Yiu Kuen. Tse
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Yiu Kuen. Tseeconomics Degrees
Economics
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Econometrics
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Economics
Yiu Kuen. Tse's Degrees
- Bachelors Economics University of California, Berkeley
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(Suggest an Edit or Addition)Yiu Kuen. Tse's Published Works
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Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002) (1073)
- Price discovery and common factor models (2002) (512)
- A test for constant correlations in a multivariate GARCH model (2000) (434)
- A Multivariate GARCH Model with Time-Varying Correlations (2000) (390)
- The conditional heteroscedasticity of the yen-dollar exchange rate (1998) (355)
- Price and volatility spillovers in Scandinavian stock markets (1997) (317)
- Price discovery in the German equity index derivatives markets (1999) (292)
- Price discovery and volatility spillovers in the DJIA index and futures markets (1999) (289)
- Some Recent Developments in Futures Hedging (2000) (245)
- Evaluating the hedging performance of the constant-correlation GARCH model (2002) (208)
- Trading and Pricing in Upstairs and Downstairs Stock Markets (2002) (207)
- Price discovery on the S&P 500 index markets: An analysis of spot index, index futures, and SPDRs (1999) (185)
- Lead-lag relationship between spot index and futures price of the nikkei stock average (1995) (160)
- Cointegration tests with conditional heteroskedasticity (1996) (157)
- Price discovery in the hang seng index markets: Index, futures, and the tracker fund (2004) (155)
- An empirical examination of IPO underpricing in the Chinese A-share market (2006) (111)
- Hedging Time-Varying Downside Risk (1998) (106)
- Residual-Based Diagnostics for Conditional Heteroscedasticity Models (2002) (104)
- Stock returns volatility in the Tokyo stock exchange (1991) (101)
- A Monte Carlo investigation of some tests for stochastic dominance (2004) (98)
- Intraday Price Discovery in the Djia Index Markets (2006) (95)
- Hedging downside risk with futures contracts (2000) (93)
- Fractional cointegration and futures hedging (1999) (85)
- Price discovery and informational efficiency of international iShares funds (2007) (81)
- A Diagnostic Test for the Multinomial Logit Model (1987) (75)
- The information flow and market efficiency between the U.S. and Chinese aluminum and copper futures markets (2010) (70)
- Time series momentum and volatility scaling (2016) (70)
- An Algorithm for Computing Values of Options on the Maximum or Minimum of Several Assets (1990) (69)
- Index arbitrage with heterogeneous investors: A smooth transition error correction analysis (2001) (67)
- The relationship between US and Canadian wheat futures (1998) (62)
- Long memory in interest rate futures markets: A fractional cointegration analysis (1995) (61)
- Do Stock Markets Catch the Flu? (2013) (60)
- Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading (2009) (60)
- Conditional Volatility in Foreign Exchange Rates: Evidence from the Malaysian Ringgit and Singapore Dollar (1997) (60)
- Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves? (1997) (60)
- Risk management and firm value: recent theory and evidence (2016) (59)
- Price discovery in the foreign exchange futures market (2006) (58)
- Volatility and return spillovers in Canadian and U.S. industry ETFs (2013) (56)
- Transaction Costs and Market Quality: Open Outcry Versus Electronic Trading (2001) (56)
- Term Structure of Interest Rates in the Singapore Asian Dollar Market (1991) (56)
- Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence (2006) (55)
- Nonlife Actuarial Models: Theory, Methods and Evaluation (2009) (54)
- A leader of the world commodity futures markets in the making? The case of China's commodity futures (2013) (52)
- Hedging downside risk: futures vs. options (2001) (52)
- Where does return and volatility come from? The case of Asian ETFs (2009) (52)
- Information shares in Canadian agricultural cash and futures markets (1995) (51)
- Common volatility and volatility spillovers between U.S. and Eurodollar interest rates: Evidence from the futures market (1996) (51)
- Stock Splits, Broker Promotion, and Decimalization (2005) (50)
- Some international evidence on the stochastic behavior of interest rates (1995) (49)
- Round-the-clock market efficiency and home bias: Evidence from the international Japanese government bonds futures markets (1999) (47)
- International linkages in Nikkei Stock Index futures markets (1996) (46)
- The Price Discovery Puzzle in Offshore Yuan Trading: Different Contributions for Different Contracts (2014) (44)
- The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis (1996) (43)
- Market microstructure of FT-SE 100 index futures: An intraday empirical analysis (1999) (43)
- The cointegration of Asian currencies revisited (1997) (41)
- Competition For Order Flow, Market Quality, And Price Discovery In The Nasdaq 100 Index Tracking Stock (2003) (41)
- International Transmission of Information: A Study of the Relationship between the U.S. and Greek Stock Markets (1999) (38)
- Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Approach (2012) (36)
- Functional form and spatial dependence in dynamic panels (2006) (36)
- International Price Discovery for Emerging Market Stocks: Evidence from Indian GDRs (2003) (34)
- International transmission of information: evidence from the Euroyen and Eurodollar futures markets (1998) (33)
- Forecasting the Nikkei spot index with fractional cointegration (1999) (33)
- Effects of electronic trading on the Hang Seng Index futures market (2005) (32)
- Effects of electronic trading on the Hang Seng Index futures market (2005) (32)
- Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis (2013) (32)
- Asymmetric Information Transmission between a Transition Economy and the U.S. Market: Evidence from the Warsaw Stock Exchange (2003) (32)
- Electronic versus open outcry trading in agricultural commodities futures markets (2011) (31)
- International linkages in Euromark futures markets: Information transmission and market integration (1998) (31)
- Rationality of Stock Splits: The Target-Price Habit Hypothesis (2000) (31)
- Cointegration of stochastic multifractals with application to foreign exchange rates (2000) (30)
- Trading costs, investor recognition and market response: An analysis of firms that move from the Amex (Nasdaq) to Nasdaq (Amex) (2004) (30)
- Modeling the fat tails in Asian stock markets (2011) (28)
- Price and Volume in the Tokyo Stock Exchange (1989) (28)
- TECHNICAL EFFICIENCY MEASURES FOR THE MALAYSIAN FOOD MANUFACTURING INDUSTRY (1989) (28)
- The Relationship between Currency Carry Trades and U.S. Stocks (2012) (27)
- Is carry-trade a viable alternative asset class? (2013) (26)
- Overnight returns of stock indexes: Evidence from ETFs and futures ☆ (2017) (26)
- Market segmentation and information values of earnings announcements: Some empirical evidence from an event study on the Chinese stock market (2004) (26)
- Market quality and price discovery: Introduction of the E-mini energy futures (2005) (25)
- A semiparametric stochastic volatility model (2012) (25)
- An improved test for statistical arbitrage (2012) (25)
- Are Stock Markets in Asia Related to Carry Trade (2013) (25)
- Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach (2015) (23)
- A survey on physical delivery versus cash settlement in futures contracts (2006) (23)
- The Integration of the East and South-East Asian Equity Markets (2001) (22)
- Single-stock futures: Evidence from the Indian securities market (2009) (22)
- Momentum strategies with stock index exchange-traded funds (2015) (21)
- Structural change and lead-lag relationship between the Nikkei spot index and futures price: a genetic programming approach (2003) (21)
- Including commodity futures in asset allocation in China (2018) (21)
- Intraday volatility in the bond, foreign exchange, and stock index futures markets (2008) (21)
- Singapore’s LIFE program: Actuarial framework, longevity risk and impact of annuity fund return (2017) (21)
- Modelling reverse mortgages (1995) (21)
- Do designated market makers improve liquidity in open-outcry futures markets? (2004) (20)
- Statistical Arbitrage and Market Efficiency: Enhanced Theory, Robust Tests and Further Applications (2005) (20)
- The Relationship between Commodity Prices and Currency Exchange Rates: Evidence from the Futures Markets (2011) (20)
- Further Examination Of Price Discovery On The Nyse And Regional Exchanges (2000) (18)
- Holy mad cow! Facts or (mis)perceptions: A clinical study (2006) (18)
- Further Examination Of Price Discovery On The Nyse And Regional Exchanges (2000) (18)
- Volatility and Trading Activity Following Changes in the Size of Futures Contracts (2007) (18)
- Efficiency of single-stock futures: An intraday analysis (2008) (17)
- Nonlife Actuarial Models: Applications of Monte Carlo methods (2009) (17)
- The Lead–Lag Relation between the S&P500 Spot and Futures Markets: An Intraday-Data Analysis Using a Threshold Regression Model (2010) (17)
- Edgeworth approximations in first-order stochastic difference equations with exogenous variables (1982) (17)
- Liquidity commonality and spillover in the US and Japanese markets: an intraday analysis using exchange-traded funds (2008) (17)
- A Note on International Portfolio Diversification with Short Selling (2001) (16)
- Do industries lead stock markets? A reexamination (2015) (15)
- How electronic trading affects bid‐ask spreads and arbitrage efficiency between index futures and options (2005) (15)
- Expectations formation and forecasting of vehicle demand: an empirical study of the vehicle quota auctions in Singapore (2004) (15)
- Trading location and equity returns: Evidence from US trading of British cross-listed firms (2009) (14)
- Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation (2014) (14)
- Stock market prediction with deep learning: The case of China (2021) (14)
- The relationship between U.S. and eurodollar interest rates: Evidence from the futures market (1995) (14)
- How do lenders evaluate borrowers in peer-to-peer lending in China? (2020) (13)
- The Impacts of Hong Kong ’ s Currency Board Reforms on the Interbank Market (2002) (12)
- Testing for Conditional Heteroscedasticity: Some Monte Carlo Results (1997) (12)
- Econometric Forecasting and High-Frequency Data Analysis (2008) (12)
- Can Island Provide Liquidity and Price Discovery in the Dark? (2004) (12)
- Order Imbalance in the FTSE Index Futures Market: Electronic Versus Open Outcry Trading (2009) (12)
- Edgeworth Approximations to the Distributions of Various Test Statistics (1981) (12)
- Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods (2012) (11)
- Exchange traded funds, size-based portfolios, and market efficiency (2015) (11)
- Physical Delivery versus Cash Settlement: An Empirical Study on the Feeder Cattle Contract* (2002) (11)
- A Note on the Length Effect of Futures Hedging (2000) (11)
- Information shares in international oil futures markets (1997) (11)
- Asymmetric Volatility, Skewness, and Downside Risk in Different Asset Classes: Evidence from Futures Markets (2016) (10)
- Exchange-rate systems and interest-rate behaviour: The experience of Hong Kong and Singapore (2006) (10)
- China's Exchange Traded Fund: Is There a Trading Place Bias? (2008) (10)
- Nonlife Actuarial Models (2009) (10)
- Extended trading in Chinese index markets: Informed or uninformed? (2016) (10)
- Estimation of Hyperbolic Diffusion using MCMC Method (2002) (10)
- Multi-market trading in the Eurodollar futures market (2006) (9)
- Outlier detection in linear models: a comparative study in simple linear regression (1986) (9)
- The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market (2021) (9)
- Market quality and the connectedness of steel rebar and other industrial metal futures in China (2019) (9)
- Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets (2002) (9)
- Does Index Speculation Impact Commodity Prices? An Intraday Analysis (2013) (9)
- Interest Rate Spreads and the Prediction of Real Economic Activity: The Case of Singapore (1998) (8)
- Open vs. sealed-bid auctions: testing for revenue equivalence under Singapore's vehicle quota system (2003) (8)
- NYSE execution quality subsequent to migration to hybrid (2009) (8)
- Capital Control, Market Segmentation and Cross-Border Flow of Information: Some Empirical Evidence from the Chinese Stock Market (2001) (8)
- No-Cointegration Test Based on Fractional Differencing: Some Monte Carlo Results (1999) (8)
- Forecasts for international financial series with VMD algorithms (2022) (8)
- An Empirical Comparison of Some Statistics for Identifying Outliers and Influential Observations in Linear Regression Models (1987) (8)
- The Impacts of Hong Kong's Currency Board Reforms on the Interbank Market (2001) (7)
- Risk Premia in Foreign Currency Futures: A Reexamination (1996) (7)
- Return predictability and contrarian profits of international index futures (2018) (7)
- International Asset Allocation with Regime Switching: Evidence from the ETFs† (2015) (7)
- Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure (2004) (7)
- The Impact of Sampling Frequency on Intraday Correlation and Lead–Lag Relationships Between Index Futures and Individual Stocks (2015) (7)
- Estimation of Time Varying Adjusted Probability of Informed Trading and Probability of Symmetric Order-Flow Shock (2012) (7)
- Improving Money’s Worth Ratio Calculations: The Case of Singapore’s Pension Annuities (2011) (7)
- Illuminating the Profitability of Pairs Trading: A Test of the Relative Pricing Efficiency of Markets for Water Utility Stocks (2011) (7)
- A Proportional Random Utility Approach to Qualitative Response Models (1989) (7)
- Anticipating Change in Development Activity Levels (1999) (6)
- An Empirical Analysis of Unit Trust Performance in Singapore (2000) (6)
- The Variance Ratio Test with Stable Paretian Errors (2002) (5)
- Tests for Multiple Outliers in an Exponential Sample (1991) (5)
- Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility (2017) (5)
- The market quality of commodity futures markets (2020) (5)
- Generalized LM Tests for Functional Form and Heteroscedasticity (2008) (5)
- Return seasonality in the foreign exchange market (2018) (5)
- Insured uncovered interest parity (2013) (5)
- Stochastic Behaviour of Interest Rates in Singapore (1995) (5)
- A Corrected Plug-in Method for Quantile Interval Construction Through a Transformed Regression (2007) (5)
- ON THE ROBUSTNESS OF TESTS OF OUTLIERS AND FUNCTIONAL FORM (1992) (4)
- Some Modified Versions of Durbin's h-Statistic (1985) (4)
- Testing linear and log-linear regressions with autocorrelated errors (1984) (4)
- Illuminating the Profitability of Pairs Trading: A Test of Relative Pricing Efficiency of Markets for Water Utility Stocks (2011) (4)
- Testing for linear and log-linear regressions with heteroscedasticity (1984) (4)
- The impact of tick-size reductions in foreign currency futures markets (2019) (4)
- Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore (2004) (4)
- The impact of the US stock market opening on price discovery of government bond futures (2019) (4)
- Competition for Order Flow and Market Quality in the Gold and Silver Futures Markets (2008) (4)
- Edgeworth approximations for t-ratios of 2SLS estimates of a dynamic model (1984) (3)
- Volatility, trade size, and order imbalance in China and Japan exchange traded funds (2013) (3)
- Stock Volatility and the Impact of News: The Case of Four Asia-Pacific Markets (1996) (3)
- The Informativeness of Trades and Quotes in the FTSE 100 Index Futures Market (2015) (3)
- Local influence on bandwidth estimation for kernel smoothing (2001) (3)
- The Exchange Rate System Reform in China: US Pressure, Implicit Gradual Appreciation and Explicit Exchange Rate Bands (2017) (3)
- A Corrected Plug-In Method for the Quantile Confidence Interval of a Transformed Regression (2002) (3)
- Commodity Prices and Currency Rates: An Intraday Analysis (2011) (3)
- Financial Mathematics for Actuaries (2010) (3)
- Setting the futures margin with price limits: the case for single-stock futures (2017) (3)
- The impact of trades by traders on asymmetric volatility for Nasdaq-100 index futures (2012) (3)
- The spot and forward exchange rates: some empirical evidence of Singapore (1986) (3)
- Intraday price discovery analysis in the foreign exchange market of an emerging economy: Mexico (2017) (3)
- Modelling firm‐size distribution using Box–Cox heteroscedastic regression (2006) (3)
- Financial and Actuarial Mathematics (2007) (3)
- Fractional cointegration tests with GARCH (1998) (3)
- The impact of the change in USDA announcement release procedures on agricultural commodity futures (2020) (3)
- Assessing Lund's critical values for testing for outliers in linear regression models (1988) (3)
- Direction-of-change forecasts for Asian equity markets based on conditional variance, skewness and Kurtosis dynamics: International evidence (2007) (3)
- On calculating the edgeworth approximate distribution of an econometric estimator or test statistic (1983) (2)
- Systemic risk in financial institutions: A multiplex network approach (2022) (2)
- The Impact of Trading Activity by Trader Types on Asymmetric Volatility in Nasdaq-100 Index Futures (2011) (2)
- Trading Venue Choice in the Post-2000 Era: An Analysis of Firms that Switch between NYSE, Amex, and Nasdaq (2014) (2)
- On estimating market microstructure noise variance (2017) (2)
- Should Investor invest in both future and spot market ? : An Analysis through Optimal Hedge Ratio (2012) (2)
- Hedging Downside Risk: Futures Versus Options (2001) (2)
- Some Experience of Numerical Computation of Edgeworth Approximations (1988) (2)
- Cross-return predictability in Pacific Basin stock markets (1994) (2)
- A Diagnostic Test for the Multinomial (1987) (2)
- Statistics with Estimated Parameters (2007) (2)
- MLE of some continuous time financial models: some Monte Carlo results (1992) (2)
- The SOFR and the Fed’s influence over market interest rates (2021) (2)
- The Relationship Among Agricultural Futures , ETFs , and the US Stock Market (2012) (2)
- Market Microstructure Noise (2014) (2)
- The effect of stock splits on iShare exchange‐traded funds (2010) (2)
- A note on Sargan densities (1987) (2)
- Edgeworth Approximations for 2SLS Estimates of a Dynamic Model (1988) (2)
- Business time sampling scheme and its applications to semi-martingale hypothesis and estimating integrated volatility (2014) (2)
- Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis (2012) (2)
- The FOMC announcement returns on long-term US and German bond futures (2020) (2)
- A Physical Interpretation of the Maximum Likelihood Estimation of a Linear Functional Relationship Model (1984) (1)
- Price Discovery in International and Emerging Asset Markets (2013) (1)
- Pairs trading of Chinese and international commodities (2020) (1)
- Selecting an index for a stock index futures contract: An analysis of the Singapore market (1991) (1)
- The Leading Role of the Chinese Futures in the World Commodity Futures Markets (2014) (1)
- International Financial Issues in the Pacific Rim Global Imbalances, Financial Liberalization, and Exchange Rate Policy (Edited by Takatoshi Ito, Andrew K. Rose) (2009) (1)
- Exact Maximum Likelihood Estimation of Vector Arma Processes (1989) (1)
- Where does Volatility and Return Come From? The Case of Asian ETFs (2009) (1)
- Enhancing Singapore’s Pension Scheme: A Blueprint for Further Flexibility (2017) (1)
- Estimation of High-Frequency Volatility: Autoregressive Conditional Duration Models Versus Realized Volatility Methods (2010) (1)
- An algorithm for computing options on the maximum or minimum of several assets / 1535 (1989) (1)
- Nonlife Actuarial Models: Model construction and evaluation (2009) (1)
- Cross-asset Time-series Momentum: Crude Oil Options and Global Stock Markets (2021) (1)
- Nonlinear dynamics of the Nikkei Stock Average Futures (1995) (1)
- Smooth transition in aggregate consumption (2002) (1)
- Testing for heteroscedasticity in a dynamic simultaneous equation model (1985) (1)
- Long Memory Volatility in Stock Returns: Evidence from Four Asia-Pacific Markets (1996) (1)
- International Equity Index and Currency Futures: Commodity Currencies or Emerging Versus Developed Markets? (2017) (1)
- Estimation of High-Frequency Volatility : Autoregressive Conditional Duration Models versus Realized Volatility Methods (2009) (1)
- A Sequential Testing Procedure for Outliers and Structural Change (1998) (1)
- On the Asymptotic Effect of Substituting Estimators for Nuisance Parameters in Inferential Statistics (2003) (1)
- Detecting Structural Changes Using Genetic Programming with an Application to the Greater-China Stock Markets (2000) (1)
- Short-term interest rate models and generation of interest rate scenarios (1997) (1)
- Nonlife Actuarial Models: Loss models (2009) (0)
- Stochastic Interest Rates (2017) (0)
- Price discovery between forward-looking SOFR and LIBOR (2022) (0)
- The Exchange Rate System Reform in China: Some Important Results (2022) (0)
- Nonlife Actuarial Models: Model evaluation and selection (2009) (0)
- Nonlife Actuarial Models: Notation and convention (2009) (0)
- Interest Rates and Financial Securities (2017) (0)
- Nonlife Actuarial Models: Credibility (2009) (0)
- Return predictability between industries and the stock market in China (2021) (0)
- Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets (2016) (0)
- Cross-Asset Time-Series Momentum: Crude Oil Volatility and Global Stock Markets (2022) (0)
- Nonlife Actuarial Models: Empirical implementation of credibility (2009) (0)
- Nonlife Actuarial Models: Nonparametric model estimation (2009) (0)
- Nonlife Actuarial Models: Parametric model estimation (2009) (0)
- Market Segmentation and Information Values of Earnings Announcements: Some Empirical Evidence from an Event Study on the Chinese Stock Market (2002) (0)
- The impact of FOMC announcements on currency futures markets (2019) (0)
- Bonds and Bond Pricing (2017) (0)
- Interest Accumulation and Time Value of Money (2017) (0)
- Nonlife Actuarial Models: Claim-severity distribution (2009) (0)
- Nonlife Actuarial Models: Risk and ruin (2009) (0)
- Nonlife Actuarial Models: Bayesian approach (2009) (0)
- Nonlife Actuarial Models: References (2009) (0)
- Trade Volume, Trade Frequency and Trade Size: Their Implications for Informed Trading and Volatility (2014) (0)
- A Hybrid Equity Release Plan for Retirement Financing (2020) (0)
- Nonlife Actuarial Models: Model estimation and types of data (2009) (0)
- Nonlife Actuarial Models: Ruin theory (2009) (0)
- Research records for Chaired finance positions (2020) (0)
- Setting the futures margin with price limits: the case for single-stock futures (2015) (0)
- Estimation of Time Varying Adjusted PIN and PSOS using High-Frequency Transaction Data Helsinki Center of Economic Research (2011) (0)
- Institutional Knowledge at Singapore Management University Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Models Approach (2019) (0)
- Nonlife Actuarial Models: Aggregate-loss models (2009) (0)
- Nonlife Actuarial Models: Bühlmann credibility (2009) (0)
- Nonlife Actuarial Models: Risk measures (2009) (0)
- Exchange traded funds, size-based portfolios, and market efficiency (2014) (0)
- Three Essays on Short-Term Interest Rate Futures. (1994) (0)
- Institutional Knowledge at Singapore Management University Modeling the Firm-Size Distribution Using Box-Cox Heteroscedastic Regression (2019) (0)
- Know Your Interest: A Guide to Loans and Investment (1997) (0)
- An Empirical Analysis of the Stochastic Behaviour of Short-Term Interest Rates in Singapore (1998) (0)
- Rates of Return (2017) (0)
- Stochastic Models of Interest Rates in Economics, Finance and Actuarial Science, Keynote Address, Modsim 95 (1995) (0)
- Stochastic modelling of multifractal exchange rates: Recent and emerging methods and techniques (2000) (0)
- An empirical comparison of small sample distributions of estimators of the first order autoregression (1984) (0)
- SERIES Exchange-Rate Systems and Interest-Rate Behaviour : The Experience of Hong Kong and Singapore (2002) (0)
- Nonlife Actuarial Models: Basic Monte Carlo methods (2009) (0)
- Robust Tests of Market Efficiency using Statistical Arbitrage (2004) (0)
- Forecasting large covariance matrix with high-frequency data: A factor correlation matrix approach (2018) (0)
- Interest rate models and option pricing: a sensitivity analysis (1995) (0)
- Black mouth, investor attention and stock return (2022) (0)
- Nonlife Actuarial Models: Preface (2009) (0)
- International Financial Markets (2013) (0)
- The Determinants of More Frequent Disclosure: The Case of Issuing Monthly Sales Reports by Retail Firms (2011) (0)
- Institutional Knowledge at Singapore Management University Statistics with Estimated Parameters (2019) (0)
- The SOFR and the Fed's Influence Over Market Interest Rates (2021) (0)
- Impact of Transaction Duration, Volume and Direction on Price and Volatility Dynamics (2005) (0)
- Loans and Costs of Borrowing (2017) (0)
- The P rice Discovery Puzzle in Off shore Yuan Trading: Diffe rent Contributions for Diffe rent Contracts (2012) (0)
- Restricted private information provision during short sale bans (2010) (0)
- Stochastic modelling of multifractal exchange rates (2000) (0)
- Cointegration of stochastic multifractals (1999) (0)
- Fifth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, Participation Only (2002) (0)
- Price comovement and market segmentation of Chinese A- and H-shares: Evidence from a panel latent-factor model (2023) (0)
- Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading (2007) (0)
- Failure to Trade: The Curious Case of Two Argus Futures Contracts (2013) (0)
- Macroeconomic Model Block (2019) (0)
- Order Imbalances and Price Changes in the US Index Futures Markets: An Empirical Investigation (2010) (0)
- Causality between Volume and Return in the Singapore Stock Market (1991) (0)
- Nonlife Actuarial Models: Claim-frequency distribution (2009) (0)
- Volatility in Us Dairy Futures Market (2022) (0)
- Are Whisper Forecasts More Informative than Consensus Analysts’ Forecasts? (2007) (0)
- Nonlife Actuarial Models: Answers to exercises (2009) (0)
- Spot Rates, Forward Rates and the Term Structure (2017) (0)
- Volatility, trade size, and order imbalance in China and Japan exchange traded funds (2011) (0)
- Bond Yields and the Term Structure (2017) (0)
- Editorial for the Special Issue on Financial Econometrics (2019) (0)
- Trading Venue Choice In the Post-2000 Era: An Analysis Of US Firms That Change Listing Locations (2013) (0)
- An actuarial framework of Singapore's pension program: The CPF LIFE Scheme (2015) (0)
- Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix (2020) (0)
- On estimating continuous time financial models (1989) (0)
- Investing in Private Equity: Pitfalls and Best Practices (2007) (0)
- Price disparity between Chinese A- and H-shares: Dividends, currency values, and the interest rate differential (2021) (0)
- Nonlife Actuarial Models: Appendix: Review of statistics (2009) (0)
- The Singaporean Annuity Pension System: A Good Deal? (2014) (0)
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