scientific article; zbMATH DE number 1820665

zbMATH Open1037.91080MaRDI QIDQ4779802FDOQ4779802

Authors: Ruey S. Tsay 

Publication date: 27 October 2002

Title of this publication is not available (Why is that?)

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zbMATH Keywords

MCMCtime seriesfinanceoptionsvolatilitydiffusionVARMAVaRco-integrationextremeheavy tailedmultiple assets

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Auctions, bargaining, bidding and selling, and other market models (91B26) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

Cited In (only showing first 100 items - show all)

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• Support vector machine as an efficient framework for stock market volatility forecasting
• Indexation and causation of financial markets. Nonstationary time series analysis method
• Trending time-varying coefficient time series models with serially correlated errors
• A note on parameter estimation of panel vector autoregressive models with intercorrelation
• Correlation and the time interval in multiple regression models
• Estimating the integrated volatility with tick observations
• A stochastic volatility model with flexible extremal dependence structure
• Minimum alpha-divergence estimation for arch models
• Penalized spline estimation for functional coefficient regression models
• A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices
• Robust artificial neural networks for pricing of European options
• Forecasting with univariate TAR models
• Generalized R-estimators under conditional heteroscedasticity
• Double barrier option under regime-switching exponential mean-reverting process
• Testing multivariate distributions in GARCH models
• An XML-based schema for stochastic programs
• Estimation and test of jump discontinuities in varying coefficient models with empirical applications
• Asymptotics of rank order statistics for ARCH residual empirical processes.
• Multivariate time series analysis. With R and financial applications
• Empirical likelihood inference for partially time-varying coefficient errors-in-variables models
• Discrete time series, processes, and applications in finance.
• The structure of dynamic correlations in multivariate stochastic volatility models
• Evaluating financial time series models for irregularly spaced data: a spectral density approach
• The economic value of volatility timing using a range-based volatility model
• Fuzzy coefficient volatility (FCV) models with applications
• Analysis of financial time series
• Conditional VaR estimation using Pearson's type IV distribution
• Bootstrap prediction for returns and volatilities in GARCH models
• The Birnbaum-Saunders autoregressive conditional duration model
• Wavelet estimation in time-varying coefficient models
• Analysis of compound bullwhip effect causes
• On diagnostics in conditionally heteroskedastic time series models under elliptical distributions
• Asset price dynamics, volatility, and prediction.
• Time series in economics and finance
• A genetic estimation algorithm for parameters of stochastic ordinary differential equations
• Maximum likelihood estimation of the double exponential jump-diffusion process
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• Quantitative methods for portfolio analysis. MTV model approach
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• A family of autoregressive conditional duration models applied to financial data
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• Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations
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• Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
• Testing for intercept-scale switch in linear autoregression
• An introduction to analysis of financial data with R.
• On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions
• Extending the volatility concept to point processes
• Temporal aggregation of equity return time-series models
• The HESSIAN method: highly efficient simulation smoothing, in a nutshell
• Empirical likelihood ratio tests for multivariate regression models
• Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
• Portmanteau tests for ARMA models with infinite variance
• A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes
• Modelling dynamic portfolio risk using risk drivers of elliptical processes
• Kernel estimation of extreme regression risk measures
• Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
• Subset selection for vector autoregressive processes using Lasso
• Parametric and nonparametric models and methods in financial econometrics
• GARCH models. Structure, statistical inference and financial applications
• A Note on Non‐Negative Arma Processes
• Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
• A feasible natural hedging strategy for insurance companies
• Least tail-trimmed squares for infinite variance autoregressions
• Extended dynamic generalized linear models: the two-parameter exponential family
• Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
• Missing mean does no harm to volatility!
• PID: a PDF-induced distance based on permutation cross-distribution entropy
• The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study
• Statistical analysis of financial time series under the assumption of local stationarity
• A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
• Nonlinear time series analysis since 1990: Some personal reflections
• Reconstructing nonlinear structure in regression residuals
• Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
• Wavelet-M-estimation for time-varying coefficient time series models
• A maximum likelihood approach to volatility estimation for a Brownian motion using high, low and close price data
• Empirical likelihood intervals for conditional value-at-risk in heteroscedastic regression models
• Linear models and time-series analysis. Regression, ANOVA, ARMA and GARCH
• Parameter estimation of an agent-based stock price model
• COPAR -- multivariate time series modeling using the copula autoregressive model
• Simulated maximum likelihood in autoregressive models with stochastic volatility errors
• On sequential confidence interval in a stationary Gaussian process
• A linearly distributed lag estimator with \(r\)-convex coefficients
• A time series approach to option pricing. Models, methods and empirical performances
• Modelling Poisson marked point processes using bivariate mixture transition distributions
• Mixture Gaussian time series modeling of long-term market returns
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• Optimization of portfolio compositions for small and medium price-taking traders
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• A review of INMA integer-valued model class, application and further development
• Time-varying vector autoregressive models with stochastic volatility

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