Albert K.C. Tsui

National University of Singapore (NUS) - Department of Economics

1 Arts Link, AS2 #06-02

Singapore 117570, Singapore 119077

Republic of Singapore

SCHOLARLY PAPERS

12

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SSRN CITATIONS
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Top 14,215

in Total Papers Citations

5

CROSSREF CITATIONS

61

Scholarly Papers (12)

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 1,622 (10,927)
Citation 2

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

2.

Medical Savings Accounts in Singapore: How Much is Adequate?

Journal of Health Economics, Forthcoming
Number of pages: 38 Posted: 19 Jan 2005
Ngee-Choon Chia and Albert K.C. Tsui
National University of Singapore (NUS) and National University of Singapore (NUS) - Department of Economics
Downloads 181 (174,575)

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Medical savings accounts, present value of lifetime health care expense, cohort survival probabilities

3.

Estimating Time-Varying Currency Betas: New Evidence from Nine Developed and Emerging Markets

Number of pages: 39 Posted: 26 Aug 2013
Ling Long, Albert K.C. Tsui and Zhaoyong Zhang
National University of Singapore (NUS) - Department of Economics, National University of Singapore (NUS) - Department of Economics and Edith Cowan University - Faculty of Business and Law
Downloads 56 (386,154)

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time-varying currency betas, multivariate GARCH-M models, international CAPM, long memory, stochastic dominance

4.

Ownership and Use Taxes as Congestion Correcting Instruments

NBER Working Paper No. w8278
Number of pages: 20 Posted: 05 May 2001 Last Revised: 22 Oct 2010
Ngee-Choon Chia, Albert K.C. Tsui and John Whalley
National University of Singapore (NUS), National University of Singapore (NUS) - Department of Economics and University of Western Ontario - Department of Economics
Downloads 36 (461,181)

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5.

Exchange Rate Exposure of Sectoral Returns and Volatilities: Evidence from Japanese Industrial Sectors

Japan and the World Economy, Vol. 20, No. 4, 2008
Number of pages: 22 Posted: 07 Jul 2014 Last Revised: 20 Jul 2014
Prabhath Jayasinghe and Albert K.C. Tsui
University of Colombo - Department of Business Economics and National University of Singapore (NUS) - Department of Economics
Downloads 30 (489,190)

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Exchange rate exposure; Asymmetric volatility spillovers; GARCH-type models; Conditional correlation

6.

New Estimates of Time‐Varying Currency Betas: A Trivariate BEKK Approach

Number of pages: 43 Posted: 13 Mar 2015
Prabhath Jayasinghe, Albert K.C. Tsui and Zhaoyong Zhang
University of Colombo - Department of Business Economics, National University of Singapore (NUS) - Department of Economics and Edith Cowan University - Faculty of Business and Law
Downloads 29 (494,259)
Citation 1

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Time‐varying  currency  betas;  Multivariate  GARCH‐M  models;  International  CAPM;  Fractionally  integrated  processes;  Stochastic dominance

7.

Size and Power of Diagnostic Tests for Asymmetric Garch-Type Models

Number of pages: 53 Posted: 07 Jul 2014
Prabhath Jayasinghe and Albert K.C. Tsui
University of Colombo - Department of Business Economics and National University of Singapore (NUS) - Department of Economics
Downloads 28 (499,670)

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Diagnostic tests, Multivariate asymetric GARCH-type models

8.

Time-Varying Exchange Rate Exposure Coefficients (Exposure Betas): Evidence from Country Level Stock Returns

Sri Lanka Journal of Economics, Vol. 10, No. 2, December 2009
Number of pages: 23 Posted: 06 Jul 2014
Prabhath Jayasinghe and Albert K.C. Tsui
University of Colombo - Department of Business Economics and National University of Singapore (NUS) - Department of Economics
Downloads 26 (510,685)

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time-varying exchange rate exposure; multivariate GARCH-M models; international CAPM; fractionally integrated processes

9.

Multi-Elements of Exchange Rate Exposure: Evidence from Japanese Sectoral Returns

CBS Journal of Multidisciplinary Studies Vol. 1, No. 1, December 2010
Number of pages: 19 Posted: 04 Jul 2014
Prabhath Jayasinghe and Albert K.C. Tsui
University of Colombo - Department of Business Economics and National University of Singapore (NUS) - Department of Economics
Downloads 16 (570,946)

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exchange rate exposure; volatility spillovers; multivariate GARCH-M models; time-varying correlation

10.

A Multivariate GARCH Model with Time-Varying Correlations

Science Direct Working Paper No S1574-0358(04)71166-1
Number of pages: 34 Posted: 16 Apr 2018
Y.K. Tse and Albert K.C. Tsui
affiliation not provided to SSRN and National University of Singapore (NUS) - Department of Economics
Downloads 15 (577,256)
Citation 3

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BEKK model, constant correlation, Monte Carlo method, multivariate GARCH model, maximum likelihood estimate, varying correlation, C12

11.

New Estimates of Time-Varying Currency Betas: A Trivariate BEKK Approach

Economic Modelling, Vol. 42, 2014
Posted: 17 Jul 2014
Prabhath Jayasinghe, Albert K.C. Tsui and Zhaoyong Zhang
University of Colombo - Department of Business Economics, National University of Singapore (NUS) - Department of Economics and Edith Cowan University - Faculty of Business and Law

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Time-varying currency betas, Multivariate GARCH-M models, International CAPM, Fractionally integrated processes, Stochastic dominance

12.

Exchange Rate Exposure of Sectoral Returns and Volatilities: Further Evidence from Japanese Industrial Sectors

Pacific Economic Review, Vol. 19, Issue 2, pp. 216-236, 2014
Number of pages: 21 Posted: 29 Apr 2014
Prabhath Jayasinghe, Albert K.C. Tsui and Zhaoyong Zhang
University of Colombo - Department of Business Economics, National University of Singapore (NUS) - Department of Economics and Edith Cowan University - Faculty of Business and Law
Downloads 0 (698,441)
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