Tsay, Ruey S.; Ando, Tomohiro Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market. (English) Zbl 1254.91626 Comput. Stat. Data Anal. 56, No. 11, 3345-3365 (2012). MSC: 91B82 62P05 91B84 62M10 62F15 62H25 PDF BibTeX XML Cite \textit{R. S. Tsay} and \textit{T. Ando}, Comput. Stat. Data Anal. 56, No. 11, 3345--3365 (2012; Zbl 1254.91626) Full Text: DOI
Ando, Tomohiro; Tsay, Ruey S. Quantile regression models with factor-augmented predictors and information criterion. (English) Zbl 1218.62061 Econom. J. 14, No. 1, 1-24 (2011). MSC: 62H25 62B10 62H12 65C05 62P20 PDF BibTeX XML Cite \textit{T. Ando} and \textit{R. S. Tsay}, Econom. J. 14, No. 1, 1--24 (2011; Zbl 1218.62061) Full Text: DOI
Ando, Tomohiro; Tsay, Ruey S. Model selection for generalized linear models with factor-augmented predictors. (English) Zbl 1223.62129 Appl. Stoch. Models Bus. Ind. 25, No. 3, 207-235 (2009). Reviewer: A. D. Borisenko (Kyïv) MSC: 62J12 62H25 62B10 65C60 PDF BibTeX XML Cite \textit{T. Ando} and \textit{R. S. Tsay}, Appl. Stoch. Models Bus. Ind. 25, No. 3, 207--235 (2009; Zbl 1223.62129) Full Text: DOI