# Wiley Blackwell

# Journal of Time Series Analysis

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

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**Series handle:**repec:bla:jtsera

**ISSN:**0143-9782

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### 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

### 09 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

### 07 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

### 05 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

### 03 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

### 01 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

### 09 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

### 07 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

### 05 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

### 03 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

### 01 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

### November 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

### 08 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

### 07 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

### 05 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

### 03 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

### 01 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

### November 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

### 09 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

### 07 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

### 05 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

### 03 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

### 01 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

### November 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