Analysis of Financial Time Series

By Eric R. Ziegel. 2002

1,966 citations recorded by the source corpus.

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

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Citations in the corpus

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).”
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.”
Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification (2006, methodology): “…used conditional mean and conditional variance specifications such as ARCH, GARCH, VAR, Markov switching, etc., see Granger and Teräsvirta (1993), Hamilton (1994), Tsay (2002), and all the chapters on dependent processes in the Handbook of Econometrics, Vol. 4, edited by Engle and McFadden (1994).”
GARCH Models (2010, neutral): “…(2009) are devoted to GARCH and several books devote a chapter to GARCH: Mills (1993), Hamilton (1994), Franses and van Dijk (2000), Gouriéroux and Jasiak (2001), Tsay (2002), Franke, Härdle and Hafner (2004), McNeil, Frey and Embrechts (2005), Taylor (2007) and Andersen et al. (2009).”
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.”
M-estimation of linear models with dependent errors (2004, methodology): “Welsh (1989) considered M-processes for linear models with iid errors.”
SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS (2011, background): “The choice of this time span is motivated by the fact that, prior to 2001, January 29 the tick size was 116 of a dollar for NYSE stocks, whereas all NYSE and AMEX stocks started to trade in decimals thereafter (see, e.g., Tsay, 2002, p. 181).”
Forecasting time-varying covariance with a range-based dynamic conditional correlation model (2009, methodology): “Other econometric methods for estimating the time-varying correlation are proposed by Tsay (2002) and by Tse and Tsui (2002), too.”
NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL (2009, positive): “11For the time-varying conditional correlation they employ the equation: (1−γ1L)qt = γ0 + γ2Lε2t (see also Tsay, 2002, p.374).”
On a mixture vector autoregressive model (2007, positive): “Tsay (2002) suggested that the VARMA(2, 1) and VAR(4) model may be appropriate for describing the log transformed time series.”
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.”