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A component-driven model for regime switching and its empirical evidence
Kuan, Chung-ming (contributor); Huang, Yu-lieh (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001931272
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Forecasting simultaneously high-dimensional time series : a robust model-based clustering approach
Wang, Yongning; Tsay, Ruey S.; Ledolter, Johannes; … - In: Journal of forecasting 32 (2013) 8, pp. 673-684
Persistent link: https://www.econbiz.de/10010344465
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An unobserved-component model with switching permanent and transitory innovations
Kuan, Chung-ming; Huang, Yu-lieh; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 4, pp. 443-454
Persistent link: https://www.econbiz.de/10003193476
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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