Browse by Journal

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert and Zu, Yang (2024) A New Heteroskedasticity-Robust Test for Explosive Bubbles. Journal of Time Series Analysis. DOI https://doi.org/10.1111/jtsa.12784

Sakarya, Neslihan and Jong, Robert M (2022) The spectral analysis of the Hodrick–Prescott filter. Journal of Time Series Analysis, 43 (3). pp. 479-489. DOI https://doi.org/10.1111/jtsa.12622

Rice, Gregory and Wirjanto, Tony and Zhao, Yuqian (2020) Tests for conditional heteroscedasticity of functional data. Journal of Time Series Analysis, 41 (6). pp. 733-758. DOI https://doi.org/10.1111/jtsa.12532

Chambers, Marcus J and Taylor, AM Robert (2020) Deterministic Parameter Change Models in Continuous and Discrete Time. Journal of Time Series Analysis, 41 (1). pp. 134-145. DOI https://doi.org/10.1111/jtsa.12456

Chambers, Marcus J and Zadrozny, Peter A (2019) Econometric Modelling with Mixed Frequency and Temporally Aggregated Data. Journal of Time Series Analysis, 40 (6). pp. 869-871. DOI https://doi.org/10.1111/jtsa.12510

Chambers, Marcus J (2019) Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data. Journal of Time Series Analysis, 40 (6). pp. 887-913. DOI https://doi.org/10.1111/jtsa.12461

del Barrio Castro, Tomás and Rodrigues, Paulo MM and Taylor, AM Robert (2019) Temporal aggregation of seasonally near-integrated processes. Journal of Time Series Analysis, 40 (6). pp. 872-886. DOI https://doi.org/10.1111/jtsa.12453

Kapetanios, George and Papailias, Fotis and Taylor, AM Robert (2019) A Generalised Fractional Differencing Bootstrap for Long Memory Processes. Journal of Time Series Analysis, 40 (4). pp. 467-492. DOI https://doi.org/10.1111/jtsa.12460

Gupta, Abhimanyu and Hidalgo, Javier (2019) Order selection and inference with long memory dependent data. Journal of Time Series Analysis, 40 (4). pp. 425-446. DOI https://doi.org/10.1111/jtsa.12476

Astill, Sam and Harvey, David and Leybourne, Stephen and Sollis, Robert and Taylor, AM Robert (2018) Real-Time Monitoring for Explosive Financial Bubbles. Journal of Time Series Analysis, 39 (6). pp. 863-891. DOI https://doi.org/10.1111/jtsa.12409

Georgiev, Iliyan and Rodrigues, Paulo MM and Taylor, AM Robert (2017) Unit Root Tests and Heavy-Tailed Innovations. Journal of Time Series Analysis, 38 (5). pp. 733-768. DOI https://doi.org/10.1111/jtsa.12233

Chronopoulos, Dimitris K and Girardone, Claudia and Nankervis, John C (2015) Double Bootstrap Confidence Intervals in the Two‐Stage DEA Approach. Journal of Time Series Analysis, 36 (5). pp. 653-662. DOI https://doi.org/10.1111/jtsa.12122

Cavaliere, Giuseppe and Harvey, David I and Leybourne, Stephen J and Robert Taylor, AM (2015) Testing for Unit Roots Under Multiple Possible Trend Breaks and Non‐Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics. Journal of Time Series Analysis, 36 (5). pp. 603-629. DOI https://doi.org/10.1111/jtsa.12067

Chambers, Marcus J (2015) Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data. Journal of Time Series Analysis, 36 (5). pp. 630-649. DOI https://doi.org/10.1111/jtsa.12097

Nankervis, JC and Kougoulis, P and Coakley, J (2015) Generalized Variance-Ratio Tests in the Presence of Statistical Dependence. Journal of Time Series Analysis, 36 (5). pp. 687-705. DOI https://doi.org/10.1111/jtsa.12124

Chambers, Marcus J (2015) The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending. Journal of Time Series Analysis, 36 (4). pp. 562-586. DOI https://doi.org/10.1111/jtsa.12123

Cavaliere, Giuseppe and Rahbek, Anders and Robert Taylor, AM (2015) Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components. Journal of Time Series Analysis, 36 (3). pp. 272-289. DOI https://doi.org/10.1111/jtsa.12104

Kellard, NM and Osborn, D and Coakley, J (2015) Introduction to the JTSA John Nankervis Memorial Issue. Journal of Time Series Analysis, 36 (5). pp. 601-602. DOI https://doi.org/10.1111/jtsa.12127

Iacone, Fabrizio and Leybourne, Stephen J and Robert Taylor, AM (2014) A FIXED‐ <i>b</i> TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION. Journal of Time Series Analysis, 35 (1). pp. 40-54. DOI https://doi.org/10.1111/jtsa.12049

Astill, S and Harvey, DI and Taylor, AMR (2013) A bootstrap test for additive outliers in non-stationary time series. Journal of Time Series Analysis, 34 (4). pp. 454-465. DOI https://doi.org/10.1111/jtsa.12033