IDEAS home Printed from https://ideas.repec.org/e/pts113.html
   My authors  Follow this author

Henghsiu Tsai

Personal Details

First Name:Henghsiu
Middle Name:
Last Name:Tsai
Suffix:
RePEc Short-ID:pts113
http://www.stat.sinica.edu.tw/htsai/

Research output

as
Jump to: Articles

Articles

  1. Hassler Uwe & Tsai Henghsiu, 2013. "Asymptotic Behavior of Temporal Aggregates in the Frequency Domain," Journal of Time Series Econometrics, De Gruyter, vol. 5(1), pages 47-60, January.
  2. Tsai, Henghsiu & Tsay, Ruey S., 2010. "Constrained Factor Models," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1593-1605.
  3. Tsai, Henghsiu & Chan, Kung-Sik, 2008. "A Note On Inequality Constraints In The Garch Model," Econometric Theory, Cambridge University Press, vol. 24(03), pages 823-828, June.
  4. Henghsiu Tsai & K. S. Chan, 2007. "A Note on Non-Negative Arma Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(3), pages 350-360, May.
  5. Henghsiu Tsai & K. S. Chan, 2005. "Maximum likelihood estimation of linear continuous time long memory processes with discrete time data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(5), pages 703-716.
  6. Henghsiu Tsai & K. S. Chan, 2005. "Temporal Aggregation of Stationary and Non-stationary Continuous-Time Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 32(4), pages 583-597.
  7. Henghsiu Tsai & K. S. Chan, 2005. "Temporal Aggregation of Stationary And Nonstationary Discrete-Time Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 613-624, July.
  8. Henghsiu Tsai & K. S. Chan, 2005. "A note on non-negative continuous time processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(4), pages 589-597.
  9. Henghsiu Tsai & K. S. Chan, 2005. "Quasi-Maximum Likelihood Estimation for a Class of Continuous-time Long-memory Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 691-713, September.
  10. Henghsiu Tsai, 2002. "A note on testing for nonlinearity with partially observed time series," Biometrika, Biometrika Trust, vol. 89(1), pages 245-250, March.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Hassler Uwe & Tsai Henghsiu, 2013. "Asymptotic Behavior of Temporal Aggregates in the Frequency Domain," Journal of Time Series Econometrics, De Gruyter, vol. 5(1), pages 47-60, January.

    Cited by:

    1. Schumacher, Christian, 2016. "A comparison of MIDAS and bridge equations," International Journal of Forecasting, Elsevier, vol. 32(2), pages 257-270.
    2. Hassler, Uwe, 2014. "Persistence under temporal aggregation and differencing," Economics Letters, Elsevier, vol. 124(2), pages 318-322.
    3. Uwe Hassler, 2013. "Effect of temporal aggregation on multiple time series in the frequency domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 562-573, September.

  2. Tsai, Henghsiu & Tsay, Ruey S., 2010. "Constrained Factor Models," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1593-1605.

    Cited by:

    1. Jianqing Fan & Yuan Liao & Han Liu, 2016. "An overview of the estimation of large covariance and precision matrices," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-32, February.
    2. Li, Kunpeng & Li, Qi & Lu, Lina, 2016. "Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models," MPRA Paper 75676, University Library of Munich, Germany.
    3. Bai, Jushan & Li, Kunpeng & Lu, Lina, 2014. "Estimation and inference of FAVAR models," MPRA Paper 60960, University Library of Munich, Germany.
    4. Bai, Jushan & Liao, Yuan, 2016. "Efficient estimation of approximate factor models via penalized maximum likelihood," Journal of Econometrics, Elsevier, vol. 191(1), pages 1-18.
    5. Bai, Jushan & Liao, Yuan, 2017. "Inferences in panel data with interactive effects using large covariance matrices," Journal of Econometrics, Elsevier, vol. 200(1), pages 59-78.

  3. Tsai, Henghsiu & Chan, Kung-Sik, 2008. "A Note On Inequality Constraints In The Garch Model," Econometric Theory, Cambridge University Press, vol. 24(03), pages 823-828, June.

    Cited by:

    1. Karanasos, Menelaos & Xu, Yongdeng, 2017. "Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations," Cardiff Economics Working Papers E2017/14, Cardiff University, Cardiff Business School, Economics Section.
    2. Nakatani, Tomoaki & Teräsvirta, Timo, 2007. "Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models," SSE/EFI Working Paper Series in Economics and Finance 675, Stockholm School of Economics, revised 14 Feb 2008.
    3. Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013. "Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model," Working Papers 201357, University of Pretoria, Department of Economics.
    4. Christian Conrad & Menelaos Karanasos, 2008. "Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model," KOF Working papers 08-189, KOF Swiss Economic Institute, ETH Zurich.
    5. Carl Lönnbark, 2016. "Asymmetry with respect to the memory in stock market volatilities," Empirical Economics, Springer, vol. 50(4), pages 1409-1419, June.
    6. Henghsiu Tsai & K. S. Chan, 2007. "A Note on Non-Negative Arma Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(3), pages 350-360, May.
    7. Martínez Ibáñez, Oscar & Olmo, José, 2008. "A nonlinear threshold model for the dependence of extremes of stationary sequences," Working Papers 2072/5361, Universitat Rovira i Virgili, Department of Economics.
    8. Conrad, Christian & Weber, Enzo, 2013. "Measuring Persistence in Volatility Spillovers," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79850, Verein für Socialpolitik / German Economic Association.
    9. Menelaos Karanasos & Ning Zeng, 2013. "Conditional heteroskedasticity in macroeconomics data: UK inflation, output growth and their uncertainties," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 12, pages 266-288 Edward Elgar Publishing.
    10. Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(3), pages 399-430, August.
    11. Francq, Christian & Sucarrat, Genaro, 2013. "An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation," MPRA Paper 51783, University Library of Munich, Germany.
    12. Christian Conrad, 2007. "Non-negativity Conditions for the Hyperbolic GARCH Model," KOF Working papers 07-162, KOF Swiss Economic Institute, ETH Zurich.

  4. Henghsiu Tsai & K. S. Chan, 2007. "A Note on Non-Negative Arma Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(3), pages 350-360, May.

    Cited by:

    1. Karanasos, Menelaos & Xu, Yongdeng, 2017. "Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations," Cardiff Economics Working Papers E2017/14, Cardiff University, Cardiff Business School, Economics Section.
    2. Christian Conrad & Menelaos Karanasos, 2008. "Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model," KOF Working papers 08-189, KOF Swiss Economic Institute, ETH Zurich.

  5. Henghsiu Tsai & K. S. Chan, 2005. "Maximum likelihood estimation of linear continuous time long memory processes with discrete time data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(5), pages 703-716.

    Cited by:

    1. Cheng, Tsung-Lin, 2009. "An efficient algorithm for estimating a change-point," Statistics & Probability Letters, Elsevier, vol. 79(5), pages 559-565, March.
    2. Simos Theodore, 2012. "On the Exact Discretization of a Continuous Time AR(1) Model driven by either Long Memory or Antipersistent Innovations: A Fractional Algebra Approach," Journal of Time Series Econometrics, De Gruyter, vol. 4(2), pages 1-26, November.
    3. Theodore Simos, 2008. "The exact discrete model of a system of linear stochastic differential equations driven by fractional noise," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1019-1031, November.
    4. Xu, Weijun & Sun, Qi & Xiao, Weilin, 2012. "A new energy model to capture the behavior of energy price processes," Economic Modelling, Elsevier, vol. 29(5), pages 1585-1591.
    5. Sun, Qi & Xu, Weijun & Xiao, Weilin, 2013. "An empirical estimation for mean-reverting coal prices with long memory," Economic Modelling, Elsevier, vol. 33(C), pages 174-181.

  6. Henghsiu Tsai & K. S. Chan, 2005. "Temporal Aggregation of Stationary and Non-stationary Continuous-Time Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 32(4), pages 583-597.

    Cited by:

    1. Man Kasing, 2010. "Extended Fractional Gaussian Noise and Simple ARFIMA Approximations," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-26, September.
    2. Michael A. Thornton & Marcus J. Chambers, 2013. "Continuous-time autoregressive moving average processes in discrete time: representation and embeddability," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 552-561, September.

  7. Henghsiu Tsai & K. S. Chan, 2005. "Temporal Aggregation of Stationary And Nonstationary Discrete-Time Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 613-624, July.

    Cited by:

    1. Man Kasing, 2010. "Extended Fractional Gaussian Noise and Simple ARFIMA Approximations," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-26, September.
    2. Chan, Wai-Sum & Chan, Yin-Ting, 2008. "A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 728-735, April.
    3. Nikolaos Zirogiannis & Yorghos Tripodis, 2018. "Dynamic factor analysis for short panels: estimating performance trajectories for water utilities," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(1), pages 131-150, March.
    4. Henghsiu Tsai & K. S. Chan, 2005. "Temporal Aggregation of Stationary and Non-stationary Continuous-Time Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 32(4), pages 583-597.
    5. Beran, Jan & Schützner, Martin & Ghosh, Sucharita, 2010. "From short to long memory: Aggregation and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2432-2442, November.
    6. Hassler, Uwe, 2014. "Persistence under temporal aggregation and differencing," Economics Letters, Elsevier, vol. 124(2), pages 318-322.
    7. Uwe Hassler, 2013. "Effect of temporal aggregation on multiple time series in the frequency domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 562-573, September.

  8. Henghsiu Tsai & K. S. Chan, 2005. "A note on non-negative continuous time processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(4), pages 589-597.

    Cited by:

    1. Iacus, Stefano M. & Mercuri, Lorenzo & Rroji, Edit, 2017. "COGARCH(p, q): Simulation and Inference with the yuima Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 80(i04).
    2. Creal, Drew D., 2008. "Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2863-2876, February.
    3. FRED ESPEN BENTH & JŪRATĖ SALTYTĖ BENTH & STEEN KOEKEBAKKER, 2007. "Putting a Price on Temperature," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 34(4), pages 746-767.
    4. Chunsheng Ma, 2017. "Vector Stochastic Processes with Pólya-Type Correlation Structure," International Statistical Review, International Statistical Institute, vol. 85(2), pages 340-354, August.
    5. P. Brockwell, 2014. "Recent results in the theory and applications of CARMA processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(4), pages 647-685, August.

  9. Henghsiu Tsai & K. S. Chan, 2005. "Quasi-Maximum Likelihood Estimation for a Class of Continuous-time Long-memory Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 691-713, September.

    Cited by:

    1. Simos Theodore, 2012. "On the Exact Discretization of a Continuous Time AR(1) Model driven by either Long Memory or Antipersistent Innovations: A Fractional Algebra Approach," Journal of Time Series Econometrics, De Gruyter, vol. 4(2), pages 1-26, November.
    2. Kuswanto, Heri, 2009. "A New Simple Test Against Spurious Long Memory Using Temporal Aggregation," Hannover Economic Papers (HEP) dp-425, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    3. Henghsiu Tsai & K. S. Chan, 2005. "Temporal Aggregation of Stationary and Non-stationary Continuous-Time Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 32(4), pages 583-597.
    4. Theodore Simos, 2008. "The exact discrete model of a system of linear stochastic differential equations driven by fractional noise," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1019-1031, November.
    5. Xu, Weijun & Sun, Qi & Xiao, Weilin, 2012. "A new energy model to capture the behavior of energy price processes," Economic Modelling, Elsevier, vol. 29(5), pages 1585-1591.
    6. Sun, Qi & Xu, Weijun & Xiao, Weilin, 2013. "An empirical estimation for mean-reverting coal prices with long memory," Economic Modelling, Elsevier, vol. 33(C), pages 174-181.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Henghsiu Tsai should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.