92 citations · 185 across the 21 of their papers we have counts for
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math.ST2017★ 16 cited
High-dimensional Linear Regression for Dependent Data with Applications to Nowcasting
Yuefeng Han, Ruey S. Tsay
Recent research has focused on penalized least squares (Lasso) estimators for high-dimensional linear regressions in which the number of covariates is considerably lar…
math.ST2007★ 13 cited
Multivariate volatility models
Ruey S. Tsay
Correlations between asset returns are important in many financial applications. In recent years, multivariate volatility models have been used to describe the time-varying feature…