Analysis of Financial Time Series: Tsay/Financial Time Series 3E

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Statistical arbitrage pairs trading strategies: Review and outlook (2017, unknown): “With APT in form of an orthogonal statistical factor model the return of stock i can be expressed as follows (Tsay, 2010) : rit − µi = β′ift + it (10) Thereby, βi denotes a k×1 vector of factor loadings for stock i, ft contains the k×1 factor returns 17 and it is the idiosyncratic error of rit.”
Bayesian Inference Methods for Univariate and Multivariate GARCH Models: A Survey (2014, unknown): “For general reviews on MGARCH models, see Bauwens et al. (2006), Silvennoinen & Teräsvirta (2009) and Tsay (2010) (Chapter 10), among others.”
NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY (2016, background): “…where regulators and portfolio managers are interested in high levels of risk, with a in the vicinity of 1 (Chernozhukov and Umantsev (2001); Tsay (2010)), an important concern for inference is that conventional asymptotic theory does not apply sufficiently far in the tails of FYt|Xt=x (see…”
Short‐Term Wind Speed Forecasting for Power System Operations (2012, methodology): “Here p can be decided with the autocorrelation function or with selection criteria, and parameters can be estimated by the Yule-Walker method under the assumption of stationarity; see Tsay (2010) for more detail.”