Details about Henghsiu Tsai

Access statistics for papers by Henghsiu Tsai.

Last updated 2021-02-22. Update your information in the RePEc Author Service.

Short-id: pts113

Journal Articles

2020

1. Approximate maximum likelihood estimation of a threshold diffusion process
   Computational Statistics & Data Analysis, 2020, 142, (C) View citations (3)

2015

2. Inference of Seasonal Long-memory Time Series with Measurement Error
   Scandinavian Journal of Statistics, 2015, 42, (1), 137-154 View citations (8)

2013

3. Asymptotic Behavior of Temporal Aggregates in the Frequency Domain
   Journal of Time Series Econometrics, 2013, 5, (1), 47-60 View citations (4)

2010

4. Constrained Factor Models
   Journal of the American Statistical Association, 2010, 105, (492), 1593-1605 View citations (13)

2008

5. A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL
   Econometric Theory, 2008, 24, (3), 823-828 View citations (17)

2007

6. A Note on Non‐Negative Arma Processes
   Journal of Time Series Analysis, 2007, 28, (3), 350-360 View citations (4)

2005

7. A note on non‐negative continuous time processes
   Journal of the Royal Statistical Society Series B, 2005, 67, (4), 589-597 View citations (8)
8. Maximum likelihood estimation of linear continuous time long memory processes with discrete time data
   Journal of the Royal Statistical Society Series B, 2005, 67, (5), 703-716 View citations (12)
9. Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
   Journal of Time Series Analysis, 2005, 26, (5), 691-713 View citations (12)
10. Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
    Journal of Time Series Analysis, 2005, 26, (4), 613-624 View citations (14)
11. Temporal Aggregation of Stationary and Non‐stationary Continuous‐Time Processes
    Scandinavian Journal of Statistics, 2005, 32, (4), 583-597 View citations (5)

2002

12. A note on testing for nonlinearity with partially observed time series
    Biometrika, 2002, 89, (1), 245-250

Chapters

2020

1. Non-Parametric Inference on Risk Measures for Integrated Returns
   Chapter 72 in HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, 2020, pp 2485-2497