← All authors Ruey S. Tsay University of Chicago (from arXiv:2601.04663, 2026) · ORCID · OpenAlex
138 papers in scope · 136 published · 8 on the econ.EM arXiv · 9,576 citations · h-index 41 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Zhaoxing Gao Puyi Fang Sihan Tu Jialuo Chen Elvin Isufi Andreas Loukas Nathanaël Perraudin Geert Leus David S. Matteson Xiaoyu Zhang Marie-Christine Düker Bernd Funovits Tomohiro Ando Jushan Bai Serena Ng Christis Katsouris Yuefeng Han Rong Chen Tadao Hoshino Xiao Han Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (8 of 138)
Missing Values in Time Series: A Brief Review and a New Versatile Imputation Method
published 2026 · International Statistical Review
George C. Tiao, 1933–2026
published 2026 · Journal of the Royal Statistical Society Series A (Statistics in Society)
with Daniel Peña
working paper 2026 · arXiv
Model selection for unit-root time series with many predictors
published 2026 · Electronic Journal of Statistics
with Shuo-Chieh Huang, Ching-Kang Ing
working paper 2025 · arXiv
published 2025 · Journal of Business and Economic Statistics · first circulated 2023
Denoising and Multilinear Projected-Estimation of High-Dimensional Matrix-Variate Factor Time Series
published 2025 · IEEE Transactions on Information Theory · first circulated 2023
A Multivariate Nonlinear Analysis of China’s GDP and World Oil Price and Its Implications
published 2025 · Studies in Nonlinear Dynamics and Econometrics
with Fredj Jawadi
published 2025 · Wiley Interdisciplinary Reviews Computational Statistics · 19 citations · first circulated 2024
Improving estimation of portfolio risk using new statistical factors
published 2024 · Annals of Operations Research · 1 citations
Time Series Forecasting with Many Predictors
published 2024 · Mathematics · 2 citations
with Shuo-Chieh Huang
published 2024 · Journal of the American Statistical Association · 6 citations · first circulated 2023
Rank-R matrix autoregressive models for modeling spatio-temporal data
published 2024 · Statistics and Its Interface
with Nan-Jung Hsu, Hsin-Cheng Huang, Tzu-Chieh Kao
Matrix‐Variate Time Series Analysis: A Brief Review and Some New Developments
published 2023 · International Statistical Review · 16 citations
Supervised kernel principal component analysis for forecasting
published 2023 · Finance research letters · 13 citations
A testing approach to clustering scalar time series
published 2023 · Journal of Time Series Analysis · 1 citations
with Daniel Peña
Testing for symmetric correlation matrices with applications to factor models
published 2023 · Journal of Time Series Analysis · 2 citations
with Nan-Jung Hsu, Lai Heng Sim
Rate-optimal robust estimation of high-dimensional vector autoregressive models
published 2023 · The Annals of Statistics · 15 citations · first circulated 2021
with Di Wang
High dimensional generalized linear models for temporal dependent data
published 2022 · Bernoulli · 9 citations
published 2022 · Journal of the American Statistical Association · 13 citations · first circulated 2021
Parsimony inducing priors for large scale state–space models
published 2021 · Journal of Econometrics · 29 citations
published 2021 · Econometrics and Statistics · 6 citations · first circulated 2020
Matrix Autoregressive Spatio-Temporal Models
published 2021 · Journal of Computational and Graphical Statistics · 22 citations
with Nan-Jung Hsu, Hsin-Cheng Huang
Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues
published 2020 · Journal of the American Statistical Association · 31 citations
Tensor Canonical Correlation Analysis With Convergence and Statistical Guarantees
published 2020 · Journal of Computational and Graphical Statistics · 6 citations · first circulated 2019
with You-Lin Chen, Mladen Kolar
published 2020 · International Journal of Forecasting · 8 citations
Testing Independence Between Two Spatial Random Fields
published 2020 · Journal of Agricultural Biological and Environmental Statistics · 1 citations
Time evolution of income distributions with subgroup decompositions
published 2020 · Econometric Reviews · 1 citations
with Yi-Ting Chen
Introduction of the annals issue: Statistical learning for dependent data — A celebration of the 85th birthday of Professor George C. Tiao
published 2020 · Journal of Econometrics
Testing serial correlations in high-dimensional time series via extreme value theory
published 2020 · Journal of Econometrics · 26 citations
NTS: An R Package for Nonlinear Time Series Analysis
published 2020 · The R Journal · 1 citations
with Xialu Liu, Rong Chen
Multivariate Hysteretic Autoregressive Models
published 2020 · Statistica Sinica · 4 citations
Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data
published 2019 · Journal of Business and Economic Statistics · 10 citations
with Shiqing Ling, Yaxing Yang
Comments on: Data science, big data and statistics
published 2019 · Test · 1 citations
A Structural‐Factor Approach to Modeling High‐Dimensional Time Series and Space‐Time Data
published 2019 · Journal of Time Series Analysis · 23 citations · first circulated 2018
Empirical Dynamic Quantiles for Visualization of High-Dimensional Time Series
published 2019 · Technometrics · 18 citations
with Daniel Peña, Ruben H. Zamar
Clustering Multiple Time Series with Structural Breaks
published 2018 · Journal of Time Series Analysis · 11 citations
with Yongning Wang
High-dimensional Linear Regression for Dependent Data with Applications to Nowcasting
published 2018 · Statistica Sinica · 17 citations · first circulated 2017
Modelling structured correlation matrices
published 2016 · Biometrika · 17 citations
with Mohsen Pourahmadi
Special Issue on Big Data
published 2016 · Journal of Business and Economic Statistics · 12 citations
Independent Component Analysis via Distance Covariance
published 2016 · Journal of the American Statistical Association · 126 citations · first circulated 2013
Some Methods for Analyzing Big Dependent Data
published 2016 · Journal of Business and Economic Statistics · 32 citations
Doubly Constrained Factor Models with Applications
published 2015 · Statistica Sinica · 8 citations
with Henghsiu Tsai, Edward M.H. Lin, Ching-Wei Cheng
High dimensional dynamic stochastic copula models
published 2015 · Journal of Econometrics · 113 citations · first circulated 2014
with Drew D. Creal, Drew Creal
Financial Time Series
published 2014 · Wiley StatsRef: Statistics Reference Online · 31 citations · first circulated 2005
Rejoinder
published 2014 · Journal of Business and Economic Statistics · 2 citations
with Yu-Pin Hu
Market-Based Credit Ratings
published 2014 · Journal of Business and Economic Statistics · 26 citations · first circulated 2012
with Drew Creal, Robert B. Gramacy
A Predictive Approach for Selection of Diffusion Index Models
published 2013 · Econometric Reviews · 2 citations
Forecasting Simultaneously High‐Dimensional Time Series: A Robust Model‐Based Clustering Approach
published 2013 · Journal of Forecasting · 10 citations
with Yongning Wang, Johannes Ledolter, Keshab Shrestha
Principal Volatility Component Analysis
published 2013 · Journal of Business and Economic Statistics · 37 citations
with Yu-Pin Hu
On Diagnostic Checking of Vector ARMA-GARCH Models with Gaussian and Student-t Innovations
published 2013 · Econometrics · 10 citations
with Yongning Wang
Dynamic Orthogonal Components for Multivariate Time Series
published 2011 · Journal of the American Statistical Association · 74 citations
Statistics in finance
published 2011 · Wiley Interdisciplinary Reviews Computational Statistics · 1 citations
Quantile regression models with factor‐augmented predictors and information criterion
published 2011 · Econometrics Journal · 44 citations
Discussion of “Feature Matching in Time Series Modeling” by Y. Xia and H. Tong
published 2011 · Statistical Science · 1 citations
with Kung-Sik Chan
Introduction to special issue commemorating the 50th anniversary of the Kalman Filter and 40th anniversary of Box and Jenkins
published 2010 · Journal of Forecasting · 1 citations
with Terence C. Mills, Peter C. Young
Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market
published 2010 · Computational Statistics & Data Analysis · 15 citations
Constrained Factor Models
published 2010 · Journal of the American Statistical Association · 36 citations
with Henghsiu Tsai
A Conversation with George C. Tiao
published 2010 · Statistical Science · 1 citations
with Daniel Peña
Particle filters and Bayesian inference in financial econometrics
published 2010 · Journal of Forecasting · 137 citations
Random aggregation with applications in high‐frequency finance
published 2010 · Journal of Forecasting · 4 citations
with Jin-Huei Yeh
Estimation of covariance matrix via the sparse Cholesky factor with lasso
published 2010 · Journal of Statistical Planning and Inference · 44 citations
with Changgee Chang
Predictive likelihood for Bayesian model selection and averaging
published 2009 · International Journal of Forecasting · 54 citations
Shifts in Individual Parameters of a GARCH Model
published 2009 · Journal of Financial Econometrics · 35 citations
with Pedro Galeano
‘Model selection for generalized linear models with factor‐augmented predictors’
published 2009 · Applied Stochastic Models in Business and Industry · 4 citations
Variable Selection in Linear Regression With Many Predictors
published 2009 · Journal of Computational and Graphical Statistics · 18 citations
Penalized Maximum Likelihood Boosting with Predictive Measures
published 2009 · Ouyou toukeigaku
Residual income, non‐earnings information, and information content
published 2008 · Journal of Forecasting · 7 citations
with Yi-Mien Lin, Hsiao-Wen Wang
Canonical correlation analysis for the vector AR(1) model with ARCH innovations
published 2008 · Journal of Statistical Planning and Inference · 1 citations
with Shiqing Ling
True or Spurious Long Memory? A New Test
published 2008 · Journal of Business and Economic Statistics · 189 citations
with Arek Ohanissian, Jeffrey R Russell
Determinants of bid and ask quotes and implications for the cost of trading
published 2008 · Journal of Empirical Finance · 39 citations
with Michael Yuanjie Zhang, Jeffrey R. Russell
Residual income, value-relevant information and equity valuation: a simultaneous equations approach
published 2008 · Review of Quantitative Finance and Accounting · 28 citations
with Yi-Mien Lin, Hsiao-Wen Wang
An Unobserved-Component Model With Switching Permanent and Transitory Innovations
published 2005 · Journal of Business and Economic Statistics · 21 citations
with Chung-Ming Kuan, Yu-Lieh Huang
A Simple Approach to Robust Regression
published 2005 · 中國統計學報
Forecasting with leading indicators revisited
published 2003 · Journal of Forecasting · 8 citations
with C. F. Jeff Wu
The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange
published 2003 · Journal of Empirical Finance · 171 citations
with David D. Cho, Jeffrey R. Russell, George C. Tiao
Bayesian methods for change‐point detection in long‐range dependent processes
published 2002 · Journal of Time Series Analysis · 7 citations
with Bonnie K. Ray
A nonlinear autoregressive conditional duration model with applications to financial transaction data
published 2001 · Journal of Econometrics · 328 citations
with Michael Yuanjie Zhang, Jeffrey R. Russell
Nonlinearity in High-Frequency Financial Data and Hierarchical Models
published 2001 · Studies in Nonlinear Dynamics and Econometrics · 43 citations
with Robert E. McCulloch
Indices óptimos para la detección de atípicos en series temporales multivariantes mediante projection pursuit
published 2001 · XXVI Congreso Nacional de Estadística e Investigación Operativa: Úbeda, 6-9 de noviembre de 2001, 2001, ISBN 84-8439-080-2
with Pedro Galeano San Miguel, Daniel Peña Sánchez de Rivera
no link
Outlier Detection in Multivariate Time Series by Projection Pursuit
published 2000 · Biometrika · 167 citations · first circulated 1998
with Pedro Galeano, Daniel Peña, Alan Pankratz
Time Series and Forecasting: Brief History and Future Research
published 2000 · Journal of the American Statistical Association · 56 citations
Long-range Dependence in Daily Stock Volatilities
published 2000 · Journal of Business and Economic Statistics · 133 citations
with Bonnie K. Ray
Editor's Introduction to Panel Discussion on Analysis of High-Frequency Data
published 2000 · Journal of Business and Economic Statistics · 1 citations
Tests for multinormality with applications to time series
published 1999 · Communication in Statistics-Theory and Methods · 6 citations · first circulated 1992
with Takeaki Kariya, Nobuhike Terni, Hong Li, Nobuhiko Terui
Testing and Modeling Multivariate Threshold Models
published 1998 · Journal of the American Statistical Association · 629 citations
Forecasting the U.S. Unemployment Rate
published 1998 · Journal of the American Statistical Association · 264 citations
with Alan L. Montgomery, Victor Zarnowitz, George C. Tiao
A Unified Approach to Identifying Multivariate Time Series Models
published 1998 · Journal of the American Statistical Association · 19 citations
with Hong Li
Bayesian inference for periodic regime-switching models
published 1998 · Journal of Applied Econometrics · 34 citations · first circulated 1994
Editorial Announcement
published 1998 · Journal of Business and Economic Statistics
A UNIFIED APPROACH TO ESTIMATING AND MODELING LINEAR AND NONLINEAR TIME SERIES
published 1997 · Statistica Sinica · 16 citations
with Cathy W. S. Chen, Robert E. McCulloch
no link
Co-integration constraint and forecasting: An empirical examination
published 1996 · Journal of Applied Econometrics · 125 citations
with Jin-Lung Lin
Nonlinear transfer functions
published 1996 · Journal of nonparametric statistics · 11 citations
ASYMPTOTIC INFERENCE FOR NON‐INVERTIBLE MOVING‐AVERAGE TIME SERIES
published 1996 · Journal of Time Series Analysis · 16 citations
with Ngai Hang Chan
Making control charts more effective by time series analysis: three illustrative applications
published 1996 · Communication in Statistics-Theory and Methods · 6 citations
with Harry V. Roberts
Daniel B. Nelson, 1959–1995
published 1995 · Journal of Business and Economic Statistics · 1 citations
Additivity tests for nonlinear autoregression
published 1995 · Biometrika · 70 citations
STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
published 1994 · Journal of Time Series Analysis · 145 citations
with Robert E. McCulloch
Bayesian Inference of Trend and Difference-Stationarity
published 1994 · Econometric Theory · 29 citations
with Robert E. McCulloch
Some advances in non‐linear and adaptive modelling in time‐series
published 1994 · Journal of Forecasting · 364 citations
with George C. Tiao
BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
published 1994 · Journal of Time Series Analysis · 148 citations
with Robert E. McCulloch
Usefulness of linear transformations in multivariate time-series analysis
published 1993 · Empirical Economics · 16 citations
with George C. Tiao, Taychang Wang
[Testing for Common Features]: Comment
published 1993 · Journal of Business and Economic Statistics · 1 citations
Comment
published 1993 · Journal of Business and Economic Statistics
Nonlinear Additive ARX Models
published 1993 · Journal of the American Statistical Association · 170 citations
Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
published 1993 · Journal of the American Statistical Association · 187 citations
with Robert E. McCulloch
Testing for Noninvertible Models with Applications
published 1993 · Journal of Business and Economic Statistics · 30 citations
Comment: Adaptive Forecasting
published 1993 · Journal of Business and Economic Statistics · 21 citations
Testing for Noninvertibie Models With Applications
published 1993 · Journal of Business and Economic Statistics
Functional-Coefficient Autoregressive Models
published 1993 · Journal of the American Statistical Association · 431 citations
with Rong Chen
Nonlinear time-series analysis of stock volatilities
published 1992 · Journal of Applied Econometrics · 156 citations
with Chang Cao
[Statistics, Probability and Chaos]: Comment: Simplicity and Nonlinearity
published 1992 · Statistical Science · 1 citations
Model Checking via Parametric Bootstraps in Time Series Analysis
published 1992 · Journal of the Royal Statistical Society Series C (Applied Statistics) · 84 citations
On the Ergodicity of Tar(1) Processes
published 1991 · The Annals of Applied Probability · 72 citations
with Rong Chen
Asymptotic Properties of Multivariate Nonstationary Processes with Applications to Autoregressions
published 1990 · The Annals of Statistics · 81 citations
with George C. Tiao
Bayesian Spectrum Analysis and Parameter Estimation.
published 1990 · Journal of the American Statistical Association · 6 citations
with G. Larry Bretthorst
Parsimonious Parameterization of Vector Autoregressive Moving Average Models
published 1989 · Journal of Business and Economic Statistics · 37 citations
IDENTIFYING MULTIVARIATE TIME SERIES MODELS
published 1989 · Journal of Time Series Analysis · 35 citations
Testing and Modeling Threshold Autoregressive Processes
published 1989 · Journal of the American Statistical Association · 911 citations
Model Specification in Multivariate Time Series
published 1989 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 360 citations
with George C. Tiao
NON‐LINEAR TIME SERIES ANALYSIS OF BLOWFLY POPULATION
published 1988 · Journal of Time Series Analysis · 35 citations
Outliers, level shifts, and variance changes in time series
published 1988 · Journal of Forecasting · 712 citations
Non-Gaussian State-Space Modeling of Nonstationary Time Series: Comment: Detecting and Modeling Changes in Time Series
published 1987 · Journal of the American Statistical Association · 5 citations
Comment
published 1987 · Journal of the American Statistical Association · 3 citations
Conditional Heteroscedastic Time Series Models
published 1987 · Journal of the American Statistical Association · 225 citations
Fitting nonlinear models with ARMA errors to biological rhythm data
published 1987 · Statistics in Medicine · 41 citations
with Joel B. Greenhouse, Robert E. Kass
Discussion: Influence Functionals for Time Series
published 1986 · The Annals of Statistics · 1 citations
Time Series Model Specification in the Presence of Outliers
published 1986 · Journal of the American Statistical Association · 329 citations
Nonlinearity tests for time series
published 1986 · Biometrika · 486 citations
Model Identification in Dynamic Regression (Distributed Lag) Models
published 1985 · Journal of Business and Economic Statistics · 31 citations
Dynamic Generalized Linear Models and Bayesian Forecasting: Comment
published 1985 · Journal of the American Statistical Association
with Stephen E. Fienberg
Comment
published 1985 · Journal of the American Statistical Association
with Stephen E. Fienberg
Use of canonical analysis in time series model identification
published 1985 · Biometrika · 116 citations
with George C. Tiao
Order Selection in Nonstationary Autoregressive Models
published 1984 · The Annals of Statistics · 97 citations
Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
published 1984 · Journal of the American Statistical Association · 297 citations
with George C. Tiao
Regression Models with Time Series Errors
published 1984 · Journal of the American Statistical Association · 83 citations
Consistency Properties of Least Squares Estimates of Autoregressive Parameters in ARMA Models
published 1983 · The Annals of Statistics · 113 citations
with George C. Tiao
Multiple Time Series Modeling and Extended Sample Cross-Correlations
published 1983 · Journal of Business and Economic Statistics · 114 citations
with George C. Tiao
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