Tsay, Analysis of Financial Time Series, 3e

[TomDoan]

The attached zip has the programs and data for Analysis of Financial Time Series , 3e by Ruey Tsay (2010, Wiley). This is a graduate level text on time series analysis with a special emphasis on computations needed in finance. For instance, there are several examples which compute the value-at-risk (VaR) using different methods. This also has quite a few "non-standard" GARCH models that require estimation by MAXIMIZE, though it also uses more standard GARCH models as well. Several other areas not generally covered in textbooks are threshold models, and Gibbs sampling. Note that the Gibbs sampling examples often use rather inefficient techniques (for instance "griddy Gibbs") and so several are quite slow.

tsay_3.zip

Zip with programs/data

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[gabriel_rodriguez]

Dear Tom,

I see this set of codes for the book of R. Tsay. It is nice. Because I am interested in multivariate stochastic volatility and it is difficult to find codes, I see the code of the ZIP file named: "tsayp658.rpf". However, Am I wrong or I am missing something? because when I enter to the code it is calling a single variable. Then it is univariate stochastich voaltility model. Or as I said, I am wrong? Please, advise me. Thanks.
Gabriel

[gabriel_rodriguez]

I see in the RATS website that there is a code to replicate the paper “Bayesian Analysis of Stochastic Volatility Models” by Jacquier, Plson and Rossi published in the JBES in 1994. However these three same authors have another paper “Bayesian Analysis of Stochastic Volatility Models with Fat-Tails and Correlated Errors” published in Journal of Econometrics BUT in 2004. I am trying to find some code to replicate this paper of 2004. Do you have any idea or any help for me, please? I think that the paper of 2004 is the same as the paper of 1994 but it contains fat-tails and correlated errors. Of course, this last paper of 2004 appears more interesting and relevant for financial econometrics. Please, advise me.
Gabriel

[TomDoan]

Dear Tom,

I see this set of codes for the book of R. Tsay. It is nice. Because I am interested in multivariate stochastic volatility and it is difficult to find codes, I see the code of the ZIP file named: "tsayp658.rpf". However, Am I wrong or I am missing something? because when I enter to the code it is calling a single variable. Then it is univariate stochastich voaltility model. Or as I said, I am wrong? Please, advise me. Thanks.
Gabriel

Sorry. Both are univariate, just using different techniques. Tsay's book has an example of multivariate stochastic volatility, but both his models and (especially) his methods are so non-standard as to be pretty much unusable.