Research page of Ruey S. Tsay

Research interest :

High-dimensional data analysis, Extreme value theory, Financial econometrics,
High-frequency data analysis, Linear and nonlinear time series models,
Markov chain Monte Carlo methods, Risk management, and Forecasting.

Selected recent papers:

(a) Principal volaitlity component analysis: Please see

http://www.tandfonline.com/eprint/Ij7CCI3vzAHdvjgtH65A/full

(b) Market-based Credit Rating: JBES (2014)

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

(e) An Introduction to Analysis of Financial Data with R: Wiley, 2013

(f) Multivariate Time Series Analysis with R and Financial Applications: Wiley, 2014

CV