# Wiley Blackwell

# Journal of Time Series Analysis

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**Current editor:**M.B. Priestley

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### 2015, Volume 36, Issue 2

**127-153 Tests for Volatility Shifts in Garch Against Long-Range Dependence***by*Taewook Lee & Moosup Kim & Changryong Baek**154-188 Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models***by*Morten Ørregaard Nielsen**189-208 Wavelet-Based Tests for Comparing Two Time Series with Unequal Lengths***by*Jonathan Decowski & Linyuan Li**209-227 Signal Extraction for Non-Stationary Multivariate Time Series with Illustrations for Trend Inflation***by*Tucker McElroy & Thomas Trimbur**228-246 Vine Copula Specifications for Stationary Multivariate Markov Chains***by*Brendan K. Beare & Juwon Seo**247-266 A Gaussian Mixture Autoregressive Model for Univariate Time Series***by*Leena Kalliovirta & Mika Meitz & Pentti Saikkonen**267-268 Time Series with Mixed Spectra , by Ta-Hsin Li . Published by CRC Press , 2014 . Total number of pages: 680. ISBN: 978-1-58488-176-6 (hard cover), 978-1-42001-006-0 (ebook)***by*Barry G. Quinn

### 2015, Volume 36, Issue 1

**1-25 Definitions And Representations Of Multivariate Long-Range Dependent Time Series***by*Stefanos Kechagias & Vladas Pipiras**26-38 Hypothesis Testing For Arch Models: A Multiple Quantile Regressions Approach***by*Seonjin Kim**39-60 A Joint Portmanteau Test For Conditional Mean And Variance Time-Series Models***by*Carlos Velasco & Xuexin Wang**61-66 Inference For A Special Bilinear Time-Series Model***by*Shiqing Ling & Liang Peng & Fukang Zhu**67-83 On Weighted Portmanteau Tests For Time-Series Goodness-Of-Fit***by*Colin M. Gallagher & Thomas J. Fisher**84-108 Testing Equality Of Means When The Observations Are From Functional Time Series***by*Lajos Horváth & Gregory Rice**109-124 On Self-Normalization For Censored Dependent Data***by*Yinxiao Huang & Stanislav Volgushev & Xiaofeng Shao**125-125 DISCRETE TIME SERIES, PROCESSES, AND APPLICATIONS IN FINANCE, by Gilles Zumbach. Springer Finance Series. Published by Springer, Heidelberg, Berlin, 2013. Total number of pages: 315. ISBN: 978-3-642-31741-5***by*Brendan McCabe

### 2014, Volume 35, Issue 6

**491-516 Efficient Method Of Moments Estimators For Integer Time Series Models***by*Vance L. Martin & Andrew R. Tremayne & Robert C. Jung**517-535 Robust Fitting Of Inarch Models***by*Hanan Elsaied & Roland Fried**536-557 A simple example of an indirect estimator with discontinuous limit theory in the MA(1) model***by*Stelios Arvanitis**558-571 Time-series models with an EGB2 conditional distribution***by*Michele Caivano & Andrew Harvey**572-591 Non-Parametric Estimation Of High-Frequency Spot Volatility For Brownian Semimartingale With Jumps***by*Chao Yu & Yue Fang & Zeng Li & Bo Zhang & Xujie Zhao**592-623 Norming Rates And Limit Theory For Some Time-Varying Coefficient Autoregressions***by*Offer Lieberman & Peter C. B. Phillips**624-639 Analysis Of The Likelihood Function For Markov-Switching Var(Ch) Models***by*Maddalena Cavicchioli**640-641 Randall Douc , Eric Moulines and David S. Stoffer ( 2014 ) Nonlinear Time Series—Theory, Methods and Applications with R Examples . CRC Press , UK (A Chapman & Hall Book). Texts in Statistical Science. ISBN: 978-1-4665-0225-3 pages 531***by*T Subba Rao

### 2014, Volume 35, Issue 5

**393-406 Iv-Based Cointegration Testing In Dependent Panels With Time-Varying Variance***by*Matei Demetrescu & Christoph Hanck & Adina I. Tarcolea**407-427 Efficient Non-Parametric Estimation Of The Spectral Density In The Presence Of Missing Observations***by*Sam Efromovich**428-436 A Fast Fractional Difference Algorithm***by*Andreas Noack Jensen & Morten Ørregaard Nielsen**437-461 Semi-Parametric Estimation Of Linear Cointegrating Models With Nonlinear Contemporaneous Endogeneity***by*Yiguo Sun**462-477 A Parameter-Driven Logit Regression Model For Binary Time Series***by*Rongning Wu & Yunwei Cui**478-490 Significant Variable Selection And Autoregressive Order Determination For Time-Series Partially Linear Models***by*Degao Li & Guodong Li & Jinhong You

### 2014, Volume 35, Issue 4

**299-321 A Hybrid Bootstrap Approach To Unit Root Tests***by*Guodong Li & Chenlei Leng & Chih-Ling Tsai**322-340 Quantile Periodogram And Time-Dependent Variance***by*Ta-Hsin Li**341-356 Modelling For The Wavelet Coefficients Of Arfima Processes***by*Kei Nanamiya**357-377 A Frequency Domain Approach For The Estimation Of Parameters Of Spatio-Temporal Stationary Random Processes***by*Tata Subba Rao & Sourav Das & Georgi N. Boshnakov**378-389 Efficient Estimation For Periodic Autoregressive Coefficients Via Residuals***by*L. Tang & Q. Shao**390-392 LONG-MEMORY PROCESSES: PROBABILISTIC PROPERTIES AND STATISTICAL METHODS , by Jan Beran , Yuanhua Feng , Sucharita Ghosh , and Rafal Kulik . Published by Springer London , 2013 . Total number of pages: 884. ISBN: 978-3-642-35511-0 (print), 978-3-642-35512-7 (online)***by*GY Terdik

### 2014, Volume 35, Issue 3

**189-202 Non-Stationarity And Quasi-Maximum Likelihood Estimation On A Double Autoregressive Model***by*Min Chen & Dong Li & Shiqing Ling**203-217 Portmanteau Autocorrelation Tests Under Q-Dependence And Heteroskedasticity***by*David Harris & Hsein Kew**218-238 Transformed Polynomials For Nonlinear Autoregressive Models Of The Conditional Mean***by*Francisco Blasques**239-261 On-Line Monitoring Of Pollution Concentrations With Autoregressive Moving Average Time Series***by*Christopher Dienes & Alexander Aue**262-281 Estimation Of Autocovariance Matrices For Infinite Dimensional Vector Linear Process***by*Monika Bhattacharjee & Arup Bose**282-297 Unified Interval Estimation For Random Coefficient Autoregressive Models***by*Jonathan Hill & Liang Peng

### 2014, Volume 35, Issue 2

**79-88 A Flexible State Space Model And Its Applications***by*Hang Qian**89-114 A Generalized Block Bootstrap For Seasonal Time Series***by*Anna E. Dudek & Jacek Leśkow & Efstathios Paparoditis & Dimitris N. Politis**115-132 Binomial Autoregressive Processes With Density-Dependent Thinning***by*Christian H. Weiß & Philip K. Pollett**133-150 Asymptotic Inferences For An Ar(1) Model With A Change Point: Stationary And Nearly Non-Stationary Cases***by*Tianxiao Pang & Danna Zhang & Terence Tai-Leung Chong**151-172 Studentizing Weighted Sums Of Linear Processes***by*Violetta Dalla & Liudas Giraitis & Hira L. Koul**173-186 Determining The Number Of Regimes In Markov Switching Var And Vma Models***by*Maddalena Cavicchioli**187-188 Dynamic Models For Volatility And Heavy Tails: With Applications To Financial And Economic Time Series, By A. C. Harvey. Published By Cambridge University Press, 2013 New York, Usa. Total Number Of Pages: 261. Price: $36.99. Isbn: 978-1-107-63002-4***by*Alastair R. Hall

### 2014, Volume 35, Issue 1

**1-3 Obituary***by*T. Subba Rao & Granville Tunnicliffe-Wilsont**4-15 Non-Parametric Estimation Under Strong Dependence***by*Zhibiao Zhao & Yiyun Zhang & Runze Li**16-39 Contemporaneous Aggregation Of Triangular Array Of Random-Coefficient Ar(1) Processes***by*Anne Philippe & Donata Puplinskaite & Donatas Surgailis**40-54 A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION***by*Fabrizio Iacone & Stephen J. Leybourne & A. M. Robert Taylor**55-78 Quasi-Likelihood Inference For Negative Binomial Time Series Models***by*Vasiliki Christou & Konstantinos Fokianos

### 2013, Volume 34, Issue 6

**605-605 Editorial Announcement***by*Robert Taylor**606-624 On Mixture Memory Garch Models***by*Muyi Li & Wai Keung Li & Guodong Li**625-645 A Non-Gaussian Family Of State-Space Models With Exact Marginal Likelihood***by*Dani Gamerman & Thiago Rezende Santos & Glaura C. Franco**646-667 Bootstrap For Random Coefficient Autoregressive Models***by*Thorsten Fink & Jens-Peter Kreiss**668-690 Two-Step Estimation Of A Multi-Variate Lévy Process***by*Habib Esmaeili & Claudia Klüppelberg**691-716 Frequency domain generalized empirical likelihood method***by*Yoshihide Kakizawa**717-743 Multivariate Limit Theorems In The Context Of Long-Range Dependence***by*Shuyang Bai & Murad S. Taqqu**744-744 Bayesian theory and applications , by Paul Damien , Petros Dellaportas , Nicholas G. Polson and David A. Stephens (eds). Published by Oxford University Press , 2013 . Total number of pages: xiii+702. ISBN 9780199695607***by*Peter Neal**745-746 Time series modeling of neuroscience data , by Tohru Ozaki , published by CRC Press , 2012 . Total number of pages: 548. Price: US $71.46. ISBN 978-1-4200-9460-2***by*Hernando Ombao

### 2013, Volume 34, Issue 5

**517-531 Estimation of stationary autoregressive models with the Bayesian LASSO***by*Daniel F. Schmidt & Enes Makalic**532-551 Spectral estimates for high-frequency sampled continuous-time autoregressive moving average processes***by*Vicky Fasen & Florian Fuchs**552-561 Continuous-time autoregressive moving average processes in discrete time: representation and embeddability***by*Michael A. Thornton & Marcus J. Chambers**562-573 Effect of temporal aggregation on multiple time series in the frequency domain***by*Uwe Hassler**574-590 Transformation to approximate independence for locally stationary Gaussian processes***by*Joseph Guinness & Michael L. Stein**591-601 Regulated fractionally integrated processes***by*Mirza Trokić**602-603 Domenico Marinucci and Giovanni Peccati , Random Fields on the Sphere: Representation, Limit Theorems and Cosmological Applications London Mathematical Society Lecture Notes Series 389 . Published by the Cambridge University Press , Cambridge , 2011 . Number of pages: 341 . Price £40.00, ISBN 978-0-521-17561-6***by*Nikolai Leonenko

### 2013, Volume 34, Issue 4

**423-446 Inference for single and multiple change-points in time series***by*Venkata Jandhyala & Stergios Fotopoulos & Ian MacNeill & Pengyu Liu**447-453 Gaussian inference in general AR(1) models based on difference***by*Jhih-Gang Chen & Biing-Shen Kuo**454-465 A bootstrap test for additive outliers in non-stationary time series***by*Sam Astill & David I. Harvey & A. M. Robert Taylor**466-476 A geometric time series model with dependent Bernoulli counting series***by*Miroslav M. Ristić & Aleksandar S. Nastić & Ana V. Miletić Ilić**477-495 A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending***by*Joakim Westerlund**496-507 Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications***by*Pierre Duchesne & Pierre Lafaye de Micheaux**508-516 Inference for non-stationary time-series autoregression***by*Zhou Zhou

### 2013, Volume 34, Issue 3

**285-301 Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends***by*Adam McCloskey**302-314 Robust estimation for copula Parameter in SCOMDY models***by*Byungsoo Kim & Sangyeol Lee**315-329 Score statistics for testing serial dependence in count data***by*Jiajing Sun & Brendan P. McCabe**330-344 A class of optimal tests for contemporaneous non-causality in VAR models***by*Maria Caterina Bramati**345-361 Nonparametric regression with rescaled time series errors***by*José E. Figueroa-López & Michael Levine**362-367 A note on non-parametric testing for Gaussian innovations in AR–ARCH models***by*Natalie Neumeyer & Leonie Selk**368-384 Unit root testing with stationary covariates and a structural break in the trend function***by*Sebastian Fossati**385-404 High-frequency sampling and kernel estimation for continuous-time moving average processes***by*Peter J. Brockwell & Vincenzo Ferrazzano & Claudia Klüppelberg**405-421 Modelling long-run trends and cycles in financial time series data***by*Guglielmo Maria Caporale & Juncal Cuñado & Luis A. Gil-Alana**422-422 STATISTICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS . Edited by, Mathieu Kessler , Alexander Lindner and Michael Sørensen . Publishers CRC Press, Taylor & Francis Group . London , ISBN 978-1-4398-4940-8 . 483 pages***by*Tusheng Zhang

### 2013, Volume 34, Issue 2

**139-140 Editorial***by*Robert Taylor**141-155 Moment tests for window length selection in singular spectrum analysis of short– and long–memory processes***by*Md Atikur Rahman Khan & D. S. Poskitt**156-167 Integration of CARMA processes and spot volatility modelling***by*Peter Brockwell & Alexander Lindner**168-186 Least tail-trimmed squares for infinite variance autoregressions***by*Jonathan B. Hill**187-193 Forecasting with prediction intervals for periodic autoregressive moving average models***by*Paul L. Anderson & Mark M. Meerschaert & Kai Zhang**194-205 Estimation of vector error correction models with mixed-frequency data***by*Byeongchan Seong & Sung K. Ahn & Peter A. Zadrozny**206-220 On composite likelihood estimation of a multivariate INAR(1) model***by*Xanthi Pedeli & Dimitris Karlis**221-229 CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns***by*Dominik Wied**230-237 A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach***by*Ke. Zhu**238-261 Weak identification in the ESTAR model and a new model***by*Florian Heinen & Stefanie Michael & Philipp Sibbertsen**262-279 Empirical determination of the frequencies of an almost periodic time series***by*D. Dehay & H. L. Hurd**280-280 Spatial statistics and spatio-temporal data***by*T Subba Rao**281-281 Climate Time Series Analysis: Classical Statistical and Bootstrap Methods***by*Andrew C. Parnell**282-283 Economic Time Series: Modeling and Seasonality***by*Alastair R. Hall

### 2013, Volume 34, Issue 1

**1-16 Structural breaks in time series***by*Alexander Aue & Lajos Horváth**17-29 Testing for parameter constancy in non-Gaussian time series***by*Lu Han & Brendan McCabe**30-39 Optimal convergence rates in non-parametric regression with fractional time series errors***by*Yuanhua Feng & Jan Beran**40-61 The power of unit root tests against nonlinear local alternatives***by*Matei Demetrescu & Robinson Kruse**62-82 Recursive adjustment, unit root tests and structural breaks***by*Paulo M. M. Rodrigues**83-95 Combining non-cointegration tests***by*Christian Bayer & Christoph Hanck**96-115 Estimation for non-negative time series with heavy-tail innovations***by*A. Bartlett & W. P. McCormick**116-129 Determining the order of the functional autoregressive model***by*Piotr Kokoszka & Matthew Reimherr**130-137 Rate of convergence in the central limit theorem for parameter estimation in a causal, invertible ARMA(p, q) model***by*Sugata Sen Roy & Sankha Bhattacharya**138-138 Book Review***by*Plotr S. Kokoszka

### 2012, Volume 33, Issue 6

**863-872 Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors***by*Naoya Katayama**873-879 A note on moving-average models with feedback***by*Dong Li**880-891 Least squares estimation of ARCH models with missing observations***by*Pascal Bondon & Natalia Bahamonde**892-902 A Family of Markov-Switching Garch Processes***by*Ji-Chun Liu**903-915 A mixed INAR(p) model***by*Miroslav M. Ristić & Aleksandar S. Nastić**916-934 Non-stationary autoregressive processes with infinite variance***by*Ngai Hang Chan & Rongmao Zhang**935-953 Subsampling inference for the autocovariances and autocorrelations of long-memory heavy- tailed linear time series***by*Tucker McElroy & Agnieszka Jach**954-963 First-order integer valued AR processes with zero inflated poisson innovations***by*Mansour Aghababaei Jazi & Geoff Jones & Chin-Diew Lai**964-964 Book Review***by*K. F. Turkman

### 2012, Volume 33, Issue 5

**701-703 Editorial: Special issue on time series analysis in the biological sciences***by*David S. Stoffer & Hernando Ombao**704-717 Autocovariance structures for radial averages in small-angle X-ray scattering experiments***by*F. Jay Breidt & Andreea Erciulescu & Mark van der Woerd**718-723 The Nicholson blowfly experiments: some history and EDA***by*David R. Brillinger**724-743 Statistical challenges in microrheology***by*Gustavo Didier & Scott A. McKinley & David B. Hill & John Fricks**744-756 Biological applications of time series frequency domain clustering***by*Konstantinos Fokianos & Vasilis J. Promponas**757-770 Changepoints in times series of counts***by*Jürgen Franke & Claudia Kirch & Joseph Tadjuidje Kamgaing**771-778 Exploring dependence between brain signals in a monkey during learning***by*Cristina Gorrostieta & Hernando Ombao & Raquel Prado & Shaun Patel & Emad Eskandar**779-796 Modelling the nonlinear time dynamics of multidimensional hormonal systems***by*Daniel M. Keenan & Xin Wang & Steven M. Pincus & Johannes D. Veldhuis**797-806 Enveloping spectral surfaces: covariate dependent spectral analysis of categorical time series***by*Robert T. Krafty & Shuangyan Xiong & David S. Stoffer & Daniel J. Buysse & Martica Hall**807-823 Quantifying the uncertainty in change points***by*Christopher F. H. Nam & John A. D. Aston & Adam M. Johansen**824-840 A test for independence between a point process and an analogue signal***by*Victor Solo & Ahmed Pasha**841-849 A state space model approach for HIV infection dynamics***by*Jiabin Wang & Hua Liang & Rong Chen**850-862 Spectral-based non-central F mixed effect models, with application to otoacoustic emissions***by*Lai Wei & Peter F. Craigmile & Wayne M. King

### 2012, Volume 33, Issue 4

**533-541 Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)***by*Ryota Yabe**542-553 Maximum likelihood estimation for nearly non-stationary stable autoregressive processes***by*Rong-Mao Zhang & Ngai Hang Chan**554-569 Change point detection in copula ARMA–GARCH Models***by*Okyoung Na & Jiyeon Lee & Sangyeol Lee**570-582 Strictly stationary solutions of ARMA equations with fractional noise***by*Bernd Vollenbröker**583-607 Extreme value analysis of optimal level-crossing prediction for linear Gaussian processes***by*Rodney A. Martin**608-619 Time-series clustering via quasi U-statistics***by*Marcio Valk & Aluísio Pinheiro**620-630 Non-parametric smoothing and prediction for nonlinear circular time series***by*Macro Di Marzio & Agnese Panzera & Charles C. Taylor**631-648 Change-point detection in panel data***by*Lajos Horváth & Marie Hušková**649-664 Likelihood inference for discriminating between long-memory and change-point models***by*Chun Yip Yau & Richard A. Davis**665-683 Inference about long run canonical correlations***by*Prosper Dovonon & Alastair R. Hall & Kalidas Jana**684-698 A new Bayesian approach to quantile autoregressive time series model estimation and forecasting***by*Yuzhi Cai & Julian Stander & Neville Davies**699-700 Statistics for Spatio-Temporal Data***by*T. Subba Rao

### 2012, Volume 33, Issue 3

**365-385 Testing for parameter stability in nonlinear autoregressive models***by*Claudia Kirch & Joseph Tadjuidje Kamgaing**386-397 Nonlinear spectral density estimation: thresholding the correlogram***by*Efstathios Paparoditis & Dimitris N. Politis**398-405 Periodic autoregressive model identification using genetic algorithms***by*Eugen Ursu & Kamil Feridun Turkman**406-423 On robust tail index estimation for linear long‐memory processes***by*Jan Beran & Bikramjit Das & Dieter Schell**424-437 Non‐parametric testing for seasonally and periodically integrated processes***by*Tomás del Barrio Castro & Denise R. Osborn**438-457 Measuring nonlinear dependence in time‐series, a distance correlation approach***by*Zhou Zhou**458-467 Estimation of regression and dynamic dependence paremeters for non‐stationary multinomial time series***by*J. C. Loredo‐Osti & Brajendra C. Sutradhar**468-483 Conditional variance estimation in regression models with long memory***by*Rafal Kulik & Cornelia Wichelhaus**484-502 A similarity‐based approach to time‐varying coefficient non‐stationary autoregression***by*Offer Lieberman**503-518 Testing for parameter constancy in general causal time‐series models***by*William Charky Kengne**519-529 Weak convergence to a modified fractional Brownian motion***by*Javier Hualde**530-531 The Oxford Handbook of Economic Forecasts***by*Alastair R. Hall

### 2012, Volume 33, Issue 2

**177-192 A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes***by*Carsten Jentsch**193-210 Fast continuous‐discrete DAF‐filters***by*Thomas Mazzoni**211-222 Improved multivariate portmanteau test***by*Esam Mahdi & A. Ian McLeod**223-232 Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model***by*Ke Zhu & Shiqing Ling**233-254 The autodependogram: a graphical device to investigate serial dependences***by*Luca Bagnato & Antonio Punzo & Orietta Nicolis**255-268 Overlapped grouping periodogram test for detecting multiple hidden periodicities in mixed spectra***by*Qiuzi H. Wen & Augustine Wong & Xiaolan L. Wang**269-275 Empirical likelihood in long‐memory time series models***by*Chun Yip Yau**276-286 A note on mean squared prediction error under the unit root model with deterministic trend***by*Shu‐Hui Yu & Chien‐Chih Lin & Hung‐Wen Cheng**287-297 Generalized information criterion***by*Masanobu Taniguchi & Junichi Hirukawa**298-303 On robust spectral analysis by least absolute deviations***by*Ta‐Hsin Li**304-311 A single series representation of multiple independent ARMA processes***by*Ross S. Bowden & Brenton R. Clarke**312-324 A refined efficiency rate for ordinary least squares and generalized least squares estimators for a linear trend with autoregressive errors***by*Jaechoul Lee & Robert Lund**325-339 The restricted likelihood ratio test for autoregressive processes***by*Willa W. Chen & Rohit S. Deo**340-363 The averaged periodogram estimator for a power law in coherency***by*Rebecca J. Sela & Clifford M. Hurvich

### 2012, Volume 33, Issue 1

**1-12 Limit theorems for the discount sums of moving averages***by*Ba Chu**13-31 Frequency and phase estimation in time series with quasi periodic components***by*Konstantinos Paraschakis & Rainer Dahlhaus**32-47 Unit root bootstrap tests under infinite variance***by*Marta Moreno & Juan Romo**48-60 Multi‐variate stochastic volatility modelling using Wishart autoregressive processes***by*K. Triantafyllopoulos**61-80 Efficient estimation and particle filter for max‐stable processes***by*Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang**81-95 Weighted scatter estimation method of the GO‐GARCH models***by*Lingyu Zheng & William W. S. Wei**96-111 Subsampling inference for the mean of heavy‐tailed long‐memory time series***by*Agnieszka Jach & Tucker McElroy & Dimitris N. Politis**112-120 Maximum entropy models for general lag patterns***by*Georgi N. Boshnakov & Bisher M. Iqelan**121-130 Selection of weak VARMA models by modified Akaike's information criteria***by*Y. Boubacar Maïnassara**131-151 Statistical tests for a single change in mean against long‐range dependence***by*Changryong Baek & Vladas Pipiras**152-160 High‐frequency sampling of a continuous‐time ARMA process***by*Peter J. Brockwell & Vincenzo Ferrazzano & Claudia Klüppelberg**161-174 Limit theory for a general class of GARCH models with just barely infinite variance***by*Rong‐Mao Zhang & Zheng‐Yan Lin**175-175 Non–Parametric Econometrics***by*Piotr S. Kokoszka**176-176 Statistical Methods for Trend Detection and Analysis in the Environmental Sciences***by*Tata Subba Rao

### 2011, Volume 32, Issue 6

**587-597 Autoregressive coefficient estimation in nonparametric analysis***by*Q. Shao & L. J. Yang**598-606 A simple test of changes in mean in the possible presence of long‐range dependence***by*Xiaofeng Shao**607-617 Dynamic spatial Bayesian models for radioactivity deposition***by*Swarup De & Álvaro E. Faria**618-630 Akaike’s information criterion correction for the least‐squares autoregressive spectral estimator***by*Evangelos E. Ioannidis**631-638 Testing unit roots and long range dependence of foreign exchange***by*Zhiping Lu & Dominique Guegan**639-646 On the autopersistence functions and the autopersistence graphs of binary autoregressive time series***by*Chao Wang & Wai Keung Li**647-660 Testing for co‐integration and nonlinear adjustment in a smooth transition error correction model***by*Rehim Kılıç**661-671 Temporal Aggregation of Lognormal AR processes***by*Esther Salazar & Marco A. R. Ferreira**672-679 Local power of likelihood‐based tests for cointegrating rank: Comparative analysis of full and partial systems***by*Takamitsu Kurita**680-698 Improved generalized method of moments estimators for weakly dependent observations***by*Francesco Bravo**699-723 Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models***by*Christian Francq & Roch Roy & Abdessamad Saidi

### 2011, Volume 32, Issue 5

**447-461 Testing non‐parametric hypotheses for stationary processes by estimating minimal distances***by*Holger Dette & Tatjana Kinsvater & Mathias Vetter**462-468 Forecasting linear dynamical systems using subspace methods***by*Alfredo García‐Hiernaux**469-481 Robust estimation for the covariance matrix of multi‐variate time series***by*Byungsoo Kim & Sangyeol Lee**482-497 Stability conditions for heteroscedastic factor models with conditionally autoregressive betas***by*George A Christodoulakis & Stephen E Satchell**498-511 Mean shift testing in correlated data***by*Michael Robbins & Colin Gallagher & Robert Lund & Alexander Aue