Anthony S. Tay

Singapore Management University - School of Economics

Associate Professor

90 Stamford Road

178903

Singapore

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 42,386

SSRN RANKINGS

Top 42,386

in Total Papers Downloads

2,212

SSRN CITATIONS
Rank 3,825

SSRN RANKINGS

Top 3,825

in Total Papers Citations

86

CROSSREF CITATIONS

389

Scholarly Papers (10)

1.

Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence

PIER Working Paper No. 06-016
Number of pages: 32 Posted: 12 Jun 2006
University of Toronto - Rotman School of Management, University of Pennsylvania - Department of Economics, Singapore Management University, Singapore Management University - School of Economics and Singapore Management University - School of Social Sciences
Downloads 944 (46,739)
Citation 5

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Volatility, variance, skewness, kurtosis, market timing, asset management, asset allocation, portfolio management

2.

Evaluating Density Forecasts with Applications to Financial Risk Management

NYU Working Paper No. SOR-98-6
Number of pages: 22 Posted: 31 Oct 2008
Francis X. Diebold, Todd A. Gunther and Anthony S. Tay
University of Pennsylvania - Department of Economics, affiliation not provided to SSRN and Singapore Management University - School of Economics
Downloads 497 (107,498)
Citation 65

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3.

How Should We Interpret Evidence of Time Varying Conditional Skewness?

National U of Singapore Economics Working Paper
Number of pages: 28 Posted: 27 May 2002
Anthony S. Tay, Gamini Premaratne and Gamini Premaratne
Singapore Management University - School of Economics and University of Illinois at Urbana-Champaign - Department of EconomicsUniversity of Brunei Darussalam
Downloads 247 (230,523)

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Conditional skewness, Runs test, ARCD model, Hansen t, heteroskewness, heterokurtosis, third moments, time-varying higher moments

4.
Downloads 148 (365,085)
Citation 3

Time-Varying Incentives in the Mutual Fund Industry

Paris December 2008 Finance International Meeting AFFI - EUROFIDAI Paper
Number of pages: 42 Posted: 14 Oct 2008 Last Revised: 14 Mar 2013
Jacques Olivier and Anthony S. Tay
HEC Paris - Finance Department and Singapore Management University - School of Economics
Downloads 144 (373,691)
Citation 7

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Mutual funds, Incentives, Flow-Performance Relationship, Convexity, Business Cycles

Time-Varying Incentives in the Mutual Fund Industry

CEPR Discussion Paper No. DP6893
Number of pages: 48 Posted: 20 Aug 2008
Jacques Olivier and Anthony S. Tay
HEC Paris - Finance Department and Singapore Management University - School of Economics
Downloads 4 (1,154,275)
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Business Cycle, Convexity, Flow-performance Relationship, Incentives, Mutual Funds

Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange

NBER Working Paper No. w6845
Number of pages: 38 Posted: 26 Feb 1999 Last Revised: 16 Sep 2022
Francis X. Diebold, Jinyong Hahn and Anthony S. Tay
University of Pennsylvania - Department of Economics, University of California, Los Angeles and Singapore Management University - School of Economics
Downloads 66 (636,871)

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6.

Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models With Time-Varying Conditional Skewness

Journal of International Money and Finance, Vol. 26, No. 3, pp. 430-453, 2007
Number of pages: 56 Posted: 02 May 2007
University of CalgaryUniversity of Calgary - Department of Economics and Singapore Management University - School of Economics
Downloads 111 (455,227)
Citation 1

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Asymmetries, Skewness, Volatility, Spillover, Stock returns

7.

Evaluating Density Forecasts

NBER Working Paper No. t0215
Number of pages: 38 Posted: 26 Aug 2000 Last Revised: 03 Feb 2023
Francis X. Diebold, Todd A. Gunther and Anthony S. Tay
University of Pennsylvania - Department of Economics, affiliation not provided to SSRN and Singapore Management University - School of Economics
Downloads 70 (607,422)

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8.

Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters

NBER Working Paper No. w6228
Number of pages: 26 Posted: 26 Aug 2000 Last Revised: 10 Jul 2022
University of Pennsylvania - Department of Economics, Singapore Management University - School of Economics and University of Warwick - Department of Economics
Downloads 68 (616,799)
Citation 1

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9.

Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitorlng the Risk of High-Frequency Returns on Foreign Exchange

NYU Working Paper No. SOR-98-7
Number of pages: 38 Posted: 31 Oct 2008
Francis X. Diebold, Jinyong Hahn and Anthony S. Tay
University of Pennsylvania - Department of Economics, University of California, Los Angeles and Singapore Management University - School of Economics
Downloads 61 (652,104)
Citation 7

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10.

Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading

Journal of Financial Econometrics, Vol. 7, Issue 3, pp. 288-311, 2009
Posted: 30 Jun 2009
Singapore Management University - School of Economics, Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - School of Social Sciences and Chapman University - The George L. Argyros College of Business and Economics

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C410, G120, autoregressive conditional duration, market microstructure, probability of informed trading, transaction data, Weibull distribution