Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process

2024-9-18

Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios

2024-9-18

Mixing properties of non‐stationary multi‐variate count processes

2024-9-16

Mean‐preserving rounding integer‐valued ARMA models

2024-9-10

Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors

2024-9-9

Weighted discrete ARMA models for categorical time series

2024-9-6

Improved estimation of dynamic models of conditional means and variances

2024-8-29

Estimating lagged (cross‐)covariance operators of <i>L</i>^<i>p</i>‐<i>m</i>‐approximable processes in cartesian product hilbert spaces

2024-8-29

Self‐normalization inference for linear trends in cointegrating regressions

2024-8-28

The Granger–Johansen representation theorem for integrated time series on Banach space

2024-8-18

Dependence properties of stochastic volatility models

2024-8-12

Testing covariance separability for continuous functional data

2024-8-11

Issue Information

2024-8-4

General estimation results for tdVARMA array models

2024-7-28

Estimating a common break point in means for long‐range dependent panel data

2024-7-19

A trinomial difference autoregressive process for the bounded ℤ‐valued time series

2024-7-11

Bootstrapping non‐stationary and irregular time series using singular spectral analysis

2024-7-4

Selecting the number of factors in multi‐variate time series

2024-6-25

Estimation of non‐smooth non‐parametric estimating equations models with dependent data

2024-6-5

Issue Information

2024-6-4

Testing for the extent of instability in nearly unstable processes

2024-6-1

Fractional gaussian noise: Spectral density and estimation methods

2024-5-20

Fractional stochastic volatility model

2024-5-17

Estimation for Markov chains with periodically missing observations

2024-5-17

On a matrix‐valued autoregressive model

2024-5-15

Threshold network GARCH model

2024-5-13

Existence of a periodic and seasonal INAR process

2024-5-13

A new portmanteau test for predictive regression models with possible embedded endogeneity

2024-5-12

Inference for calendar effects in microstructure noise

2024-5-5

Spectral Density Estimation for a Class of Spectrally Correlated Processes

2024-4-26

Quasi‐Likelihood Estimation in Volatility Models for Semi‐Continuous Time Series

2024-4-17

Inference in Coarsened Time Series via Generalized Method of Moments

2024-4-10

Issue Information

2024-4-3

Bootstrap prediction inference of nonlinear autoregressive models

2024-4-1

Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients

2024-2-28

On distributional autoregression and iterated transportation

2024-2-21

Ridge regularized estimation of VAR models for inference

2024-2-18

Consistency of averaged impulse response estimators in vector autoregressive models

2024-2-13

Statistical analysis of irregularly spaced spatial data in frequency domain

2024-2-11

Transformed‐Linear Models for Time Series Extremes

2024-2-5

Issue Information

2024-2-4

A residual‐based nonparametric variance ratio no‐cointegration test

2024-2-1

A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots

2024-1-8

Time Series Quantile Regression Using Random Forests

2024-1-2

Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility

2023-12-19

Count network autoregression

2023-12-19