Journal of Time Series Analysis
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Published By Wiley (Blackwell Publishing)

1467-9892, 0143-9782
Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

A new non‐parametric cross‐spectrum estimator

2021 ◽  
Author(s):  
Evangelos E. Ioannidis
Keyword(s):  
Cross Spectrum ◽  
Non Parametric

scholarly journals Permutation Testing for Dependence in Time Series

2021 ◽  
Author(s):  
Joseph P. Romano ◽  
Marius A. Tirlea
Keyword(s):  
Time Series ◽  
Permutation Testing

scholarly journals Issue Information

2021 ◽  
Vol 43 (1) ◽  
pp. 1-2

scholarly journals Asymptotic Independence ex machina – Extreme Value Theory for the Diagonal SRE Model

2021 ◽  
Author(s):  
Sebastian Mentemeier ◽  
Olivier Wintenberger
Keyword(s):  
Extreme Value Theory ◽  
Value Theory ◽  
Extreme Value ◽  
Asymptotic Independence

Rank Test of Unit‐Root Hypothesis with AR‐GARCH Errors

2021 ◽  
Author(s):  
Guili Liao ◽  
Qimeng Liu ◽  
Rongmao Zhang ◽  
Shifang Zhang
Keyword(s):  
Unit Root ◽  
Rank Test

Testing the volatility jumps based on the high frequency data†

2021 ◽  
Author(s):  
Guangying Liu ◽  
Meiyao Liu ◽  
Jinguan Lin
Keyword(s):  
High Frequency ◽  
High Frequency Data ◽  
Frequency Data ◽  
Volatility Jumps

Editorial Announcement: Professor Michael McAleer

2021 ◽  
Author(s):  
Robert Taylor

scholarly journals Conditional Quantile Analysis for Realized GARCH Models

2021 ◽  
Author(s):  
Donggyu Kim ◽  
Minseog Oh ◽  
Yazhen Wang
Keyword(s):  
Garch Models ◽  
Conditional Quantile
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