Anthony S. Tay

Singapore Management University - School of Economics

Associate Professor

90 Stamford Road

178903

Singapore

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 23,729

in Total Papers Downloads

1,654

CITATIONS
Rank 1,203

SSRN RANKINGS

Top 1,203

in Total Papers Citations

456

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 677 (27,500)
Citation 4

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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 356 (67,020)
Citation 154

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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 and Gamini Premaratne
Singapore Management University - School of Economics and University of Brunei Darussalam
Downloads 205 (121,331)
Citation 2

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

4.
Downloads 111 (213,566)
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 107 (220,450)
Citation 3

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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 (564,398)
Citation 3
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Business Cycle, Convexity, Flow-performance Relationship, Incentives, Mutual Funds

5.

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
Aamir Rafique Hashmi and Anthony S. Tay
University of Calgary - Department of Economics and Singapore Management University - School of Economics
Downloads 75 (267,163)
Citation 8

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Asymmetries, Skewness, Volatility, Spillover, Stock returns

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
Francis X. Diebold, Jinyong Hahn and Anthony S. Tay
University of Pennsylvania - Department of Economics, affiliation not provided to SSRN and Singapore Management University - School of Economics
Downloads 26 (439,572)
Citation 5

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7.

Evaluating Density Forecasts

NBER Working Paper No. t0215
Number of pages: 38 Posted: 26 Aug 2000 Last Revised: 05 Aug 2010
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 41 (367,002)
Citation 206

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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
University of Pennsylvania - Department of Economics, Singapore Management University - School of Economics and University of Warwick - Department of Economics
Downloads 30 (408,955)
Citation 62

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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, affiliation not provided to SSRN and Singapore Management University - School of Economics
Downloads 27 (404,657)
Citation 5

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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 University of San Diego

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