Research page of Ruey S. Tsay
Research interest :
Econometric modeling, Extreme value theory, Financial
econometrics,
High-frequency data analysis, Linear and nonlinear time series
models,
Markov chain Monte Carlo methods, Risk management.
Recent working papers:
(a)
Books:
(a) Analysis of
Financial Time Series: Wiley, 2002
(b) A Course in Time
Series Analysis: Wiley, 2001
(edited with D. Pena & George Tiao)
(c) Analysis of Financial Time Series, 2nd Edition: Wiley, 2005
(d) Analysis of Financial Time Series, 3rd Edition: Wiley, 2010