Yiu Kuen Tse

Singapore Management University - School of Social Sciences

Professor of Economics

469 Bukit Timah Road

Federal Building #02-05

Singapore, 259756

Singapore

http://staff.mysmu.edu/yktse/yktsehp.htm

  • Singapore Management University - School of Social Sciences

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SCHOLARLY PAPERS

11

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12

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Scholarly Papers (11)

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1.

A Multivariate GARCH Model with Time-Varying Correlations

Number of pages: 30 Posted: 11 Dec 2000
Yiu Kuen Tse and Albert K.C. Tsui
Singapore Management University - School of Social Sciences and National University of Singapore (NUS) - Department of Economics
Downloads 1,666 (13,034)
Citation 2

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BEKK model, constant correlation, Monte Carlo method, multivariate GARCH model, maximum likelihood estimate, varying correlation

2.

Statistical Arbitrage and Market Efficiency: Enhanced Theory, Robust Tests and Further Applications

Number of pages: 54 Posted: 03 Feb 2005
Robert A. Jarrow, Melvyn Teo, Yiu Kuen Tse and Mitch Warachka
Cornell University - Samuel Curtis Johnson Graduate School of Management, Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - School of Social Sciences and Chapman University - The George L. Argyros School of Business & Economics
Downloads 1,497 (15,407)
Citation 4

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Market Efficiency, Financial Anomalies

3.

Some Recent Developments in Futures Hedging

Number of pages: 41 Posted: 28 Dec 2000
Donald D. Lien and Yiu Kuen Tse
University of Texas at San Antonio - College of Business - Department of Economics and Singapore Management University - School of Social Sciences
Downloads 1,008 (27,849)
Citation 13

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4.

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
Peter Christoffersen, Francis X. Diebold, Roberto S. Mariano, Anthony S. Tay and Yiu Kuen Tse
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 840 (35,950)
Citation 4

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

5.

Capital Control, Market Segmentation and Cross-Border Flow of Information: Some Empirical Evidence from the Chinese Stock Market

International Review of Economics & Finance, Vol. 13, No. 4, 2004
Number of pages: 30 Posted: 20 Sep 2001 Last Revised: 28 Dec 2007
Yu Gao and Yiu Kuen Tse
University of St Thomas, Opus College of Business and Singapore Management University - School of Social Sciences
Downloads 764 (40,943)
Citation 3

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Market segmentation, earnings announcements, Chinese A-share stock market, Chinese B-share stock market

6.

The Impacts of Hong Kong's Currency Board Reforms on the Interbank Market

Number of pages: 28 Posted: 20 Sep 2001
Yiu Kuen Tse and Paul S. L. Yip
Singapore Management University - School of Social Sciences and Nanyang Technological University (NTU) - Centre for Research in Financial Services (CREFS)
Downloads 269 (142,286)
Citation 2

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Currency Board System, conditional heteroscedasticity, interbank rate

7.

Open Versus Sealed-Bid Auctions: Testing for Revenue Equivalence Under Singapore's Vehicle Quota System

Singapore Management U. Economics and Social Sciences Working Paper No. 16-2003
Number of pages: 21 Posted: 10 Jan 2005
Winston T.H. Koh, Roberto S. Mariano and Yiu Kuen Tse
Singapore Management University - School of Social Sciences, Singapore Management University and Singapore Management University - School of Social Sciences
Downloads 148 (245,234)

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Vehicle quotas, licenses, auction theory, revenue equivalence

8.

Econometric Forecasting and High-Frequency Data Analysis

R. Mariano, Y. Tse, ECONOMETRIC FORECASTING AND HIGH-FREQUENCY DATA ANALYSIS, Vol. 13, World Scientific, 2008
Number of pages: 1 Posted: 09 Sep 2009
Roberto S. Mariano and Yiu Kuen Tse
Singapore Management University and Singapore Management University - School of Social Sciences
Downloads 146 (247,916)

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Econometric Forecasting, High-Frequency Data, Time Series, Seasonality, Compound Autoregressive Processes, Affine Processes, Macroeconomic Modeling, Evaluating Forecast Uncertainty, Financial Data Analysis

9.

Improving Money’s Worth Ratio Calculations: The Case of Singapore’s Pension Annuities

Number of pages: 34 Posted: 16 Sep 2011 Last Revised: 22 May 2012
Joelle H. Fong, Jean Lemaire and Yiu Kuen Tse
National University of Singapore, University of Pennsylvania - Statistics Department and Singapore Management University - School of Social Sciences
Downloads 138 (259,267)
Citation 3

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retirement, pensions, annuities, risk, money’s worth

10.

Estimation of Time Varying Adjusted Probability of Informed Trading and Probability of Symmetric Order-Flow Shock

Journal of Applied Econometrics, Vol. 28, 2013
Number of pages: 18 Posted: 14 Aug 2012 Last Revised: 11 Aug 2015
Daniel P. A. Preve and Yiu Kuen Tse
Singapore Management University and Singapore Management University - School of Social Sciences
Downloads 67 (413,621)

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autoregressive conditional duration, market microstructure, probability of informed trading, probability of symmetric order-flow shock, transaction data

11.

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
Anthony S. Tay, Christopher Ting, Yiu Kuen Tse and Mitch Warachka
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 School of Business & Economics

Abstract:

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