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

By Ruey S. Tsay. 2005

836 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research, Signal Processing

View Paper: https://www.semanticscholar.org/paper/531bad69d30bbabefe8913f3f081a07b9bb4813d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. K. Lim
2. R. Brooks
3. Yiming Wang
4. Wenjun Feng
5. Richard Gerlach
6. N. Y. Chan
7. Zhou Zhou
8. Cathy W. S. Chen

In Management Science and Operations Research

1. K. Lim
2. R. Brooks
3. Zhou Zhou
4. Richard Gerlach
5. Cathy W. S. Chen
6. Yiming Wang
7. Wenjun Feng
8. Zhengjun Zhang

In Signal Processing

1. K. Lim
2. R. Brooks
3. Zhou Zhou
4. Richard Gerlach
5. Cathy W. S. Chen
6. Yiming Wang
7. Wenjun Feng
8. Zhengjun Zhang

Citations in the corpus

• The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, background): “This has contributed to an explosive growth of nonlinearity tests to the extent that a full review is impossible (for a limited survey, see Granger and Teräsvirta, 1993; Patterson and Ashley, 2000; Tsay, 2005).”
• Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets (2011, methodology): “Standard GARCH theory (e.g., see Tsay 2005) allows closed form solutions to the one-step-ahead quantiles of yt|y1,t−1, given the parameter values and based on parametric errors.”
• Measuring nonlinear dependence in time‐series, a distance correlation approach (2012, methodology): “The data set was analysed in Tsay (2005), and he found that an AR(3)-GARCH(1,1) model fits the data well.”
• Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit (2014, neutral): “For related studies and more details, we refer to the seminal paper by Engle and Granger (1987), the books Hamilton (1994); Tsay (2005), and references therein.”
• Time-series data mining (2012, background): “This task will be mentioned because of its importance but the interested reader willing to have further information may consult several references on forecasting [Brockwell and Davis 2002, 2009; Harris and Sollis 2003; Tsay 2005].”
• Extreme Value Theory for Finance: A Survey (2012, background): “…returns on those prices, due to considerable advantages, such as nicer statistical properties of the time series of log returns, compared to those of the time series of raw data, and the additivity property for multiperiod returns induced by the logarithmic transformation (see e.g. Tsay, 2005)50.”
• Heteroscedasticity and Autocorrelation Robust Structural Change Detection (2013, methodology): “The interest rate series was used in Tsay (2005) to demonstrate time series regression and stationary linear time series models.”
• Can cryptocurrencies be a safe haven: a tail risk perspective analysis (2018, methodology): “…their pricemovement behaviours apparently change in 2017, and we would like to see if tail characteristics are 5We use ln(T) (where T is the length of the time series) as the lag of Ljung-Box tests, which is suggested by Tsay (2005) and followed by other papers (For example, Fang and Miller 2007).”