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Some methods for analyzing big dependent data

Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 673-688

Persistent link: https://www.econbiz.de/10011692453

Testing serial correlations in high-dimensional time series via extreme value theory

Tsay, Ruey S. - In: Journal of econometrics 216 (2020) 1, pp. 106-117

Persistent link: https://www.econbiz.de/10012439650

Nonlinearity in high-frequency financial data and hierarchical models

McCulloch, Robert E. (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 5 (2001) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10001769738

On diagnostic checking of vector ARMA-GARCH models with Gaussian and Student-t innovations

Wang, Yongning; Tsay, Ruey S. - In: Econometrics : open access journal 1 (2013) 1, pp. 1-31

This paper focuses on the diagnostic checking of vector ARMA (VARMA) models with multivariate GARCH errors. For a fitted VARMA-GARCH model with Gaussian or Student-t innovations, we derive the asymptotic distributions of autocorrelation matrices of the cross-product vector of standardized...

Persistent link: https://www.econbiz.de/10009754537