order autoregressive models with improved resolution of low-frequency cycles
by Alex S. Morton & Granville Tunnicliffe-Wilson [Downloadable! (restricted)]
251-263 Inference for Autocorrelations in the Possible Presence of a Unit Root
by Dimitris N. Politis & Joseph P. Romano & Michael Wolf [Downloadable! (restricted)]
265-282 On the Autocorrelation Properties of Long-Memory GARCH Processes
by Menelaos Karanasos & Zacharias Psaradakis & Martin Sola [Downloadable! (restricted)]
283-299 M-Estimation for regressions with integrated regressors and arma errors
by Dong Wan Shin & Oesook Lee [Downloadable! (restricted)]
301-313 Assessment of Local Influence in GARCH Processes
by Xibin Zhang [Downloadable! (restricted)]
315-316 Book review
by Terence C. Mills [Downloadable! (restricted)]

2004, Volume 25, Issue 1

1-25 Time Dependence and Moments of a Family of Time-Varying Parameter Garch in Mean Models
by Stelios Arvanitis & Antonis Demos [Downloadable! (restricted)]
27-32 Error Correction Models for Fractionally Cointegrated Time Series
by Ingolf Dittmann [Downloadable! (restricted)]
33-53 Seasonal Unit Root Tests Under Structural Breaks
by Uwe Hassler & Paulo M. M. Rodrigues [Downloadable! (restricted)]
55-81 Estimation of the location and exponent of the spectral singularity of a long memory process
by Javier Hidalgo & Philippe Soulier [Downloadable! (restricted)]
83-101 Improvement of the Likelihood Ratio Test Statistic in ARMA Models
by Bernardo M. Lagos & Pedro A. Morettin [Downloadable! (restricted)]
103-125 The Stationary Marginal Distribution of a Threshold AR(1) Process
by Wilfried Loges [Downloadable! (restricted)]
127-135 A small-sample overlapping variance-ratio test
by Y. K. Tse & K. W. Ng & Xibin Zhang [Downloadable! (restricted)]
137-154 Improved prediction intervals for stochastic process models
by Paolo Vidoni [Downloadable! (restricted)]

2003, Volume 24, Issue 6

631-646 A Bayesian Approach to Event Prediction
by M. Antunes & M. A. Amaral Turkman & K. F. Turkman [Downloadable! (restricted)]
647-662 Rank Based Dickey-Fuller Test Statistics
by Stergios B. Fotopoulos & Sung K. Ahn [Downloadable! (restricted)]
663-678 The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model
by Søren Johansen [Downloadable! (restricted)]
679-703 A Time-Domain Semi-parametric Estimate for Strongly Dependent Continuous-Time Stationary Processes
by Takeshi Kato & Elias Masry [Downloadable! (restricted)]
705-720 Distribution of the estimated lyapunov exponents from noisy chaotic time series
by Dejian Lai & Guanrong Chen [Downloadable! (restricted)]
721-738 Non-Gaussian Filter and Smoother Based on the Pearson Distribution System
by Yuichi Nagahara [Downloadable! (restricted)]
739-754 Multi-variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations
by B. Tarami & M. Pourahmadi [Downloadable! (restricted)]

2003, Volume 24, Issue 5

505-511 Simulating a class of stationary Gaussian processes using the Davies-Harte algorithm, with application to long memory processes
by Peter F. Craigmile [Downloadable! (restricted)]
513-527 Decomposition of Time Series Dynamic Linear Models
by E. J. G Odolphin & S. E. Johnson [Downloadable! (restricted)]
529-538 A Dynamic Factor Model
by Yu-Pin Hu & Rouh-Jane Chou [Downloadable! (restricted)]
539-551 Testing for Linear Trend with Application to Relative Primary Commodity Prices
by Tae-Hwan Kim & Stephan Pfaffenzeller & Tony Rayner & Paul Newbold [Downloadable! (restricted)]
553-577 Tests for non-correlation of two cointegrated ARMA time series
by DINH TUAN PHAM & ROCH ROY & LYNE CÉDRAS [Downloadable! (restricted)]
579-590 Extremes of Some Sub-Sampled Time Series
by M. G. Scotto & K. F. Turkman & C. W. Anderson [Downloadable! (restricted)]
591-612 Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
by A. M. Robert Taylor [Downloadable! (restricted)]
613-629 A note on estimation by least squares for harmonic component models
by A. M. Walker [Downloadable! (restricted)]

2003, Volume 24, Issue 4

379-400 A Sieve Bootstrap For The Test Of A Unit Root
by Yoosoon Chang & Joon Y. Park [Downloadable! (restricted)]
401-422 On Estimating Conditional Mean-Squared Prediction Error in Autoregressive Models
by Ching-Kang Ing & Shu-Hui Yu [Downloadable! (restricted)]
423-439 Reducing size distortions of parametric stationarity tests
by Markku Lanne & Pentti Saikkonen [Downloadable! (restricted)]
441-460 Seasonal Unit Root Tests Based on Forward and Reverse Estimation
by Stephen Leybourne & A. M. Robert Taylor [Downloadable! (restricted)]
461-482 Diagnostic Checking in a Flexible Nonlinear Time Series Model
by Marcelo C. Medeiros & Alvaro Veiga [Downloadable! (restricted)]
483-504 Testing Composite Hypotheses for Locally Stationary Processes
by Kenji Sakiyama & Masanobu Taniguchi [Downloadable! (restricted)]

2003, Volume 24, Issue 3

253-267 Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives
by Andrew P. Blake & George Kapetanios [Downloadable! (restricted)]
269-282 Default Bayesian Priors for Regression Models with First-Order Autoregressive Residuals
by Malay Ghosh & Jungeun Heo [Downloadable! (restricted)]
283-309 First-Order Autoregressive Processes with Heterogeneous Persistence
by Joann Jasiak [Downloadable! (restricted)]
311-335 Testing Serial Correlation in Semiparametric Time Series Models
by Dingding Li & Thanasis Stengos [Downloadable! (restricted)]
337-344 Likelihood analysis of a first-order autoregressive model with exponential innovations
by B. Nielsen & N. Shephard [Downloadable! (restricted)]
345-378 Gaussian Semi-parametric Estimation of Fractional Cointegration
by Carlos Velasco [Downloadable! (restricted)]

2003, Volume 24, Issue 2

127-136 Estimating The Arch Parameters By Solving Linear Equations
by Arup Bose & Kanchan Mukherjee [Downloadable! (restricted)]
137-140 Further Comments On Stationarity Tests In Series With Structural Breaks At Unknown Points
by Fabio Busetti & Andrew Harvey [Downloadable! (restricted)]
141-148 Smoothing With An Unknown Initial Condition
by Piet de Jong & Singfat Chu-Chun-Lin [Downloadable! (restricted)]
149-158 Dynamic State-Space Models
by Wensheng Guo [Downloadable! (restricted)]
159-164 A Note On Busetti-Harvey Tests For Stationarity In Series With Structural Breaks
by David I. Harvey & Terence C. Mills [Downloadable! (restricted)]
165-172 Generalized Least Squares Estimation Of Arma Models
by L. Kavalieris & E. J. Hannan & M. Salau [Downloadable! (restricted)]
173-192 Stationary Tangent: The Discrete And Non-Smooth Case
by U. Keich [Downloadable! (restricted)]
193-220 Searching For Additive Outliers In Nonstationary Time Series
by Pierre Perron & Gabriel RodrÌguez [Downloadable! (restricted)]
221-236 Leave-K-Out Diagnostics In State-Space Models
by Tommaso Proietti [Downloadable! (restricted)]
237-252 On The Determination Of The Number Of Regimes In Markov-Switching Autoregressive Models
by Zacharias Psaradakis & Nicola Spagnolo [Downloadable! (restricted)]

2003, Volume 24, Issue 1

1-23 Optimal sampling for density estimation in continuous time
by D. Blanke & B. Pumo [Downloadable! (restricted)]
25-44 Maximum likelihood estimation in space time bilinear models
by Yuqing Dai & L. Billard [Downloadable! (restricted)]
45-63 On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations
by A. S. Hurn & K. A. Lindsay & V. L. Martin [Downloadable! (restricted)]
65-84 Testing for serial dependence in time series models of counts
by Robert C. Jung & A. R. Tremayne [Downloadable! (restricted)]
85-98 Filtering and smoothing of state vector for diffuse state-space models
by S. J. Koopman & J. Durbin [Downloadable! (restricted)]
99-126 Bootstrapping unit root tests for integrated processes
by Anders Rygh Swensen [Downloadable! (restricted)]

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This page was last updated on 2009-10-26.

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