Yiu Kuen. Tse

Q: What Schools Are Affiliated With Yiu Kuen. Tse

Yiu Kuen. Tse is affiliated with the following schools: Binghamton University, National University of Singapore, Louisiana State University, City University of Hong Kong, University of Missouri, Singapore Management University

Yiu Kuen. Tse's AcademicInfluence.com Rankings

Yiu Kuen. Tse

Economics

#3053

World Rank

#3464

Historical Rank

Econometrics

#78

World Rank

#80

Historical Rank

economics Degrees

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Economics

Yiu Kuen. Tse's Degrees

Bachelors Economics University of California, Berkeley

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Yiu Kuen. Tse's Published Works

Number of citations in a given year to any of this author's works

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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