Analysis of financial time series : financial econometrics

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Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature (2008, methodology): “ACD models have been partly covered in books such as Bauwens and Giot (2001), Tsay (2002), Engle and Russell (2004) and Hausch (2004), but none of them provides an exhaustive and up-to-date review of the published work on this subject.”
The structure of dynamic correlations in multivariate stochastic volatility models (2009, methodology): “Recently, Yu and Meyer (2006) developed the time-varying correlation model for the bivariate SV model, based on the Fisher transformation, as suggested by Tsay (2002) in a bivariate GARCH framework.”
Multivariate stochastic volatility (2009, background): “Another approach, introduced by Tsay (2005), is based on the Choleski decomposition of the time-varying correlation matrix.”
Dynamic Copula Modelling for Value at Risk (2006, unknown): “See, for example, Embrechts, Kluppelberg, and Mikosch (1997), Lucas and Klaassen (1998), Tsay (2002) for a discussion.”
Multivariate Stochastic Volatility: A Review (2006, methodology): “The MSV model of Tsay (2002) is given as yt | t ∼ N (0, t), t = LtGtL ′t , Lt = 1 0 · · · 0 q21,t 1 · · · 0 qm1,t qm2,t · · · 1 , Gt = diag g11,t , , gmm,t = diag exp(h1t), , exp(hmt) , hit+1 = i + hit + it i = 1, ,m, qij ,t+1 = ij + ij qij ,t + uij ,t , i > j The elements in Gt are always…”