Tsay, Wen-Jen Maximum likelihood estimation of stationary multivariate ARFIMA processes. (English) Zbl 1395.62261 J. Stat. Comput. Simulation 80, No. 7, 729-745 (2010). MSC: 62M09 62M10 60G18 PDFBibTeX XMLCite \textit{W.-J. Tsay}, J. Stat. Comput. Simulation 80, No. 7, 729--745 (2010; Zbl 1395.62261) Full Text: DOI
Tsay, Wen-Jen; Härdle, Wolfgang Karl A generalized ARFIMA process with Markov-switching fractional differencing parameter. (English) Zbl 1186.62111 J. Stat. Comput. Simulation 79, No. 5, 731-745 (2009). MSC: 62M10 60J99 65C05 PDFBibTeX XMLCite \textit{W.-J. Tsay} and \textit{W. K. Härdle}, J. Stat. Comput. Simulation 79, No. 5, 731--745 (2009; Zbl 1186.62111) Full Text: DOI
Tsay, W.-J. Long memory story of the real interest rate. (English) Zbl 0951.91064 Econ. Lett. 67, No. 3, 325-330 (2000). MSC: 91B84 PDFBibTeX XMLCite \textit{W. J. Tsay}, Econ. Lett. 67, No. 3, 325--330 (2000; Zbl 0951.91064) Full Text: DOI
Tsay, Wen-Jen; Chung, Ching-Fan The spurious regression of fractionally integrated processes. (English) Zbl 1054.62586 J. Econom. 96, No. 1, 155-182 (2000). MSC: 62M10 62F12 PDFBibTeX XMLCite \textit{W.-J. Tsay} and \textit{C.-F. Chung}, J. Econom. 96, No. 1, 155--182 (2000; Zbl 1054.62586) Full Text: DOI
Tsay, Wen-Jen Spurious regression between \(I(1)\) processes with infinite variance errors. (English) Zbl 0954.62108 Econom. Theory 15, No. 4, 622-628 (1999). MSC: 62M10 PDFBibTeX XMLCite \textit{W.-J. Tsay}, Econom. Theory 15, No. 4, 622--628 (1999; Zbl 0954.62108) Full Text: DOI