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, and Forecasting.

Recent working papers:

(a) csv.pdf

(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