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Correlated idiosyncratic volatility shocks
Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
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High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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Long-range dependence in daily stock volatilities
Ray, Bonnie K.; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 254-262
Persistent link: https://www.econbiz.de/10001469693
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Market based credit rating and its applications
Tsay, Ruey S.; Zhu, H. - In: Applied quantitative finance, (pp. 113-128). 2017
Persistent link: https://www.econbiz.de/10011794956
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Testing serial correlation and ARCH effect of high-dimensional time-series data
Ling, Shiqing; Tsay, Ruey S.; Yang, Yaxing - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 136-147
Persistent link: https://www.econbiz.de/10012424504