## Content

### November 2018, Volume 39, Issue 6

**813-813 Editorial Announcement***by*Robert Taylor**814-815 Special Issue of the Journal of Time Series Analysis In Honour of Professor Paul Newbold: Guest Editors' Introduction***by*Stephen Leybourne & Robert Taylor**816-835 Unit Root Testing with Unstable Volatility***by*Brendan K. Beare**836-849 Testing the CVAR in the Fractional CVAR Model***by*Søren Johansen & Morten Ørregaard Nielsen**850-862 Confidence Sets for the Date of a Structural Change at the End of a Sample***by*Eiji Kurozumi**863-891 Real‐Time Monitoring for Explosive Financial Bubbles***by*Sam Astill & David I. Harvey & Stephen J. Leybourne & Robert Sollis & A. M. Robert Taylor**892-908 Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity***by*Stelios Arvanitis & Tassos Magdalinos**909-919 Modeling the Interactions between Volatility and Returns using EGARCH‐M***by*Andrew Harvey & Rutger‐Jan Lange**920-941 The Fixed Volatility Bootstrap for a Class of Arch(q) Models***by*Giuseppe Cavaliere & Rasmus Søndergaard Pedersen & Anders Rahbek**942-952 Unit Root Testing in Multiple Smooth Break Models with Nonlinear Dynamics***by*Rickard Sandberg**953-965 On the Comparison of Interval Forecasts***by*Ross Askanazi & Francis X. Diebold & Frank Schorfheide & Minchul Shin**966-987 Change Detection and the Causal Impact of the Yield Curve***by*Shuping Shi & Peter C. B. Phillips & Stan Hurn

### September 2018, Volume 39, Issue 5

**639-639 Editorial, September 2018***by*Robert Taylor**640-640 Tata Subba Rao, 1942–2018***by*Granville Tunnicliffe Wilson**641-664 Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions***by*Stefan Bruder & Michael Wolf**665-689 Detecting Tail Risk Differences in Multivariate Time Series***by*Yannick Hoga**690-708 Prediction Interval for Autoregressive Time Series via Oracally Efficient Estimation of Multi‐Step‐Ahead Innovation Distribution Function***by*Juanjuan Kong & Lijie Gu & Lijian Yang**709-730 Tests for Comparing Time‐Invariant and Time‐Varying Spectra Based on the Pearson Statistic***by*Shibin Zhang & Xin M. Tu**731-747 Testing Separability of Functional Time Series***by*Panayiotis Constantinou & Piotr Kokoszka & Matthew Reimherr**748-762 A Time‐Symmetric Self‐Normalization Approach for Inference of Time Series***by*Liliya Lavitas & Ting Zhang**763-786 Change‐Point Detection in Autoregressive Models with no Moment Assumptions***by*Fumiya Akashi & Holger Dette & Yan Liu**787-809 Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation***by*Stefano M. Iacus & Lorenzo Mercuri & Edit Rroji

### July 2018, Volume 39, Issue 4

**471-487 Testing Normality of Functional Time Series***by*Tomasz GÃ³recki & Siegfried HÃ¶rmann & Lajos HorvÃ¡th & Piotr Kokoszka**488-501 A Powerful Test for Changing Trends in Time Series Models***by*Jilin Wu & Zhijie Xiao**502-522 Principal Components Analysis of Periodically Correlated Functional Time Series***by*Å ukasz KidziÅ„ski & Piotr Kokoszka & Neda Mohammadi Jouzdani**523-562 Boundary Limit Theory for Functional Local to Unity Regression***by*Anna Bykhovskaya & Peter C. B. Phillips**563-591 Kernel Entropy Estimation for Linear Processes***by*Hailin Sang & Yongli Sang & Fangjun Xu**592-617 On Local Trigonometric Regression Under Dependence***by*Jan Beran & Britta Steffens & Sucharita Ghosh**618-633 A Frequencyâ€ Domain Test to Check Equality in Spectral Densities of Multiple Time Series With Unequal Lengths***by*Lei Jin**634-635 Statistical Intervals: A Guide for Practitioners and Researchers, Second Edition, by William Q. Meeker, Gerald J. Hahn, and Louis A. Escobar. Wiley Series in Probability and Statistics, Published by John Wiley & Sons, 2017. Total number of pages: 35+592. ISBN: 978â€ 0â€ 4716â€ 8717â€ 7***by*Maria AntÃ³nia Amaral Turkman

### May 2018, Volume 39, Issue 3

**241-241 Editorial***by*Soumendra N. Lahiri & Dimitris N. Politis & Peter M. Robinson**242-250 On Wignerâ€“Ville Spectra and the Uniqueness of Timeâ€ Varying Copulaâ€ Based Spectral Densities***by*Stefan Birr & Holger Dette & Marc Hallin & Tobias Kley & Stanislav Volgushev**251-272 Semiâ€ Parametric Estimation for Nonâ€ Gaussian Nonâ€ Minimum Phase ARMA Models***by*Richard A. Davis & Jing Zhang**273-298 Asymptotic Distributions of Some Scale Estimators in Nonlinear Models With Long Memory Errors Having Infinite Variance***by*Hira L. Koul & Donatas Surgailis**299-312 Recursive Computation for Blockâ€ Nested Covariance Matrices***by*Tucker McElroy**313-337 Orthogonal Samples for Estimators in Time Series***by*Suhasini Subba Rao**338-355 Stationary subspace analysis of nonstationary processes***by*Raanju Ragavendar Sundararajan & Mohsen Pourahmadi**356-379 Extending the Range of Validity of the Autoregressive (Sieve) Bootstrap***by*Maria Fragkeskou & Efstathios Paparoditis**380-401 Nonâ€ Parametric Spectral Density Estimation Under Longâ€ Range Dependence***by*Young Min Kim & Soumendra N. Lahiri & Daniel J. Nordman**402-416 Asymptotic Theory of Test Statistic for Sphericity of Highâ€ Dimensional Time Series***by*Yan Liu & Yurie Tamura & Masanobu Taniguchi**417-432 Robust Regression on Stationary Time Series: A Selfâ€ Normalized Resampling Approach***by*Fumiya Akashi & Shuyang Bai & Murad S. Taqqu**433-446 Estimating MA Parameters through Factorization of the Autocovariance Matrix and an MAâ€ Sieve Bootstrap***by*Timothy L. McMurry & Dimitris N. Politis**447-467 Interval Estimation for a Firstâ€ Order Positive Autoregressive Process***by*Weiâ€ Cheng Hsiao & Haoâ€ Yun Huang & Chingâ€ Kang Ing

### March 2018, Volume 39, Issue 2

**111-128 Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series Mâ€ Estimators***by*Francesco Audrino & Lorenzo Camponovo**129-149 Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models***by*Liudas Giraitis & George Kapetanios & Tony Yates**150-171 Integerâ€ Valued Autoregressive Models With Survival Probability Driven By A Stochastic Recurrence Equation***by*Paolo Gorgi**172-191 The Inverse Kullbackâ€“Leibler Method for Fitting Vector Moving Averages***by*Tucker McElroy & Anindya Roy**192-211 Negative Binomial Quasiâ€ Likelihood Inference for General Integerâ€ Valued Time Series Models***by*Abdelhakim Aknouche & Sara Bendjeddou & Nassim Touche**212-238 Squareâ€ Root LASSO for Highâ€ Dimensional Sparse Linear Systems with Weakly Dependent Errors***by*Fang Xie & Zhijie Xiao

### January 2018, Volume 39, Issue 1

**3-3 Editorial, January 2018***by*Robert Taylor**4-27 Tests for the Equality of Two Processes' Spectral Densities with Unequal Lengths Using Wavelet Methods***by*Linyuan Li & Kewei Lu**28-53 Block Bootstrap for the Empirical Process of Longâ€ Range Dependent Data***by*Johannes Tewes**54-74 A Simple Test for White Noise in Functional Time Series***by*Pramita Bagchi & Vaidotas Characiejus & Holger Dette**75-89 Fourier Analysis of Serial Dependence Measures***by*Ria Van Hecke & Stanislav Volgushev & Holger Dette**90-104 Robust Wilcoxonâ€ Type Estimation of Changeâ€ Point Location Under Shortâ€ Range Dependence***by*Carina Gerstenberger**105-106 Hidden Markov Models for Time Series: An Introduction Using R, 2nd Edition, by Walter Zucchini, Iain L. Macdonald, and Roland Langrock. Monographs on Statistics and Applied Probability 150, Published by CRC Press, 2016. Total number of pages: 28+370. ISBN: 978â€ 1â€ 4822â€ 5383â€ 2 (Hardback)***by*Zudi Lu**107-107 Applied Time Series Analysis With R, Second Edition by Wayne A. Woodward, Henry L. Gray, and Alan C. Elliott (eds). Published by CRC Press, 2017. Total number of pages: 618. ISBN: 9781498734226***by*Rebecca Killick

### November 2017, Volume 38, Issue 6

**809-837 A Robbins–Monro Algorithm for Non-Parametric Estimation of NAR Process with Markov Switching: Consistency***by*Lisandro Javier Fermin & Ricardo Rios & Luis Angel Rodriguez**838-864 Parametric Spectral Discrimination***by*Andrew J. Grant & Barry G. Quinn**865-879 On Asymptotic Theory for ARCH (∞) Models***by*Christian M. Hafner & Arie Preminger**880-894 Testing Parameter Change in General Integer-Valued Time Series***by*Mamadou Lamine Diop & William Kengne**895-922 Moving Fourier Analysis for Locally Stationary Processes with the Bootstrap in View***by*Franziska Häfner & Claudia Kirch**923-935 Penalised Complexity Priors for Stationary Autoregressive Processes***by*Sigrunn Holbek Sørbye & Håvard Rue**936-959 A New Covariance Function and Spatio-Temporal Prediction (Kriging) for A Stationary Spatio-Temporal Random Process***by*T. Subba Rao & Gyorgy Terdik**960-980 Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis***by*Martin Wagner & Dominik Wied**981-999 A Model-Adaptive Test for Parametric Single-Index Time Series Models***by*Qiang Xia & Kejun He & Cuizhen Niu**1000-1009 Sample Moments and Weak Convergence to Multivariate Stochastic Power Integrals***by*Rickard Sandberg**1010-1027 Cointegrated Linear Processes in Hilbert Space***by*Brendan K. Beare & Juwon Seo & Won-Ki Seo**1028-1052 Multi-Scale Detection of Variance Changes in Renewal Processes in the Presence of Rate Change Points***by*Stefan Albert & Michael Messer & Julia Schiemann & Jochen Roeper & Gaby Schneider

### September 2017, Volume 38, Issue 5

**637-638 Issue Information***by*Pierre Perron & Eduardo Zorita**639-639 Time Series Methods Applied to Climate Change***by*Pierre Perron & Eduardo Zorita & Pierre Perron & Eduardo Zorita**640-667 Estimation and Inference of Linear Trend Slope Ratios With an Application to Global Temperature Data***by*Pierre Perron & Eduardo Zorita & Timothy J. Vogelsang & Nasreen Nawaz**668-710 Analysis of Non-Stationary Modulated Time Series with Applications to Oceanographic Surface Flow Measurements***by*Pierre Perron & Eduardo Zorita & Arthur P. Guillaumin & Adam M. Sykulski & Sofia C. Olhede & Jeffrey J. Early & Jonathan M. Lilly**711-732 Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures***by*Pierre Perron & Eduardo Zorita & Francisco Estrada & Pierre Perron**733-768 Unit Root Tests and Heavy-Tailed Innovations***by*Pierre Perron & Eduardo Zorita & Iliyan Georgiev & Paulo M. M. Rodrigues & A. M. Robert Taylor**769-790 Drift in Transaction-Level Asset Price Models***by*Pierre Perron & Eduardo Zorita & Wen Cao & Clifford Hurvich & Philippe Soulier**791-805 Monitoring Parameter Constancy with Endogenous Regressors***by*Pierre Perron & Eduardo Zorita & Eiji Kurozumi**806-806 State–Space Methods for Time Series Analysis: Theory, Applications and Software, by Jose Casals, Alfredo Garcia-Hiernaux, Miguel Jerez, Sonia Sotoca, and A. Alexandre Trindade. Published by CRC Press, 2016. Total number of pages: 270. ISBN: 9781482219593***by*Pierre Perron & Eduardo Zorita & Mohsen Pourahmadi

### July 2017, Volume 38, Issue 4

**513-534 On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space***by*Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek**535-551 QMLE for Quadratic ARCH Model with Long Memory***by*Ieva Grublytė & Donatas Surgailis & Andrius Škarnulis**552-590 Detecting at-Most-m Changes in Linear Regression Models***by*Lajos Horváth & William Pouliot & Shixuan Wang**591-609 A Plug-in Bandwidth Selection Procedure for Long-Run Covariance Estimation with Stationary Functional Time Series***by*Gregory Rice & Han Lin Shang**610-636 Testing for Panel Cointegration Using Common Correlated Effects Estimators***by*Anindya Banerjee & Josep Lluís Carrion-i-Silvestre

### May 2017, Volume 38, Issue 3

**395-416 The Asymptotic Distribution of The Pathwise Mean Squared Displacement in Single Particle Tracking Experiments***by*Gustavo Didier & Kui Zhang**417-457 A New Recursive Estimation Method for Single Input Single Output Models***by*Abdelhamid Ouakasse & Guy Mélard**458-478 Time-Varying Transition Probabilities for Markov Regime Switching Models***by*Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas**479-504 Oracle M-Estimation for Time Series Models***by*Mihai C. Giurcanu**505-507 Models for Dependent Time Series, by Granville Tunnicliffe Wilson, Marco Reale and John Haywood Published by CRC Press, 2016. Total number of pages: 323. ISBN 978-1-58488-650-1***by*A. I. McLeod**508-509 HANDBOOK OF DISCRETE-VALUED TIME SERIES, edited by R. A. Davis, S. H. Holan, R. Lund, R. and Ravishanker. Published by Hall/CRC, Boca Raton, Florida, 2015. Total number of pages: 464 . ISBN: 978-1-4665-7773-2***by*Alain LaTouR

### March 2017, Volume 38, Issue 2

**147-148 Issue Information***by*Tata Subba Rao & Granville Tunnicliffe Wilson**149-150 Editorial: Special Issue to Honor the Memory of Maurice B. Priestley, 1933–2013***by*Tata Subba Rao & Granville Tunnicliffe Wilson & Tata Subba Rao & Granville Tunnicliffe Wilson**151-174 Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting***by*Tata Subba Rao & Granville Tunnicliffe Wilson & Alessandro Cardinali & Guy P. Nason**175-190 Volatility Modeling with a Generalized t Distribution***by*Tata Subba Rao & Granville Tunnicliffe Wilson & Andrew Harvey & Rutger-Jan Lange**191-203 Adaptive Estimation in Multiple Time Series With Independent Component Errors***by*Tata Subba Rao & Granville Tunnicliffe Wilson & P. M. Robinson & L. Taylor**204-224 Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions***by*Tata Subba Rao & Granville Tunnicliffe Wilson & Joao Jesus & Richard E. Chandler**225-242 Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions***by*Tata Subba Rao & Granville Tunnicliffe Wilson & Michael Eichler & Rainer Dahlhaus & Johannes Dueck**243-265 A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach***by*Tata Subba Rao & Granville Tunnicliffe Wilson & Shiu Fung Wong & Howell Tong & Tak Kuen Siu & Zudi Lu**266-284 Estimation for Dynamic and Static Panel Probit Models with Large Individual Effects***by*Tata Subba Rao & Granville Tunnicliffe Wilson & Wei Gao & Wicher Bergsma & Qiwei Yao**285-307 Factor Modelling for High-Dimensional Time Series: Inference and Model Selection***by*Tata Subba Rao & Granville Tunnicliffe Wilson & Ngai Hang Chan & Ye Lu & Chun Yip Yau**308-325 On the Frequency Variogram and on Frequency Domain Methods for the Analysis of Spatio-Temporal Data***by*Tata Subba Rao & Granville Tunnicliffe Wilson & Tata Subba Rao & Gyorgy Terdik**326-351 A Spectral Domain Test for Stationarity of Spatio-Temporal Data***by*Tata Subba Rao & Granville Tunnicliffe Wilson & Soutir Bandyopadhyay & Carsten Jentsch & Suhasini Subba Rao**352-380 Some Properties of Local Gaussian Correlation and Other Nonlinear Dependence Measures***by*Tata Subba Rao & Granville Tunnicliffe Wilson & Geir Drage Berentsen & Ricardo Cao & Mario Francisco-Fernández & Dag TjØstheim**381-391 Spectral Estimation of the Multivariate Impulse Response***by*Tata Subba Rao & Granville Tunnicliffe Wilson & Granville Tunnicliffe Wilson

### January 2017, Volume 38, Issue 1

**3-21 Functional Generalized Autoregressive Conditional Heteroskedasticity***by*Alexander Aue & Lajos Horváth & Daniel F. Pellatt**22-50 A Lagrange Multiplier-Type Test for Idiosyncratic Unit Roots in the Exact Factor Model***by*Xingwu Zhou & Martin Solberger**51-71 Local Gaussian Autocorrelation and Tests for Serial Independence***by*Virginia Lacal & Dag TjØstheim**72-98 Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity***by*Gabe Chandler & Wolfgang Polonik**99-119 Quantile Regression on Quantile Ranges – A Threshold Approach***by*Chung-Ming Kuan & Christos Michalopoulos & Zhijie Xiao**120-144 Marginal Estimation of Parameter Driven Binomial Time Series Models***by*William Dunsmuir & Jieyi He**145-146 Spatial and Spatio-Temporal Bayesian Models with R-INLA , by Marta Blangiardo and Michela Cameletti . Published by John Wiley and Sons , Chichester, UK , 2015 . Total number of pages: 308. ISBN 978-1-118-32655-8***by*T. Subba Rao

### November 2016, Volume 37, Issue 6

**723-740 Exactly/Nearly Unbiased Estimation of Autocovariances of a Univariate Time Series With Unknown Mean***by*Timothy J. Vogelsang & Jingjing Yang**741-762 A Wavelet Characterization of Continuous-Time Periodically Correlated Processes with Application to Simulation***by*Mitra Ghanbarzadeh & Mina Aminghafari**763-784 Tests Based on Simplicial Depth for AR(1) Models With Explosion***by*Christoph P. Kustosz & Anne Leucht & Christine H. MÜller**785-809 Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test***by*Annika Betken**810-824 Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies***by*J. Isaac Miller & Xi Wang**825-836 Optimal Rate of Convergence for Empirical Quantiles and Distribution Functions for Time Series***by*Moritz Jirak**837-850 Bayesian Deconvolution of Signals Observed on Arrays***by*Ming Lin & Eric A. Suess & Robert H. Shumway & Rong Chen**851-861 Conditional and Marginal Mutual Information in Gaussian and Hyperbolic Decay Time Series***by*Gordon Chavez**862-863 Unobserved Components and Time Series Econometrics , edited by Siem Jan Koopman and Neil Shephard . Published by Oxford University Press , Oxford , 2015 . Total number of pages: 400. ISBN: 978-0-19-968366-6***by*Marcus J Chambers**864-864 Introduction to Time Series Analysis and Forecasting, 2nd Edition, Wiley Series in Probability and Statistics , by Douglas C. Montgomery , Cheryl L. Jennings and Murat Kulahci (eds). Published by John Wiley and Sons , Hoboken, NJ, USA , 2015 . Total number of pages: 672 Hardcover: ISBN: 978-1-118-74511-3 , ebook: ISBN: 978-1-118-74515-1 , etext: ISBN: 978-1-118-74495-6***by*Georgi N. Boshnakov

### September 2016, Volume 37, Issue 5

**579-602 On the Distribution Estimation of Power Threshold Garch Processes***by*Esmeralda Gonçalves & Joana Leite & NazarÉ Mendes-Lopes**603-623 Quantile Autoregression for Censored Data***by*Seokwoo Jake Choi & Stephen Portnoy**624-649 Bartlett Correction of Empirical Likelihood for Non-Gaussian Short-Memory Time Series***by*Kun Chen & Ngai Hang Chan & Chun Yip Yau**650-659 Improved Tests for Forecast Comparisons in the Presence of Instabilities***by*Luis Filipe Martins & Pierre Perron**660-674 Tests for Linearity in Star Models: Supwald and Lm-Type Tests***by*Rehim Kılıç**675-689 A Bayesian Non-Parametric Dynamic AR Model for Multiple Time Series Analysis***by*Luis E. Nieto-Barajas & Fernando A. Quintana**690-708 Local Information Theoretic Methods for smooth Coefficients Dynamic Panel Data Models***by*Francesco Bravo**709-711 Time Series Analysis: Forecasting and Control, 5th Edition , by George E. P. Box , Gwilym M. Jenkins , Gregory C. Reinsel and Greta M. Ljung , 2015 . Published by John Wiley and Sons Inc. , Hoboken, New Jersey , pp. 712. ISBN: 978-1-118-67502-1***by*Granville Tunnicliffe Wilson**712-712 An Introduction to Stochastic Orders , by Félix Belzunce , Carolina Martínez and Julio Mulero . Academic Press , Elsevier Ltd . 2016 . Total number of pages: 157. ISBN: 978–0–12–803768–3 (Paperback)***by*B.L.S. Prakasa Rao**713-720 Corrigendum to ‘Subsampling Inference for the Mean of Heavy-Tailed Long-Memory Time Series’ by A. Jach, T. S. McElroy and D. N. Politis***by*Agnieszka Jach & Tucker S. McElroy & Dimitris N. Politis

### July 2016, Volume 37, Issue 4

**435-450 Discriminant Analysis of Time Series in the Presence of Within-Group Spectral Variability***by*Robert T. Krafty**451-475 Parametric and Semi-Parametric Efficient Tests for Parameter Instability***by*Dong Jin Lee**476-512 Multivariate Wavelet Whittle Estimation in Long-range Dependence***by*Sophie Achard & Irène Gannaz**513-532 Statistical Inference for Unified Garch–Itô Models with High-Frequency Financial Data***by*Donggyu Kim**533-554 Powerful Unit Root Tests Free of Nuisance Parameters***by*Mehdi Hosseinkouchack & Uwe Hassler**555-574 Inference on a Structural Break in Trend with Fractionally Integrated Errors***by*Seong Yeon Chang & Pierre Perron**575-576 Time Series Modelling with Unobserved Components , by Matteo M. Pelagatti . Published by CRC Press , 2015 , pages: 257 . ISBN-13: 978-1-4822-2500-6***by*Mohsen Pourahmadi

### May 2016, Volume 37, Issue 3

**291-314 Poisson QMLE of Count Time Series Models***by*Ali Ahmad & Christian Francq**315-336 Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series***by*Roberto Baragona & Francesco Battaglia & Domenico Cucina**337-354 Separation of Uncorrelated Stationary time series using Autocovariance Matrices***by*Jari Miettinen & Katrin Illner & Klaus Nordhausen & Hannu Oja & Sara Taskinen & Fabian J. Theis**355-368 A New Test for Checking the Equality of the Correlation Structures of two time Series***by*Lei Jin & Suojin Wang**369-404 Generalized Resampling Scheme With Application to Spectral Density Matrix in Almost Periodically Correlated Class of Time Series***by*Łukasz Lenart**405-430 Filtering, Prediction and Simulation Methods for Noncausal Processes***by*Christian Gourieroux & Joann Jasiak**431-432 Quantitative Risk Management: Concepts, Techniques and Tools , by Alexander J. McNeil , Rüdiger Frey and Paul Embrechts . Revised edition. Published by Princeton University Press , 2015 . Total number of pages: 720. ISBN: 978-0-691-16627-8 (Hardback)***by*Johanna G. NešLehová

### March 2016, Volume 37, Issue 2

**147-164 An Unbiased Measure of Integrated Volatility in the Frequency Domain***by*Fangfang Wang**165-181 Bounds, Breaks and Unit Root Tests***by*Josep Lluís Carrion-I-Silvestre & María Dolores Gadea**182-194 A Note on the Behaviour of Nonparametric Density and Spectral Density Estimators at Zero Points of their Support***by*Efstathios Paparoditis & Dimitris N. Politis**195-221 Composite Quantile Periodogram for Spectral Analysis***by*Yaeji Lim & Hee-Seok Oh**222-239 Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends***by*Yiannis Karavias & Elias Tzavalis**240-266 Inference for the Fourth-Order Innovation Cumulant in Linear Time Series***by*Maria Fragkeskou & Efstathios Paparoditis∗**267-287 Random environment integer-valued autoregressive process***by*Aleksandar S. Nastić & Petra N. Laketa & Miroslav M. Ristić**288-288 Statistics for Spatial Data, Revised Edition , by Noel Cressie . Published by Wiley Classics Library, John Wiley , 2015 . Total number of pages: 928. ISBN: 978-1-119-11518-2***by*T. Subba Rao

### January 2016, Volume 37, Issue 1

**3-29 Testing for Stationarity in Multivariate Locally Stationary Processes***by*Ruprecht Puchstein & Philip Preuß**30-45 Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous-Time ARMA–GARCH-Type Models with Long Memory***by*Holger Fink**46-76 Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified***by*Mohamed El Ghourabi & Christian Francq & Fedya Telmoudi**77-98 A Goodness-of-Fit Test for Integer-Valued Autoregressive Processes***by*Sebastian Schweer**99-125 Testing for a Unit Root in Noncausal Autoregressive Models***by*Pentti Saikkonen & Rickard Sandberg**126-142 A Nonparametric Model for Stationary Time Series***by*Isadora Antoniano-Villalobos & Stephen G. Walker**143-144 Almost All About Unit Roots: Foundations, Developments, and Applications , by In Choi . Published by Cambridge University Press , Cambridge , 2015 . Total number of pages: 295. ISBN: 9781107482500 (paperback), price: 24.99£;(US$39.99) ISBN: 9781107097339 (hardback), price: 60.00£ (US$95.00)***by*Y. Karavias

### November 2015, Volume 36, Issue 6

**783-796 Simulation of Real Discrete Time Gaussian Multivariate Stationary Processes with Given Spectral Densities***by*M. Azimmohseni & A. R. Soltani & M. Khalafi**797-816 Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series***by*Eric Ghysels & J. Isaac Miller**817-838 A Gini Autocovariance Function for Time Series Modelling***by*Marcel Carcea & Robert Serfling**839-852 Zero-Modified Geometric INAR(1) Process for Modelling Count Time Series with Deflation or Inflation of Zeros***by*Wagner Barreto-Souza**853-875 Mixed-Norm Spaces and Prediction of SαS Moving Averages***by*Raymond Cheng & Charles B. Harris**876-887 On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes***by*Christian Gouriéroux & Jean-Michel Zakoïan

### September 2015, Volume 36, Issue 5

**601-602 Introduction to the JTSA John Nankervis Memorial Issue***by*Neil Kellard & Denise Osborn & Jerry Coakley & Neil Kellard & Denise Osborn & Jerry Coakley**603-629 Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics***by*Neil Kellard & Denise Osborn & Jerry Coakley & Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor**630-649 Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data***by*Neil Kellard & Denise Osborn & Jerry Coakley & Marcus J. Chambers**650-652 Papers with John on the Demand for Mail***by*Neil Kellard & Denise Osborn & Jerry Coakley & Frank Rodriguez & Soterios Soteri & Leticia Veruete-McKay**653-662 Double Bootstrap Confidence Intervals in the Two-Stage DEA Approach***by*Neil Kellard & Denise Osborn & Jerry Coakley & Dimitris K. Chronopoulos & Claudia Girardone & John C. Nankervis**663-671 Papers with John***by*Neil Kellard & Denise Osborn & Jerry Coakley & Nathan E. (Gene) Savin**672-686 Testing for Predictability in Financial Returns Using Statistical Learning Procedures***by*Neil Kellard & Denise Osborn & Jerry Coakley & Imanol Arrieta-ibarra & Ignacio N. Lobato**687-705 Generalized Variance-Ratio Tests in the Presence of Statistical Dependence***by*Neil Kellard & Denise Osborn & Jerry Coakley & John C. Nankervis & Periklis Kougoulis & Jerry Coakley**706-720 On the Transmission of Memory in Garch-in-Mean Models***by*Neil Kellard & Denise Osborn & Jerry Coakley & Christian Conrad & Menelaos Karanasos**721-740 Bias Correction of Persistence Measures in Fractionally Integrated Models***by*Neil Kellard & Denise Osborn & Jerry Coakley & Simone D. Grose & Gael M. Martin & Donald S. Poskitt**741-762 Structural Break Inference Using Information Criteria in Models Estimated by Two-Stage Least Squares***by*Neil Kellard & Denise Osborn & Jerry Coakley & Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas**763-782 Testing for Mild Explosivity and Bubbles in LME Non-Ferrous Metals Prices***by*Neil Kellard & Denise Osborn & Jerry Coakley & Isabel Figuerola-Ferretti & Christopher L. Gilbert & J. Roderick McCrorie

### July 2015, Volume 36, Issue 4

**503-527 Infinitely Divisible Distributions in Integer-Valued Garch Models***by*E. Gonçalves & N. Mendes-Lopes & F. Silva**528-540 Small-b and Fixed-b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration***by*Javier Hualde & Fabrizio Iacone**541-561 Estimation in Functional Lagged Regression***by*Siegfried Hörmann & Łukasz Kidziński & Piotr Kokoszka**562-586 The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending***by*Marcus J. Chambers**587-598 A Quantile-based Test for Symmetry of Weakly Dependent Processes***by*Zacharias Psaradakis & Marián Vávra**599-600 Dependence Modeling with Copulas, by Harry Joe. Monographs on Statistics and Applied probability 134, Published by CRC Press, 2015. Total number of pages: 18 + 462. ISBN: 978-1-4665-8322-1 (Hardback)***by*Alexander J. Mcneil

### May 2015, Volume 36, Issue 3

**269-271 Recent developments in bootstrap methods for dependent data***by*Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek**272-289 Recent developments in bootstrap methods for dependent data***by*Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor**290-314 Recent developments in bootstrap methods for dependent data***by*Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Paul Doukhan & Gabriel Lang & Anne Leucht & Michael H. Neumann**315-326 Recent developments in bootstrap methods for dependent data***by*Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Srijan Sengupta & Xiaofeng Shao & Yingchuan Wang**327-351 Recent developments in bootstrap methods for dependent data***by*Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Dominique Dehay & Anna E. Dudek**352-376 Recent developments in bootstrap methods for dependent data***by*Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Michael Wolf & Dan Wunderli**377-397 Recent developments in bootstrap methods for dependent data***by*Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Marco Meyer & Jens-Peter Kreiss**398-415 Recent developments in bootstrap methods for dependent data***by*Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Stephan Smeekes**416-441 Recent developments in bootstrap methods for dependent data***by*Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Carsten Jentsch & Dimitris N. Politis & Efstathios Paparoditis**442-461 Recent developments in bootstrap methods for dependent data***by*Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Karl B. Gregory & Soumendra N. Lahiri & Daniel J. Nordman**462-480 Recent developments in bootstrap methods for dependent data***by*Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Patrice Bertail & Stéphan Clémençon & Jessica Tressou**481-502 Recent developments in bootstrap methods for dependent data***by*Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Antoine Djogbenou & Sílvia Gonçalves & Benoit Perron

### March 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