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A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358
Persistent link: https://www.econbiz.de/10010224698
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Parallel Bayesian inference for high-dimensional dynamic factor copulas
Nguyen, Hoang; Ausín, M. Concepción; Galeano, Pedro - In: Journal of financial econometrics 17 (2019) 1, pp. 118-151
Persistent link: https://www.econbiz.de/10012054431
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Long-range dependence in daily stock volatilities
Ray, Bonnie K.; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 254-262
Persistent link: https://www.econbiz.de/10001469693
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A predictive approach for selection of diffusion index models
Ando, Tomohiro; Tsay, Ruey S. - In: Econometric reviews 33 (2014) 1/4, pp. 68-99
Persistent link: https://www.econbiz.de/10010358477
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High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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Market based credit rating and its applications
Tsay, Ruey S.; Zhu, H. - In: Applied quantitative finance, (pp. 113-128). 2017
Persistent link: https://www.econbiz.de/10011794956
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Testing serial correlation and ARCH effect of high-dimensional time-series data
Ling, Shiqing; Tsay, Ruey S.; Yang, Yaxing - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 136-147
Persistent link: https://www.econbiz.de/10012424504
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Identification of TAR models using recursive estimation
Bermejo, Miguel Ángel; Peña, Daniel; Sánchez, Ismael - In: Journal of forecasting 30 (2011) 1, pp. 31-50
Persistent link: https://www.econbiz.de/10009233920
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A conditionally heteroskedastic independent factor model with an application to financial stock returns
García-Ferrer, Antonio; González-Prieto, Ester; … - In: International journal of forecasting 28 (2012) 1, pp. 70-93
Persistent link: https://www.econbiz.de/10009582082