2026 Ruey S. Tsay: Mathematics Researcher – H-Index, Publications & Awards

D-Index & Metrics

Discipline name	D-Index	World Ranking	Current World Ranking	National Ranking	Current National Ranking	Publications	Citations
Economics and Finance	49	1407	1251	855	742	159	17804
Mathematics	54	819	700	397	317	189	17377

Discipline name

D-Index

World Ranking

Current World Ranking

National Ranking

Current National Ranking

Publications

Citations

Economics and Finance

1407

1251

855

742

159

17804

Mathematics

819

700

397

317

189

17377

Economics and Finance

D-Index

Citations

17804

World Ranking

1407

National Ranking

855

Mathematics

D-Index

Citations

17377

World Ranking

819

National Ranking

397

Research.com Recognitions

1992 - Fellow of the American Statistical Association (ASA)

Overview

Ruey S. Tsay is affiliated with the University of Chicago in the United States. The primary areas of research include Economics, Econometrics and Finance.

Their work spans several subfields, notably:

Economics and Econometrics
Statistics and Probability
Artificial Intelligence
Finance
Management Science and Operations Research

Key topics addressed in their research consist of:

Complex Systems and Time Series Analysis
Financial Risk and Volatility Modeling
Statistical Methods and Inference
Advanced Statistical Methods and Models
Time Series Analysis and Forecasting
Spectroscopy and Chemometric Analyses
Anomaly Detection Techniques and Applications

Tsay has authored or coauthored several recent papers, including:

"TSB-UAD," 2022, Proceedings of the VLDB Endowment
"Volume under the surface," 2022, Proceedings of the VLDB Endowment
"Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues," 2020, Journal of the American Statistical Association
"Testing serial correlations in high-dimensional time series via extreme value theory," 2020, Journal of Econometrics
"Parsimony inducing priors for large scale state-space models," 2021, Journal of Econometrics

Frequently collaborating co-authors include:

Zhaoxing Gao (15 joint publications)
Daniel Peña (12 joint publications)
Pedro A. Morettin (8 joint publications)
Shuo-Chieh Huang (6 joint publications)
John Paparrizos (5 joint publications)

Publication venues where Tsay regularly contributes include:

arXiv (Cornell University), with 17 publications
Wiley series in probability and statistics, with 10 publications
Journal of Forecasting, with 5 publications
Proceedings of the VLDB Endowment, with 3 publications
Journal of the American Statistical Association, with 3 publications

Tsay has authored book publications, notably from Wiley:

Statistical Learning for Big Dependent Data, 2021

Recognitions include being named a Fellow of the American Statistical Association in 1992.

Best Publications

Analysis of Financial Time Series

Unknown

2084
Citations
Testing and Modeling Threshold Autoregressive Processes

Ruey S. Tsay

1271
Citations
Analysis of Financial Time Series: Tsay/Analysis of Financial Time Series

Unknown

1027
Citations
Outliers, Level Shifts, and Variance Changes in Time Series

Ruey S. Tsay

930
Citations
Testing and modeling multivariate threshold models

Ruey S. Tsay

838
Citations
Nonlinearity tests for time series

Ruey S. Tsay

749
Citations
Analysis of Financial Time Series: Tsay/Financial Time Series 3E

Unknown

713
Citations
Functional-Coefficient Autoregressive Models

Rong Chen;Ruey S. Tsay

671
Citations
Time Series Model Specification in the Presence of Outliers

Ruey S. Tsay

468
Citations
Some advances in non‐linear and adaptive modelling in time‐series

George C. Tiao;Ruey S. Tsay

462
Citations
A nonlinear autoregressive conditional duration model with applications to financial transaction data

Michael Yuanjie Zhang;Jeffrey R. Russell;Ruey S. Tsay

445
Citations
Model Specification in Multivariate Time Series

George C. Tiao;Ruey S. Tsay

437
Citations
A Course in Time Series Analysis

Daniel Peña;George C. Tiao;Ruey S. Tsay

429
Citations
Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models

Ruey S. Tsay;George C. Tiao

402
Citations
Multivariate Time Series Analysis: With R and Financial Applications

Ruey S Tsay

376
Citations
Forecasting the U.S. Unemployment Rate

Alan L. Montgomery;Victor Zarnowitz;Ruey S. Tsay;George C. Tiao

322
Citations
Conditional Heteroscedastic Time Series Models

Ruey S. Tsay

315
Citations
Limiting properties of the least squares estimator of a continuous threshold autoregressive model

K. S. Chan;Ruey S. Tsay

279
Citations
Nonlinear time-series analysis of stock volatilities

C. Q. Cao;R. S. Tsay

275
Citations
Nonlinear Additive ARX Models

Rong Chen;Ruey S. Tsay

264
Citations
Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series

Robert E. McCulloch;Ruey S. Tsay

261
Citations
True or Spurious Long Memory? A New Test

Arek Ohanissian;Jeffrey R Russell;Ruey S Tsay

246
Citations
Outliers in multivariate time series

Ruey S. Tsay;Daniel Peña;Alan E. Pankratz

246
Citations

Frequent Co-Authors

Robert E. McCulloch Arizona State University

Daniel Peña Carlos III University of Madrid

Shiqing Ling Hong Kong University of Science and Technology

Peter C. Young Lancaster University

Stephen E. Fienberg Carnegie Mellon University

Robert B. Gramacy Virginia Tech

Paul Andrew Mayewski University of Maine

Cliff I. Davidson Syracuse University

Richard E. Honrath Michigan Technological University

Jun S. Liu Harvard University

External Links

Personal website of Ruey S. Tsay

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