期刊： JOURNAL OF TIME SERIES ANALYSIS, 2020; 41 (5)
This article theoretically and empirically analyzes backtesting portfolio value-at-risk (VaR) with estimation risk in an intrinsically multi-variate f......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2020; 41 (4)
We propose a simple asymptotically F-distributed Portmanteau test for zero autocorrelations in an otherwise dependent time series. By employing the or......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2020; 41 (4)
A time varying-40 autoregressive conditional heteroskedasticity (ARCH) model is proposed to describe the changing volatility of a financial return ser......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2019; 40 (1)
This article studies the sensitivity of Granger causality to the addition of noise, the introduction of subsampling, and the application of causal inv......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2019; 40 (1)
In this article, local linear estimators are adapted for the unknown infinitesimal coefficients associated with continuous-time asset return models wi......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2019; 40 (1)
Although some unified inferences for the coefficient in an AR(1) model have been proposed in the literature, it remains open as to how to construct a ......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 0; ()
This article investigates a portmanteau test statistic for checking model adequacy of smooth transition autoregressive (STAR) models. The asymptotic d......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2020; 41 (1)
This note investigates the self-weighted least absolute deviation estimation (SLADE) of a heavy-tailed continuous threshold autoregressive (TAR) model......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2019; 40 (6)
Neuroimaging studies have revealed functional brain network abnormalities in attention deficit hyperactivity disorder (ADHD), but the results have bee......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2019; 40 (6)
Alcohol dependence is associated with poor sleep quality, which has both been implicated with thalamocortical circuits function. To identify the possi......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2019; 40 (6)
Gonadal steroids play an important role in brain development, particularly during puberty. Girls with Turner syndrome (TS), a genetic disorder charact......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2019; 40 (6)
Identifying factors for the prediction of depression is a long-standing research topic in psychiatry and psychology. Perceived stress, which reflects ......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 0; ()
This note reconsiders the marginal density of a threshold moving average process and proposes a simple yet effective numerical algorithm to implement ......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2019; 40 (5)
We put forward a new method to construct jump-robust estimators of integrated volatility, namely realized information variation (RIV) and realized inf......
