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Selected Bibliography for Ruey S. Tsay
H.G.B. Alexander Professor of Econometrics and Statistics


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Published Works

"Discussion of Feature Matching in Time Series Modeling by Y. Xia and H. Tong." Kung-Sik Chan and Ruey S. Tsay; Statistical Science, 2011, 26(1), pp. 53-56.
http://dx.doi.org/10.1214/11-STS345B

"Dynamic Orthogonal Components for Multivariate Time Series." David S. Matteson and Ruey S. Tsay; Journal of the American Statistical Association, 2011, 106(496), pp. 1450-63.
http://dx.doi.org/10.1198/jasa.2011.tm10616

"Statistics in Finance." Ruey S. Tsay; Wiley Interdisciplinary Reviews: Computational Statistics, 2011, 3(4), pp. 289-315.
http://dx.doi.org/10.1002/wics.168

"Quantile Regression Models with Factor-Augmented Predictors and Information Criterion." Tomohiro Ando and Ruey S. Tsay; The Econometrics Journal, 2011, 14(1), pp. 1-24.
http://dx.doi.org/10.1111/j.1368-423X.2010.00320.x

"Random Aggregation with Applications in High-Frequency Finance." Ruey S. Tsay and Jin-Huei Yeh; Journal of Forecasting, 2011, 30(1), pp. 72-103.
http://dx.doi.org/10.1002/for.1196

"Particle Filters and Bayesian Inference in Financial Econometrics." Hedibert F. Lopes and Ruey S. Tsay; Journal of Forecasting, 2011, 30(1), pp. 168-209.
http://dx.doi.org/10.1002/for.1195

"A Conversation with George C. Tiao." Daniel Peña and Ruey S. Tsay; Statistical Science, 2010, 25(3), pp. 408-28.
http://dx.doi.org/10.1214/09-STS292

"Estimation of Covariance Matrix Via the Sparse Cholesky Factor with Lasso." Changgee Chang and Ruey S. Tsay; Journal of Statistical Planning and Inference, 2010, 140(12), pp. 3858-73.
http://dx.doi.org/10.1016/j.jspi.2010.04.048

"Constrained Factor Models." Henghsiu Tsai and Ruey S. Tsay; Journal of the American Statistical Association, 2010, 105(492), pp. 1593-605.
http://dx.doi.org/10.1198/jasa.2010.tm09123

"Predictive Likelihood for Bayesian Model Selection and Averaging." Tomohiro Ando and Ruey Tsay; International Journal of Forecasting, 2010, 26(4), pp. 744-63.
http://dx.doi.org/10.1016/j.ijforecast.2009.08.001

"Shifts in Individual Parameters of a GARCH Model." Pedro Galeano and Ruey S. Tsay; Journal of Financial Econometrics, 2010, 8(1), pp. 122-53.
http://dx.doi.org/10.1093/jjfinec/nbp007

"Rejoinder: Model Selection for Generalized Linear Models with Factor-Augmented Predictors." T. Ando and Ruey S. Tsay; Applied Stochastic Models in Business and Industry, 2009, 25(3), pp. 243-46.
http://dx.doi.org/10.1002/asmb.783

"Residual Income, Non-Earnings Information, and Information Content." Ruey S. Tsay, Yi-Mien Lin and Hsiao-Wen Wang; Journal of Forecasting, 2009, 28(6), pp. 487-511.
http://dx.doi.org/10.1002/for.1104

"Variable Selection in Linear Regression with Many Predictors." Airong Cai, Ruey S. Tsay and Rong Chen; Journal of Computational and Graphical Statistics, 2009, 18(3), pp. 573-91.
http://dx.doi.org/10.1198/jcgs.2009.06164

"Intergenerational Transmission of Sex-Specific Differential Treatments: The Allocation of Education Resources among Siblings." C. Y. Cyrus Chu, Ruey S. Tsay and Ruoh-rong Yu; Social Science Research, 2008, 37(2), pp. 386-99.
http://dx.doi.org/10.1016/j.ssresearch.2007.06.008

"Canonical Correlation Analysis for the Vector Ar(1) Model with Arch Innovations." Ruey S. Tsay and Shiqing Ling; Journal of Statistical Planning and Inference, 2008, 138(9), pp. 2826-36.
http://dx.doi.org/10.1016/j.jspi.2008.03.022

"Intergenerational Transmission of Sex-Specific Differential Treatments: The Allocation of Education Resources among Siblings." C. Y. Cyrus Chu, Ruey S. Tsay and Ruoh-rong Yu; Social Science Research, 2008, 37(2), pp. 386-99.
http://dx.doi.org/10.1016/j.ssresearch.2007.06.008

"Residual Income, Value-Relevant Information and Equity Valuation: A Simultaneous Equations Approach." Ruey Tsay, Yi-Mien Lin and Hsiao-Wen Wang; Review of Quantitative Finance and Accounting, 2008, 31(4), pp. 331-58.
http://dx.doi.org/10.1007/s11156-007-0081-4

"Determinants of Bid and Ask Quotes and Implications for the Cost of Trading." Michael Yuanjie Zhang, Jeffrey R. Russell and Ruey S. Tsay; Journal of Empirical Finance, 2008, 15(4), pp. 656-78.
http://dx.doi.org/10.1016/j.jempfin.2007.12.003

"True or Spurious Long Memory? A New Test." Arek Ohanissian, Jeffrey R. Russell and Ruey S. Tsay; Journal of Business and Economic Statistics, 2008, 26, pp. 161-75.
http://dx.doi.org/10.1198/073500107000000340

"Never-Ending Developments in Time Series Analysis." Ruey S. Tsay; Statistica Sinica, 2007, 17(1), pp. 6-7.
http://www3.stat.sinica.edu.tw/statistica/J17N1/editorial_2.pdf

"Outlier Detection in Multivariate Time Series by Projection Pursuit." Pedro Galeano, Daniel Pena and Ruey S. Tsay; Journal of the American Statistical Association, 2006, 101(474), pp. 654.
http://dx.doi.org/10.1198/016214505000001131

"On Canonical Analysis of Multivariate Time Series." Wanli Min and Ruey S. Tsay; Statistica Sinica, 2005, 15(2), pp. 303-23.
http://www3.stat.sinica.edu.tw/statistica/J15N2/J15N22/J15N22.html

"An Unobserved-Component Model with Switching Permanent and Transitory Innovations." Chung-Ming Kuan, Yu-Lieh Huang and Ruey S. Tsay; Journal of Business & Economic Statistics, 2005, 23(4), pp. 443.
http://dx.doi.org/10.1198/073500105000000054

"Forecasting with Leading Indicators Revisited." Ruey S. Tsay and Chung-Shu Wu; Journal of Forecasting, 2003, 22(8), pp. 603-17.
http://dx.doi.org/10.1002/for.879

"The Magnet Effect of Price Limits: Evidence from High-Frequency Data on Taiwan Stock Exchange." David D. Cho, Jeffrey Russell, George C. Tiao and Ruey Tsay; Journal of Empirical Finance, 2003, 10( 1-2), pp. 133.
http://dx.doi.org/10.1016/S0927-5398(02)00024-5

Analysis of Financial Time Series; Ruey S. Tsay; Wiley Series in Probability and Statistics.;; New York: Wiley, 2002

The Semi-Nonstationary Process : Model and Empirical Evidence; Chung-ming Kuan, Yue-lieh Huang and Ruey S. Tsay; Discussion paper series no. 345.; Hong Kong: School of Economics and Finance The University of Hong Kong, 2001.
http://www.econometricsociety.org/meetings/esem02/cdrom/papers/189/semi5.pdf

A Course in Time Series Analysis; Daniel Pena, Ruey S. Tsay and George C. Tiao; New York: Chichester, 2001

"Nonlinearity in High-Frequency Financial Data and Hierarchical Models." Robert E. McCulloch and Ruey S. Tsay; Studies in Nonlinear Dynamics and Econometrics, 2001, 5(1), pp. 1-17.
http://www.bepress.com/snde/vol5/iss1/art1

"A Nonlinear Autoregressive Conditional Duration Model with Applications to Financial Transaction Data." Michael Yuanjie Zhang, Jeffrey R Russell and Ruey S Tsay; Journal of Econometrics, 2001, 104(1), pp. 179.
http://dx.doi.org/10.1016/S0304-4076(01)00063-X

"Editor's Introduction to Panel Discussion on Analysis of High Frequency Data." Ruey S Tsay; Journal of Business and Economic Statistics, 2000, 18(2), pp. 139.
http://www.jstor.org/stable/1392550

"Outliers in Multivariate Time Series." Ruey S. Tsay, Daniel Pena and Alan E. Pankratz; Biometrika, 2000, 87(4), pp. 789.
http://www.jstor.org/stable/2673610

"Long-Range Dependence in Daily Stock Volatilities." Bonnie K. Ray and Ruey S. Tsay; Journal of Business and Economic Statistics, 2000, 18(2), pp. 254-62.
http://www.jstor.org/stable/1392562

"Time Series and Forecasting: Brief History and Future Research." Ruey S. Tsay; Journal of the American Statistical Association, 2000, 95(450), pp. 638-43.
http://www.jstor.org/stable/2669408

"Forecasting and Modeling Taiwan Private Consumption Data." Yu-Pin Hu, Jane Chu and Ruey S. Tsay; Academia Economic Papers, 1999, 27(1), pp. 1-22.

"Forecasting the U.S. Unemployment Rate." Alan R. Montgomery, Victor Zarnowitz, Ruey S. Tsay and George C. Tiao; Journal of the American Statistical Association, 1998, 93(442), pp. 478.
http://www.jstor.org/stable/2670094

"Testing and Modeling Multivariate Threshold Models." Ruey S. Tsay; Journal of the American Statistical Association, 1998, 93(443), pp. 1188-202.
http://www.jstor.org/stable/2669861

"A Unified Approach to Identifying Multivariate Time Series Models." Hong Li and Ruey S. Tsay; Journal of the American Statistical Association, 1998, 93(442), pp. 770-82.
http://www.jstor.org/stable/2670127

"Bayesian Inference for Periodic Regime-Switching Models." Eric Ghysels, Robert E. McCulloch and Ruey S. Tsay; Journal of Applied Econometrics, 1998, 13(2), pp. 129-43.
http://www.jstor.org/stable/223255

"Co-Integration Constraint and Forecasting: An Empirical Examination." Jin-Lung Lin and Ruey S. Tsay; Journal of Applied Econometrics, 1996, 11(5), pp. 519-38.
http://www.jstor.org/stable/2285214

"Two Approaches to Bayesian Model Selection with Applications," Edward I George, Robert E. McCulloch and Ruey S. Tsay, in D. A. Berry, K. M. Chaloner and J. K. Geweke: Bayesian Analysis in Statistics and Econometrics: Essays in Honor of Arnold Zellner. New York: John Wiley, 1996, pp.

"Daniel B. Nelson, 1959-1995." George Tauchen, Ruey Tsay and Mark Watson; Journal of Business & Economic Statistics, 1995, 13(4), pp. 361.
http://www.jstor.org/stable/1392381

"Some Advances in Non Linear and Adaptive Modelling in Time Series." George C. Tiao and Ruey S. Tsay; Journal of Forecasting, 1994, 13(2), pp. 109.
http://search.ebscohost.com/login.aspx?direct=true&db=bth&AN=9406240913

"Bayesian Inference of Trend- and Difference-Stationarity." Robert E. McCulloch and Ruey S. Tsay; Econometric Theory, 1994, 10(3-4), pp. 596-608.
http://www.jstor.org/stable/3532551

"Nonlinearity Tests for Time Series," Ruey S. Tsay, in A. Harvey: Time Series. Aldershot, U.K.: Elgar, 1994, pp. 306-11

"Statistical Analysis of Economic Time Series Via Markov Switching Models." Robert E. McCulloch and Ruey S. Tsay; Journal of Time Series Analysis, 1994, 15, pp. 523-39.

"Bayesian Analysis of Autoregressive Time Series Via the Gibbs Sampler." Robert E. McCulloch and Ruey S. Tsay; Journal of Time Series Analysis, 1994, 15, pp. 235-50.

"Functional-Coefficient Autoregressive Models." Rong Chen and Ruey S. Tsay; Journal of the American Statistical Association, 1993, 88(421), pp. 298-308.
http://www.jstor.org/stable/2290725

"Usefulness of Linear Transformations in Multivariate Time-Series Analysis." George C. Tiao, Ruey S. Tsay and Taychang Wang; Empirical Economics, 1993, 18(4), pp. 567-93.
http://dx.doi.org/10.1007/BF01205412

"Testing for Noninvertible Models with Applications." Ruey S. Tsay; Journal of Business and Economic Statistics, 1993, 11(2), pp. 225-33.
http://www.jstor.org/stable/1391374

"Testing for Common Features: Comment." Ruey S. Tsay; Journal of Business and Economic Statistics, 1993, 11(4), pp. 390-92.
http://www.jstor.org/stable/1391628

"Nonlinear Additive Arx Models." Rong Chen and Ruey S. Tsay; Journal of the American Statistical Association, 1993, 88(423), pp. 955-67.
http://www.jstor.org/stable/2290787

"Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series." Robert E. McCulloch and Ruey S. Tsay; Journal of the American Statistical Association, 1993, 88(423), pp. 968-78.
http://www.jstor.org/stable/2290788

"Bayesian Analysis of Threshold Autoregressive Processes with a Random Number of Regimes," Robert E. McCulloch and Ruey S. Tsay, in M. E. Tarter and M. D. Lock: Computing Science and Statistics. Proceedings of the 25th Symposium on the Interface. Fairfax Station, VA: Interface Foundation of North America, 1993, pp. 253-62

"Model Checking Via Parametric Bootstraps in Time Series Analysis." Ruey S. Tsay; Journal of the Royal Statistical Society: Series C (Applied Statistics), 1992, 41( 1), pp. 1-15.
http://www.jstor.org/stable/2347612

"On the Ergodicity of Tar(1) Processes." Rong Chen and Ruey S. Tsay; Annals of Applied Probability, 1991, 1(4), pp. 613.
http://www.jstor.org/stable/2959709

"Review of 'Bayesian Spectrum Analysis and Parameter Estimation'." Ruey S. Tsay; Journal of the American Statistical Association, 1990, 85(409), pp. 258.
http://www.jstor.org/stable/2289561

"Parsimonious Parameterization of Vector Autoregressive Moving Average Models." Ruey S. Tsay; Journal of Business and Economic Statistics, 1989, 7(3), pp. 327-41.
http://www.jstor.org/stable/1391530

"Testing and Modeling Threshold Autoregressive Processes." Ruey S. Tsay; Journal of the American Statistical Association, 1989, 84(405), pp. 231-40.
http://www.jstor.org/stable/2289868

"Outliers, Level Shifts, and Variance Changes in Time Series." Ruey S. Tsay; Journal of Forecasting, 1988, 7(1), pp. 1.
http://search.ebscohost.com/login.aspx?direct=true&db=bth&AN=4987346

"Conditional Heteroscedastic Time Series Models." Ruey S. Tsay; Journal of the American Statistical Association, 1987, 82(398), pp. 590-604.
http://www.jstor.org/stable/2289470

"Non-Gaussian State-Space Modeling of Nonstationary Time Series: Comment: Detecting and Modeling Changes in Time Series." Ruey S. Tsay; Journal of the American Statistical Association, 1987, 82(400), pp. 1056-59.
http://www.jstor.org/stable/2289380

"Time Series Model Specification in the Presence of Outliers." Ruey S. Tsay; Journal of the American Statistical Association, 1986, 81(393), pp. 132-41.
http://www.jstor.org/stable/2287980

"Model Identification in Dynamic Regression (Distributed Lag) Models." Ruey S. Tsay; Journal of Business and Economic Statistics, 1985, 3(3), pp. 228-37.
http://www.jstor.org/stable/1391593

"Dynamic Generalized Linear Models and Bayesian Forecasting: Comment." Stephen E. Fienberg and Ruey S. Tsay; Journal of the American Statistical Association, 1985, 80(389), pp. 89-90.
http://www.jstor.org/stable/2288045

"Regression Models with Time Series Errors." Ruey S. Tsay; Journal of the American Statistical Association, 1984, 79(385), pp. 118-24.
http://www.jstor.org/stable/2288345

"Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models." Ruey S. Tsay and George C. Tiao; Journal of the American Statistical Association, 1984, 79(385), pp. 84-96.
http://www.jstor.org/stable/2288340

Identification of Multiplicative ARMA Models for Seasonal Time Series; Ruey S. Tsay and George C. Tiao; Technical report and research series no. 7; Chicago: University of Chicago Graduate School of Business, 1983.

Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models; Ruey S. Tsay and George C. Tiao; Technical report and research series no. 2; Chicago: University of Chicago Graduate School of Business, 1983.

Use of Canonical Analysis in Time Series Model Identification; Ruey S. Tsay and George C. Tiao; Technical Report and Research Series No. 12; Chicago: University of Chicago Graduate School of Business, 1983

"Multiple Time Series Modeling and Extended Sample Cross-Correlations." George C. Tiao and Ruey S. Tsay; Journal of Business and Economic Statistics, 1983, 1(1), pp. 43-56.
http://www.jstor.org/stable/1391772

Modeling Univariate and Multiple Time Series; Ruey Shiong Tsay; Ph.D Dissertation, University of Wisconsin--Madison, 1982.

 

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