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Ruey S. Tsay - Publications

Affiliations: 
University of Chicago, Chicago, IL 
Area:
Statistics
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Year Citation  Score
2020 Han Y, Tsay RS. High-dimensional Linear Regression for Dependent Data with Applications to Nowcasting Statistica Sinica. DOI: 10.5705/Ss.202018.0044  0.325
2020 Chen Y, Tsay RS. Time evolution of income distributions with subgroup decompositions Econometric Reviews. 1-32. DOI: 10.1080/07474938.2020.1772570  0.342
2020 Tsay RS. Testing serial correlations in high-dimensional time series via extreme value theory Journal of Econometrics. 216: 106-117. DOI: 10.1016/J.Jeconom.2020.01.008  0.376
2019 Deb S, Tsay RS. Spatio-temporal models with space-time interaction and their applications to air pollution data Statistica Sinica. DOI: 10.5705/Ss.202017.0561  0.314
2019 Gao Z, Tsay RS. A Structural‐Factor Approach to Modeling High‐Dimensional Time Series and Space‐Time Data Journal of Time Series Analysis. 40: 343-362. DOI: 10.1111/Jtsa.12466  0.515
2019 Wang Y, Tsay RS. Clustering Multiple Time Series with Structural Breaks Journal of Time Series Analysis. 40: 182-202. DOI: 10.1111/Jtsa.12434  0.355
2019 Ling S, Tsay RS, Yang Y. Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data Journal of Business & Economic Statistics. 1-12. DOI: 10.1080/07350015.2019.1647844  0.325
2019 Chen EY, Tsay RS, Chen R. Constrained Factor Models for High-Dimensional Matrix-Variate Time Series Journal of the American Statistical Association. 115: 775-793. DOI: 10.1080/01621459.2019.1584899  0.344
2019 Peña D, Tsay RS, Zamar RH. Empirical Dynamic Quantiles for Visualization of High-Dimensional Time Series Technometrics. 61: 429-444. DOI: 10.1080/00401706.2019.1575285  0.341
2017 Tsay RS, Pourahmadi M. Modelling structured correlation matrices Biometrika. 104: 237-242. DOI: 10.1093/Biomet/Asw061  0.332
2017 Matteson DS, Tsay RS. Independent Component Analysis via Distance Covariance Journal of the American Statistical Association. 112: 623-637. DOI: 10.1080/01621459.2016.1150851  0.599
2016 Tsai H, Tsay RS, Lin EMH, Cheng C. Doubly Constrained Factor Models With Applications Statistica Sinica. 26: 1453-1478. DOI: 10.5705/Ss.2013.332T  0.447
2016 Tsay RS. Some Methods for Analyzing Big Dependent Data Journal of Business & Economic Statistics. 34: 673-688. DOI: 10.1080/07350015.2016.1148040  0.462
2015 Creal DD, Tsay RS. High dimensional dynamic stochastic copula models Journal of Econometrics. 189: 335-345. DOI: 10.2139/Ssrn.2470724  0.418
2014 Creal DD, Gramacy RB, Tsay RS. Market-Based Credit Ratings Journal of Business and Economic Statistics. 32: 430-444. DOI: 10.2139/Ssrn.2310260  0.304
2014 Ando T, Tsay RS. A Predictive Approach for Selection of Diffusion Index Models Econometric Reviews. 33: 68-99. DOI: 10.1080/07474938.2013.807105  0.393
2014 Hu YP, Tsay RS. Principal Volatility Component Analysis Journal of Business and Economic Statistics. 32: 153-164. DOI: 10.1080/07350015.2013.818006  0.451
2013 Wang Y, Tsay RS, Ledolter J, Shrestha KM. Forecasting simultaneously high-dimensional time series: A robust model-based clustering approach Journal of Forecasting. 32: 673-684. DOI: 10.1002/For.2264  0.346
2012 Tsay RS, Ando T. Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market Computational Statistics and Data Analysis. 56: 3345-3365. DOI: 10.1016/J.Csda.2010.11.028  0.393
2011 Tsay RS, Yeh JH. Random aggregation with applications in high-frequency finance Journal of Forecasting. 30: 72-103. DOI: 10.2139/Ssrn.1666022  0.431
2011 Matteson DS, Tsay RS. Dynamic orthogonal components for multivariate time series Journal of the American Statistical Association. 106: 1450-1463. DOI: 10.1198/Jasa.2011.Tm10616  0.636
2011 Ando T, Tsay RS. Quantile regression models with factor-augmented predictors and information criterion Econometrics Journal. 14: 1-24. DOI: 10.1111/J.1368-423X.2010.00320.X  0.445
2011 Tsay RS. Statistics in finance Wiley Interdisciplinary Reviews: Computational Statistics. DOI: 10.1002/Wics.168  0.418
2011 Mills TC, Tsay RS, Young PC. Introduction to special issue commemorating the 50th anniversary of the Kalman Filter and 40th anniversary of Box and Jenkins Journal of Forecasting. 30: 1-5. DOI: 10.1002/For.1202  0.338
2010 Peña D, Tsay RS. A conversation with George C. Tiao Statistical Science. 25: 408-428. DOI: 10.1214/09-Sts292  0.35
2010 Tsai H, Tsay RS. Constrained factor models Journal of the American Statistical Association. 105: 1593-1605. DOI: 10.1198/Jasa.2010.Tm09123  0.453
2010 Chang C, Tsay RS. Estimation of covariance matrix via the sparse Cholesky factor with lasso Journal of Statistical Planning and Inference. 140: 3858-3873. DOI: 10.1016/J.Jspi.2010.04.048  0.576
2010 Ando T, Tsay R. Predictive likelihood for Bayesian model selection and averaging International Journal of Forecasting. 26: 744-763. DOI: 10.1016/J.Ijforecast.2009.08.001  0.421
2009 Cai A, Tsay RS, Chen R. Variable selection in linear regression with many predictors Journal of Computational and Graphical Statistics. 49: 573-591. DOI: 10.1198/Jcgs.2009.06164  0.354
2009 Galeano P, Tsay RS. Shifts in individual parameters of a GARCH model Journal of Financial Econometrics. 8: 122-153. DOI: 10.1093/Jjfinec/Nbp007  0.385
2009 Tsay RS, Lin YM, Wang HW. Residual income, non-earnings information, and information content Journal of Forecasting. 28: 487-511. DOI: 10.1002/For.1104  0.317
2009 Ando T, Tsay RS. Model selection for generalized linear models with factor-augmented predictors Applied Stochastic Models in Business and Industry. 25: 207-235. DOI: 10.1002/Asmb.V25:3  0.441
2008 Chiou SC, Tsay RS. A Copula-based Approach to Option Pricing and Risk Assessment Journal of Data Science. 6: 273-301. DOI: 10.6339/Jds.2008.06(3).503  0.667
2008 Ohanissian A, Russell JR, Tsay RS. True or spurious long memory? A new test Journal of Business and Economic Statistics. 26: 161-175. DOI: 10.1198/073500107000000340  0.307
2008 Tsay RS, Ling S. Canonical correlation analysis for the vector AR(1) model with ARCH innovations Journal of Statistical Planning and Inference. 138: 2826-2836. DOI: 10.1016/J.Jspi.2008.03.022  0.388
2008 Zhang MY, Russell JR, Tsay RS. Determinants of bid and ask quotes and implications for the cost of trading Journal of Empirical Finance. 15: 656-678. DOI: 10.1016/J.Jempfin.2007.12.003  0.504
2008 Tsay RS, Lin YM, Wang HW. Residual income, value-relevant information and equity valuation: A simultaneous equations approach Review of Quantitative Finance and Accounting. 31: 331-358. DOI: 10.1007/S11156-007-0081-4  0.366
2006 Galeano P, Peña D, Tsay RS. Outlier detection in multivariate time series by projection pursuit Journal of the American Statistical Association. 101: 654-669. DOI: 10.1198/016214505000001131  0.374
2005 Kuan CM, Huang YL, Tsay RS. An unobserved-component model with switching permanent and transitory innovations Journal of Business and Economic Statistics. 23: 443-454. DOI: 10.1198/073500105000000054  0.487
2005 Min W, Tsay RS. On canonical analysis of multivariate time series Statistica Sinica. 15: 303-323.  0.365
2003 Cho DD, Russell J, Tiao GC, Tsay R. The magnet effect of price limits: Evidence from high-frequency data on Taiwan Stock Exchange Journal of Empirical Finance. 10: 133-168. DOI: 10.1016/S0927-5398(02)00024-5  0.323
2003 Tsay RS, Wu CS. Forecasting with leading indicators revisited Journal of Forecasting. 22: 603-617. DOI: 10.1002/For.879  0.411
2002 Ray BK, Tsay RS. Bayesian methods for change-point detection in long-range dependent processes Journal of Time Series Analysis. 23: 687-705. DOI: 10.1111/1467-9892.00286  0.37
2001 McCulloch RE, Tsay RS. Nonlinearity in High-Frequency Financial Data and Hierarchical Models Studies in Nonlinear Dynamics and Econometrics. 5: 1-18. DOI: 10.2202/1558-3708.1067  0.459
2001 Zhang MY, Russell JR, Tsay RS. A nonlinear autoregressive conditional duration model with applications to financial transaction data Journal of Econometrics. 104: 179-207. DOI: 10.1016/S0304-4076(01)00063-X  0.585
2000 Tsay RS, Peña D, Pankratz AE. Outliers in multivariate time series Biometrika. 87: 789-804. DOI: 10.1093/Biomet/87.4.789  0.451
2000 Ray BK, Tsay RS. Long-range dependence in daily stock volatilities Journal of Business and Economic Statistics. 18: 254-262. DOI: 10.1080/07350015.2000.10524867  0.345
1999 Kariya T, Tsay RS, Terui N, Li H. Tests for multinormality with applications to time series Communications in Statistics - Theory and Methods. 28: 519-536. DOI: 10.1080/03610929908832312  0.382
1998 Chan KS, Tsay RS. Limiting properties of the least squares estimator of a continuous threshold autoregressive model Biometrika. 85: 413-426. DOI: 10.1093/Biomet/85.2.413  0.398
1998 Tsay RS. Testing and modeling multivariate threshold models Journal of the American Statistical Association. 93: 1188-1202. DOI: 10.1080/01621459.1998.10473779  0.441
1998 Li H, Tsay RS. A unified approach to identifying multivariate time series models Journal of the American Statistical Association. 93: 770-782. DOI: 10.1080/01621459.1998.10473729  0.474
1998 Montgomery AL, Zarnowitz V, Tsay RS, Tiao GC. Forecasting the U.S. Unemployment rate Journal of the American Statistical Association. 93: 478-493. DOI: 10.1080/01621459.1998.10473696  0.385
1998 Ghysels E, Mcculloch RE, Tsay RS. Bayesian inference for periodic regime-switching models Journal of Applied Econometrics. 13: 129-143. DOI: 10.1002/(Sici)1099-1255(199803/04)13:2<129::Aid-Jae466>3.0.Co;2-2  0.443
1998 Tiao GC, Tsay RS, Man KS, Chu YJ, Xu KK, Chen C, Lin JL, Hsu CM, Lin CF, Mao CS, Ho CS, Liou RW, Yang YF. A time series approach to econometric models of Taiwan's economy Statistica Sinica. 8: 991-1044.  0.381
1997 Ray BK, Tsay RS. Bandwidth selection for kernel regression with long-range dependent errors Biometrika. 84: 791-802. DOI: 10.1093/Biomet/84.4.791  0.367
1997 Chen CWS, McCulloch RE, Tsay RS. A unified approach to estimating and modeling linear and nonlinear time series Statistica Sinica. 7: 451-472.  0.381
1996 Chan NH, Tsay RS. Asymptotic inference for non-invertible moving-average time series Journal of Time Series Analysis. 17: 1-17. DOI: 10.1111/J.1467-9892.1996.Tb00261.X  0.425
1996 Chen R, Tsay RS. Nonlinear transfer functions Journal of Nonparametric Statistics. 6: 193-204. DOI: 10.1080/10485259608832671  0.335
1996 Roberts HV, Tsay RS. Making control charts more effective by time series analysis: Three illustrative applications Communications in Statistics - Theory and Methods. 25: 2767-2796. DOI: 10.1080/03610929608831868  0.364
1996 Lin J, Tsay RS. Co‐integration constraint and forecasting: An empirical examination Journal of Applied Econometrics. 11: 519-538. DOI: 10.1002/(Sici)1099-1255(199609)11:5<519::Aid-Jae410>3.0.Co;2-Q  0.363
1995 Chen R, Liu JS, Tsay RS. Additivity tests for nonlinear autoregression Biometrika. 82: 369-383. DOI: 10.1093/Biomet/82.2.369  0.406
1994 McCulloch RE, Tsay RS. Statistical Analysis Of Economic Time Series Via Markov Switching Models Journal of Time Series Analysis. 15: 523-539. DOI: 10.1111/J.1467-9892.1994.Tb00208.X  0.45
1994 McCulloch RE, Tsay RS. Bayesian Analysis Of Autoregressive Time Series Via The Gibbs Sampler Journal of Time Series Analysis. 15: 235-250. DOI: 10.1111/J.1467-9892.1994.Tb00188.X  0.418
1994 Mcculloch RE, Tsay RS. Bayesian inference of trend and difference-stationarity Econometric Theory. 10: 596-608. DOI: 10.1017/S0266466600008689  0.476
1994 Tiao GC, Tsay RS. Some advances in non‐linear and adaptive modelling in time‐series Journal of Forecasting. 13: 109-131. DOI: 10.1002/For.3980130206  0.45
1993 Tsay RS. Testing For Noninvertible Models With Applications Journal of Business and Economic Statistics. 11: 225-233. DOI: 10.1080/07350015.1993.10509951  0.4
1993 Tsay RS. Comment: Adaptive forecasting Journal of Business and Economic Statistics. 11: 140-142. DOI: 10.1080/07350015.1993.10509941  0.379
1993 Chen R, Tsay RS. Functional-Coefficient Autoregressive Models Journal of the American Statistical Association. 88: 298-308. DOI: 10.1080/01621459.1993.10594322  0.456
1993 McCulloch RE, Tsay RS. Bayesian inference and prediction for mean and variance shifts in autoregressive time series Journal of the American Statistical Association. 88: 968-978. DOI: 10.1080/01621459.1993.10476364  0.446
1993 Chen R, Tsay RS. Nonlinear additive ARX models Journal of the American Statistical Association. 88: 955-967. DOI: 10.1080/01621459.1993.10476363  0.431
1993 Tiao GC, Tsay RS, Wang T. Usefulness of linear transformations in multivariate time-series analysis Empirical Economics. 18: 567-593. DOI: 10.1007/978-3-642-48742-2_2  0.448
1992 Tsay RS. Model Checking Via Parametric Bootstraps in Time Series Analysis Applied Statistics. 41: 1-15. DOI: 10.2307/2347612  0.462
1992 Cao C, Tsay RS. Nonlinear Time-Series Analysis of Stock Volatilities Journal of Applied Econometrics. 7: 165-185. DOI: 10.1002/Jae.3950070512  0.459
1990 Tsay RS, Tiao GC. Asymptotic properties of multivariate nonstationary processes with applications to autoregressions Annals of Statistics. 18: 220-250. DOI: 10.1214/Aos/1176347499  0.35
1989 Tiao GC, Tsay RS. Model Specification in Multivariate Time Series Journal of the Royal Statistical Society Series B-Methodological. 51: 157-195. DOI: 10.1111/J.2517-6161.1989.Tb01756.X  0.424
1989 Tsay RS. Identifying Multivariate Time Series Models Journal of Time Series Analysis. 10: 357-372. DOI: 10.1111/J.1467-9892.1989.Tb00034.X  0.446
1989 Tsay RS. Parsimonious parameterization of vector autoregressive moving average models Journal of Business and Economic Statistics. 7: 321-341. DOI: 10.1080/07350015.1989.10509742  0.437
1989 Tsay RS. Testing and modeling threshold autoregressive processes Journal of the American Statistical Association. 84: 231-240. DOI: 10.1080/01621459.1989.10478760  0.489
1988 Tsay RS. Non‐Linear Time Series Analysis Of Blowfly Population Journal of Time Series Analysis. 9: 247-263. DOI: 10.1111/J.1467-9892.1988.Tb00469.X  0.426
1988 Tsay RS. Outliers, Level Shifts, and Variance Changes in Time Series Journal of Forecasting. 7: 1-20. DOI: 10.1002/For.3980070102  0.374
1987 Greenhouse JB, Kass RE, Tsay RS. Fitting nonlinear models with ARMA errors to biological rhythm data. Statistics in Medicine. 6: 167-83. PMID 3589246 DOI: 10.1002/Sim.4780060209  0.424
1987 Tsay RS. Non-Gaussian State-Space Modeling of Nonstationary Time Series: Comment: Detecting and Modeling Changes in Time Series Journal of the American Statistical Association. 82: 1056. DOI: 10.2307/2289380  0.389
1987 Tsay RS. Comment: Detecting and modeling changes in time series Journal of the American Statistical Association. 82: 1056-1059. DOI: 10.1080/01621459.1987.10478539  0.365
1987 Tsay RS. Conditional heteroscedastic time series models Journal of the American Statistical Association. 82: 590-604. DOI: 10.1080/01621459.1987.10478471  0.496
1986 Tsay RS. Discussion: Influence Functionals for Time Series Annals of Statistics. 14: 835-836. DOI: 10.1214/Aos/1176350034  0.301
1986 Tsay RS. Nonlinearity tests for time series Biometrika. 73: 461-466. DOI: 10.1093/Biomet/73.2.461  0.35
1986 Tsay RS. Time series model specification in the presence of outliers Journal of the American Statistical Association. 81: 132-141. DOI: 10.1080/01621459.1986.10478250  0.465
1985 Fienberg SE, Tsay RS. Dynamic Generalized Linear Models and Bayesian Forecasting: Comment Journal of the American Statistical Association. 80: 89. DOI: 10.2307/2288045  0.398
1985 Tsay RS, Tiao GC. Use of canonical analysis in time series model identification Biometrika. 72: 299-315. DOI: 10.1093/Biomet/72.2.299  0.49
1985 Tsay RS. Model identification in dynamic regression (Distributed lag) models Journal of Business and Economic Statistics. 3: 228-237. DOI: 10.1080/07350015.1985.10509454  0.43
1984 Tsay RS. Order Selection in Nonstationary Autoregressive Models Annals of Statistics. 12: 1425-1433. DOI: 10.1214/Aos/1176346801  0.329
1984 Tsay RS. Regression models with time series errors Journal of the American Statistical Association. 79: 118-124. DOI: 10.1080/01621459.1984.10477073  0.412
1984 Tsay RS, Tiao GC. Consistent estimates of autoregressive parameters and extended sample autocorrelation function for stationary and nonstationary ARMA models Journal of the American Statistical Association. 79: 84-96. DOI: 10.1080/01621459.1984.10477068  0.428
1983 Tiao GC, Tsay RS. Consistency Properties of Least Squares Estimates of Autoregressive Parameters in ARMA Models Annals of Statistics. 11: 856-871. DOI: 10.1214/Aos/1176346252  0.396
1983 Tiao GC, Tsay RS. Multiple time series modeling and extended sample cross-correlations Journal of Business and Economic Statistics. 1: 43-56. DOI: 10.1080/07350015.1983.10509323  0.43
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