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Tsay, Ruey S.

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Author ID: tsay.ruey-s Recent zbMATH articles by "Tsay, Ruey S."
Published as: Tsay, R. S.; Tsay, Ruey; Tsay, Ruey S.
External Links: MGP
Documents Indexed: 81 Publications since 1983, including 8 Books

Publications by Year

Citations contained in zbMATH Open

59 Publications have been cited 1,274 times in 1,070 Documents Cited by Year
Analysis of financial time series. 2nd ed. Zbl 1086.91054
Tsay, Ruey S.
134
2005
Functional-coefficient autoregressive models. Zbl 0776.62066
Chen, Rong; Tsay, Ruey S.
134
1993
Analysis of financial time series. Zbl 1037.91080
Tsay, Ruey S.
83
2002
Testing and modeling threshold autoregressive processes. Zbl 0683.62050
Tsay, Ruey S.
75
1989
Model specification in multivariate time series. Zbl 0693.62071
Tiao, George C.; Tsay, Ruey S.
62
1989
Analysis of financial time series. 3rd ed. Zbl 1209.91004
Tsay, Ruey S.
56
2010
A nonlinear autoregressive conditional duration model with applications to financial transaction data. Zbl 1108.62336
Zhang, Michael Yuanjie; Russell, Jeffrey R.; Tsay, Ruey S.
53
2001
Nonlinearity tests for time series. Zbl 0603.62097
Tsay, Ruey S.
52
1986
Testing and modeling multivariate threshold models. Zbl 1063.62578
Tsay, Ruey S.
46
1998
Limiting properties of the least squares estimator of a continuous threshold autoregressive model. Zbl 0938.62089
Chan, K. S.; Tsay, Ruey S.
42
1998
Conditional heteroscedastic time series models. Zbl 0636.62092
Tsay, Ruey S.
34
1987
Consistent estimates of autoregressive parameters and extended sample autocorrelation function for stationary and nonstationary ARMA models. Zbl 0537.62071
Tsay, Ruey S.; Tiao, George C.
33
1984
Bayesian analysis of autoregressive time series via the Gibbs sampler. Zbl 0800.62549
McCulloch, Robert E.; Tsay, Ruey S.
29
1994
Statistical analysis of economic time series via Markov switching models. Zbl 0807.62096
McCulloch, Robert E.; Tsay, Ruey S.
28
1994
Bayesian methods for change-point detection in long-range dependent processes. Zbl 1114.62092
Ray, Bonnie K.; Tsay, Ruey S.
27
2002
Bayesian inference and prediction for mean and variance shifts in autoregressive time series. Zbl 0800.62165
McCulloch, Robert E.; Tsay, Ruey S.
26
1993
Bandwidth selection for kernel regression with long-range dependent errors. Zbl 1090.62536
Ray, Bonnie K.; Tsay, Ruey S.
25
1997
Asymptotic properties of multivariate nonstationary processes with applications to autoregressions. Zbl 0705.62082
Tsay, Ruey S.; Tiao, George C.
22
1990
Use of canonical analysis in time series model identification. Zbl 0576.62084
Tsay, Ruey S.; Tiao, George C.
22
1985
Consistency properties of least squares estimates of autoregressive parameters in ARMA models. Zbl 0523.62076
Tiao, George C.; Tsay, Ruey S.
22
1983
Order selection in nonstationary autoregressive models. Zbl 0554.62075
Tsay, Ruey S.
21
1984
Outliers in multivariate time series. Zbl 1028.62073
Tsay, Ruey S.; Peña, Daniel; Pankratz, Alan E.
19
2000
Forecasting the U. S. unemployment rate. Zbl 0918.62091
Montgomery, Alan L.; Zarnowitz, Victor; Tsay, Ruey S.; Tiao, George C.
17
1998
On the ergodicity of \(TAR(1)\) processes. Zbl 0795.93099
Chen, Rong; Tsay, Ruey S.
17
1991
Model checking via parametric bootstraps in time series analysis. Zbl 0825.62698
Tsay, R. S.
16
1992
Particle filters and Bayesian inference in financial econometrics. Zbl 1217.91146
Lopes, Hedibert F.; Tsay, Ruey S.
15
2011
Additivity tests for nonlinear autoregression. Zbl 0823.62071
Chen, Rong; Liu, Jun S.; Tsay, Ruey S.
15
1995
Regression models with time series errors. Zbl 0533.62082
Tsay, Ruey S.
15
1984
Multivariate time series analysis. With R and financial applications. Zbl 1279.62012
Tsay, Ruey S.
14
2014
High dimensional dynamic stochastic copula models. Zbl 1337.62115
Creal, Drew D.; Tsay, Ruey S.
9
2015
Outliers in GARCH processes. Zbl 1260.91195
Hotta, Luiz K.; Tsay, Ruey S.
9
2012
Outlier detection in multivariate time series by projection pursuit. Zbl 1119.62360
Galeano, Pedro; Peña, Daniel; Tsay, Ruey S.
9
2006
Dynamic orthogonal components for multivariate time series. Zbl 1323.62086
Matteson, David S.; Tsay, Ruey S.
8
2011
Constrained factor models. Zbl 1388.62179
Tsai, Henghsiu; Tsay, Ruey S.
8
2010
Estimation of covariance matrix via the sparse Cholesky factor with lasso. Zbl 1233.62118
Chang, Changgee; Tsay, Ruey S.
7
2010
Two canonical forms for vector ARMA processes. Zbl 0820.62076
Tsay, Ruey S.
7
1991
Detection of outlier patches in autoregressive time series. Zbl 0978.62081
Justel, Ana; Peña, Daniel; Tsay, Ruey S.
6
2001
A course in time series analysis. Lectures of the ECAS ’97, Madrid, Spain, September 15–19, 1997. Zbl 0960.62093
Peña, Daniel (ed.); Tiao, George C. (ed.); Tsay, Ruey S. (ed.)
6
2001
A unified approach to indentifying multivariate time series models. Zbl 0926.62083
Li, Hong; Tsay, Ruey S.
6
1998
Detecting and modeling nonlinearity in univariate time series analysis. Zbl 0824.62085
Tsay, Ruey S.
6
1991
Identifying multivariate time series models. Zbl 0691.62080
Tsay, Ruey S.
6
1989
An introduction to analysis of financial data with R. Zbl 1279.91003
Tsay, Ruey S.
4
2013
Quantile regression models with factor-augmented predictors and information criterion. Zbl 1218.62061
Ando, Tomohiro; Tsay, Ruey S.
4
2011
Forecasting simultaneously high-dimensional time series: a robust model-based clustering approach. Zbl 1397.62235
Wang, Yongning; Tsay, Ruey S.; Ledolter, Johannes; Shrestha, Keshab M.
3
2013
Model selection for generalized linear models with factor-augmented predictors. Zbl 1223.62129
Ando, Tomohiro; Tsay, Ruey S.
2
2009
On canonical analysis of multivariate time series. Zbl 1079.62065
Min, Wanli; Tsay, Ruey S.
2
2005
Tests for multinormality with applications to time series. Zbl 0918.62052
Kariya, Takeaki; Tsay, Ruey S.; Terui, Nobuhiko; Li, Hong
2
1999
A time series approach to econometric models of Taiwan’s economy. (With comments and rejoinder). Zbl 0916.62088
Tiao, G. C.; Tsay, R. S.; Man, K. S.; Chu, Y. J.; Xu, K. K.; Chen, C.; Lin, J. L.; Hsu, C. M.; Lin, C. F.; Mao, C. S.; Ho, C. S.; Liou, R. W.; Yang, Y. F.
2
1998
Nonlinear transfer functions. Zbl 0879.62079
Chen, Rong; Tsay, Ruey S.
2
1996
Asymptotic inference for non-invertible moving-average time series. Zbl 0835.62077
Chan, Ngai Hang; Tsay, Ruey S.
2
1996
Usefulness of linear transformations in multivariate time-series analysis. Zbl 0825.62971
Tiao, George C.; Tsay, Ruey S.; Wang, Taychang
2
1994
A structural-factor approach to modeling high-dimensional time series and space-time data. Zbl 1412.62117
Gao, Zhaoxing; Tsay, Ruey S.
1
2019
Nonlinear time series analysis. Zbl 1442.62002
Tsay, Ruey S.; Chen, Rong
1
2019
Doubly constrained factor models with applications. Zbl 1356.62078
Tsai, Henghsiu; Tsay, Ruey S.; Lin, Edward M. H.; Cheng, Ching-Wei
1
2016
Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market. Zbl 1254.91626
Tsay, Ruey S.; Ando, Tomohiro
1
2012
Discussion of “Feature matching in time series modeling” by Y. Xia and H. Tong. Zbl 1426.62256
Chan, Kung-Sik; Tsay, Ruey S.
1
2011
Random aggregation with applications in high-frequency finance. Zbl 1217.91149
Tsay, Ruey S.; Yeh, Jin-Huei
1
2011
Multivariate volatility models. Zbl 1268.62137
Tsay, Ruey S.
1
2006
Bayesian modeling and forecasting in autoregressive models. Zbl 0725.62084
Schervish, Mark J.; Tsay, Ruey S.
1
1988
A structural-factor approach to modeling high-dimensional time series and space-time data. Zbl 1412.62117
Gao, Zhaoxing; Tsay, Ruey S.
1
2019
Nonlinear time series analysis. Zbl 1442.62002
Tsay, Ruey S.; Chen, Rong
1
2019
Doubly constrained factor models with applications. Zbl 1356.62078
Tsai, Henghsiu; Tsay, Ruey S.; Lin, Edward M. H.; Cheng, Ching-Wei
1
2016
High dimensional dynamic stochastic copula models. Zbl 1337.62115
Creal, Drew D.; Tsay, Ruey S.
9
2015
Multivariate time series analysis. With R and financial applications. Zbl 1279.62012
Tsay, Ruey S.
14
2014
An introduction to analysis of financial data with R. Zbl 1279.91003
Tsay, Ruey S.
4
2013
Forecasting simultaneously high-dimensional time series: a robust model-based clustering approach. Zbl 1397.62235
Wang, Yongning; Tsay, Ruey S.; Ledolter, Johannes; Shrestha, Keshab M.
3
2013
Outliers in GARCH processes. Zbl 1260.91195
Hotta, Luiz K.; Tsay, Ruey S.
9
2012
Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market. Zbl 1254.91626
Tsay, Ruey S.; Ando, Tomohiro
1
2012
Particle filters and Bayesian inference in financial econometrics. Zbl 1217.91146
Lopes, Hedibert F.; Tsay, Ruey S.
15
2011
Dynamic orthogonal components for multivariate time series. Zbl 1323.62086
Matteson, David S.; Tsay, Ruey S.
8
2011
Quantile regression models with factor-augmented predictors and information criterion. Zbl 1218.62061
Ando, Tomohiro; Tsay, Ruey S.
4
2011
Discussion of “Feature matching in time series modeling” by Y. Xia and H. Tong. Zbl 1426.62256
Chan, Kung-Sik; Tsay, Ruey S.
1
2011
Random aggregation with applications in high-frequency finance. Zbl 1217.91149
Tsay, Ruey S.; Yeh, Jin-Huei
1
2011
Analysis of financial time series. 3rd ed. Zbl 1209.91004
Tsay, Ruey S.
56
2010
Constrained factor models. Zbl 1388.62179
Tsai, Henghsiu; Tsay, Ruey S.
8
2010
Estimation of covariance matrix via the sparse Cholesky factor with lasso. Zbl 1233.62118
Chang, Changgee; Tsay, Ruey S.
7
2010
Model selection for generalized linear models with factor-augmented predictors. Zbl 1223.62129
Ando, Tomohiro; Tsay, Ruey S.
2
2009
Outlier detection in multivariate time series by projection pursuit. Zbl 1119.62360
Galeano, Pedro; Peña, Daniel; Tsay, Ruey S.
9
2006
Multivariate volatility models. Zbl 1268.62137
Tsay, Ruey S.
1
2006
Analysis of financial time series. 2nd ed. Zbl 1086.91054
Tsay, Ruey S.
134
2005
On canonical analysis of multivariate time series. Zbl 1079.62065
Min, Wanli; Tsay, Ruey S.
2
2005
Analysis of financial time series. Zbl 1037.91080
Tsay, Ruey S.
83
2002
Bayesian methods for change-point detection in long-range dependent processes. Zbl 1114.62092
Ray, Bonnie K.; Tsay, Ruey S.
27
2002
A nonlinear autoregressive conditional duration model with applications to financial transaction data. Zbl 1108.62336
Zhang, Michael Yuanjie; Russell, Jeffrey R.; Tsay, Ruey S.
53
2001
Detection of outlier patches in autoregressive time series. Zbl 0978.62081
Justel, Ana; Peña, Daniel; Tsay, Ruey S.
6
2001
A course in time series analysis. Lectures of the ECAS ’97, Madrid, Spain, September 15–19, 1997. Zbl 0960.62093
Peña, Daniel (ed.); Tiao, George C. (ed.); Tsay, Ruey S. (ed.)
6
2001
Outliers in multivariate time series. Zbl 1028.62073
Tsay, Ruey S.; Peña, Daniel; Pankratz, Alan E.
19
2000
Tests for multinormality with applications to time series. Zbl 0918.62052
Kariya, Takeaki; Tsay, Ruey S.; Terui, Nobuhiko; Li, Hong
2
1999
Testing and modeling multivariate threshold models. Zbl 1063.62578
Tsay, Ruey S.
46
1998
Limiting properties of the least squares estimator of a continuous threshold autoregressive model. Zbl 0938.62089
Chan, K. S.; Tsay, Ruey S.
42
1998
Forecasting the U. S. unemployment rate. Zbl 0918.62091
Montgomery, Alan L.; Zarnowitz, Victor; Tsay, Ruey S.; Tiao, George C.
17
1998
A unified approach to indentifying multivariate time series models. Zbl 0926.62083
Li, Hong; Tsay, Ruey S.
6
1998
A time series approach to econometric models of Taiwan’s economy. (With comments and rejoinder). Zbl 0916.62088
Tiao, G. C.; Tsay, R. S.; Man, K. S.; Chu, Y. J.; Xu, K. K.; Chen, C.; Lin, J. L.; Hsu, C. M.; Lin, C. F.; Mao, C. S.; Ho, C. S.; Liou, R. W.; Yang, Y. F.
2
1998
Bandwidth selection for kernel regression with long-range dependent errors. Zbl 1090.62536
Ray, Bonnie K.; Tsay, Ruey S.
25
1997
Nonlinear transfer functions. Zbl 0879.62079
Chen, Rong; Tsay, Ruey S.
2
1996
Asymptotic inference for non-invertible moving-average time series. Zbl 0835.62077
Chan, Ngai Hang; Tsay, Ruey S.
2
1996
Additivity tests for nonlinear autoregression. Zbl 0823.62071
Chen, Rong; Liu, Jun S.; Tsay, Ruey S.
15
1995
Bayesian analysis of autoregressive time series via the Gibbs sampler. Zbl 0800.62549
McCulloch, Robert E.; Tsay, Ruey S.
29
1994
Statistical analysis of economic time series via Markov switching models. Zbl 0807.62096
McCulloch, Robert E.; Tsay, Ruey S.
28
1994
Usefulness of linear transformations in multivariate time-series analysis. Zbl 0825.62971
Tiao, George C.; Tsay, Ruey S.; Wang, Taychang
2
1994
Functional-coefficient autoregressive models. Zbl 0776.62066
Chen, Rong; Tsay, Ruey S.
134
1993
Bayesian inference and prediction for mean and variance shifts in autoregressive time series. Zbl 0800.62165
McCulloch, Robert E.; Tsay, Ruey S.
26
1993
Model checking via parametric bootstraps in time series analysis. Zbl 0825.62698
Tsay, R. S.
16
1992
On the ergodicity of \(TAR(1)\) processes. Zbl 0795.93099
Chen, Rong; Tsay, Ruey S.
17
1991
Two canonical forms for vector ARMA processes. Zbl 0820.62076
Tsay, Ruey S.
7
1991
Detecting and modeling nonlinearity in univariate time series analysis. Zbl 0824.62085
Tsay, Ruey S.
6
1991
Asymptotic properties of multivariate nonstationary processes with applications to autoregressions. Zbl 0705.62082
Tsay, Ruey S.; Tiao, George C.
22
1990
Testing and modeling threshold autoregressive processes. Zbl 0683.62050
Tsay, Ruey S.
75
1989
Model specification in multivariate time series. Zbl 0693.62071
Tiao, George C.; Tsay, Ruey S.
62
1989
Identifying multivariate time series models. Zbl 0691.62080
Tsay, Ruey S.
6
1989
Bayesian modeling and forecasting in autoregressive models. Zbl 0725.62084
Schervish, Mark J.; Tsay, Ruey S.
1
1988
Conditional heteroscedastic time series models. Zbl 0636.62092
Tsay, Ruey S.
34
1987
Nonlinearity tests for time series. Zbl 0603.62097
Tsay, Ruey S.
52
1986
Use of canonical analysis in time series model identification. Zbl 0576.62084
Tsay, Ruey S.; Tiao, George C.
22
1985
Consistent estimates of autoregressive parameters and extended sample autocorrelation function for stationary and nonstationary ARMA models. Zbl 0537.62071
Tsay, Ruey S.; Tiao, George C.
33
1984
Order selection in nonstationary autoregressive models. Zbl 0554.62075
Tsay, Ruey S.
21
1984
Regression models with time series errors. Zbl 0533.62082
Tsay, Ruey S.
15
1984
Consistency properties of least squares estimates of autoregressive parameters in ARMA models. Zbl 0523.62076
Tiao, George C.; Tsay, Ruey S.
22
1983
all top 5

Cited by 1,715 Authors

15 Chen, Rong
15 Ling, Shiqing
13 Cai, Zongwu
13 Tsay, Ruey S.
11 Battaglia, Francesco Paolo
11 Chen, Cathy W. S.
10 Fan, Jianqing
10 Li, Wai Keung
10 Peña, Daniel
9 Beran, Jan
9 McAleer, Michael
9 Tong, Howell
8 Gerlach, Richard H.
8 Shin, Dongwan
8 Zhang, Riquan
7 Ghosh, Sucharita
7 Li, Dong
7 Yao, Qiwei
6 Chan, Wai-Sum
6 Francq, Christian
6 Galeano, Pedro
6 Härdle, Wolfgang Karl
6 Lian, Heng
6 Paparoditis, Efstathios
6 Pourahmadi, Mohsen
6 Wong, Heung
6 Zhu, Lixing
5 Aknouche, Abdelhakim
5 Baragona, Roberto
5 Chan, Kung-Sik
5 Chan, Ngai Hang
5 Duchesne, Pierre
5 Feng, Yuanhua
5 Hecq, Alain W.
5 Koop, Gary
5 Lee, Oesook
5 Lin, Jinguan
5 Morettin, Pedro Alberto
5 Phillips, Peter Charles Bonest
5 Roy, Roch
5 Tsai, Henghsiu
5 Wang, Lihong
5 Wu, Wei Biao
5 Xia, Qiang
5 Zhao, Weihua
5 Zhou, Yong
5 Zhou, Zhou
4 Bai, Jushan
4 De Gooijer, Jan G.
4 Fokianos, Konstantinos
4 Fried, Roland
4 Furno, Marilena
4 González-Concepción, Concepción
4 Granger, Clive William John
4 Harvill, Jane L.
4 Hong, Yongmiao
4 Huang, Zhensheng
4 Ip, Wai-Cheung
4 Jirak, Moritz
4 Koul, Hira Lal
4 Lai, Dejian
4 Lee, Taewook
4 Li, Qi
4 Liu, Shuangzhe
4 Liu, Xialu
4 Meitz, Mika
4 Palm, Franz C.
4 Pan, Jiazhu
4 Park, Byeong Uk
4 Peiris, M. Shelton
4 Peng, Liang
4 Pestano-Gabino, Celina
4 Psaradakis, Zacharias
4 Saikkonen, Pentti
4 Teräsvirta, Timo
4 Vahid, Farshid
4 Wu, Berlin
4 Yang, Lijian
4 Zakoïan, Jean-Michel
3 Ahtola, Juha
3 An, Hongzhi
3 Ando, Tomohiro
3 Bhatti, Chad R.
3 Billio, Monica
3 Bondon, Pascal
3 Brockwell, Peter J.
3 Cai, Yuzhi
3 Chen, Min
3 Chib, Siddhartha
3 Chou, Ray Yeutien
3 Dellaportas, Petros
3 Gardes, Laurent
3 Geweke, John F.
3 Gil-Fariña, María Candelaria
3 Girard, Stéphane
3 Gourieroux, Christian
3 Guégan, Dominique
3 Guo, Bin
3 Hallin, Marc
3 Hotta, Luiz Koodi
...and 1,615 more Authors
all top 5

Cited in 164 Serials

129 Journal of Econometrics
81 Computational Statistics and Data Analysis
68 Journal of Time Series Analysis
52 Journal of Statistical Planning and Inference
36 Journal of Statistical Computation and Simulation
30 Journal of Multivariate Analysis
29 Statistics & Probability Letters
26 Communications in Statistics. Theory and Methods
23 Economics Letters
21 The Annals of Statistics
21 Econometric Theory
20 Journal of Applied Statistics
17 Journal of Economic Dynamics & Control
17 European Journal of Operational Research
16 Econometric Reviews
15 Mathematics and Computers in Simulation
15 Communications in Statistics. Simulation and Computation
14 Quantitative Finance
13 Annals of the Institute of Statistical Mathematics
13 Computational Statistics
13 Bernoulli
13 Journal of Nonparametric Statistics
11 Journal of the American Statistical Association
10 Statistics and Computing
9 Acta Mathematicae Applicatae Sinica. English Series
9 Statistics
9 Test
8 Insurance Mathematics & Economics
8 The Econometrics Journal
7 Journal of Computational and Applied Mathematics
7 Statistical Papers
7 North American Actuarial Journal
7 Journal of the Korean Statistical Society
7 Electronic Journal of Statistics
6 Stochastic Processes and their Applications
6 The Annals of Applied Statistics
5 Statistical Science
5 Computational Economics
5 Statistical Inference for Stochastic Processes
5 Brazilian Journal of Probability and Statistics
5 Statistical Methods and Applications
5 Science China. Mathematics
4 Lithuanian Mathematical Journal
4 Psychometrika
4 Automatica
4 Information Sciences
4 Kybernetika
4 Mathematical and Computer Modelling
4 Mathematical Problems in Engineering
4 Australian & New Zealand Journal of Statistics
4 International Journal of Theoretical and Applied Finance
4 Extremes
4 Statistical Modelling
4 Journal of Statistical Theory and Practice
4 Journal of Probability and Statistics
4 Bayesian Analysis
4 Journal of Time Series Econometrics
3 The Canadian Journal of Statistics
3 Metrika
3 Physica A
3 Fuzzy Sets and Systems
3 Physica D
3 Annals of Operations Research
3 Automation and Remote Control
3 Statistica Sinica
3 Chaos
3 Discrete Dynamics in Nature and Society
3 Macroeconomic Dynamics
3 Journal of Systems Science and Complexity
3 Computational Management Science
3 Journal of Forecasting
3 Statistical Methodology
3 AStA. Advances in Statistical Analysis
3 Journal of the Italian Statistical Society
2 Computers & Mathematics with Applications
2 International Journal of Systems Science
2 Journal of Statistical Physics
2 Scandinavian Journal of Statistics
2 Applied Mathematics and Computation
2 International Statistical Review
2 Journal of Applied Probability
2 Systems & Control Letters
2 Stochastic Analysis and Applications
2 Computers & Operations Research
2 Science in China. Series A
2 Neural Networks
2 Applied Mathematical Modelling
2 International Journal of Computer Mathematics
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Journal of the Royal Statistical Society. Series B. Statistical Methodology
2 Applied Stochastic Models in Business and Industry
2 Journal of Machine Learning Research (JMLR)
2 SORT. Statistics and Operations Research Transactions
2 Thai Journal of Mathematics
2 Frontiers of Mathematics in China
2 Statistics Surveys
2 Annals of Finance
1 Advances in Applied Probability
1 Biological Cybernetics
1 International Journal of Control
...and 64 more Serials

Citations by Year