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Citations of
Y. K. Tse

For current contact information and a more complete listing of works, please see here

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Working papers

  1. Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2006. "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence," PIER Working Paper Archive 06-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
    Other versions:

    Cited by:

    1. M. Bigeco & E. Grosso & Edoardo Otranto, 2008. "Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models," Working Paper CRENoS 200803, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
    2. Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    3. Dimitrios Thomakos & Tao Wang, 2007. "'Optimal' Probabilistic Predictions for Financial Returns," Working Papers 0006, University of Peloponnese, Department of Economics. [Downloadable!]

  2. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2004. "Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure," Working Papers 09-2004, Singapore Management University, School of Economics. [Downloadable!]

    Cited by:

    1. Anthony Tay & Christopher Ting, 2006. "Intraday stock prices, volume, and duration: a nonparametric conditional density analysis," Empirical Economics, Springer, vol. 30(4), pages 827-842, January. [Downloadable!] (restricted)

  3. Y.K. Tse & Xibin Zhang, 2003. "A Monte Carlo Investigation of Some Tests for Stochastic Dominance," Monash Econometrics and Business Statistics Working Papers 7/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

    Cited by:

    1. Dahl, Bruce L. & Wilson, William W. & Nganje, William, 2004. "Stochastic Dominance in Wheat Variety Development and Release Strategies," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 29(01), April. [Downloadable!]
    2. Oliver Linton & Kyungchul Song & Yoon-Jae Whang, 2008. "Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary," CeMMAP working papers CWP08/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
      Other versions:
    3. Oliver Linton & Esfandiar Maasoumi & Whang, Yoon-Jae, 2002. "Consistent Testing for Stochastic Dominance: A Subsampling Approach," Cowles Foundation Discussion Papers 1356, Cowles Foundation, Yale University, revised Mar 2002. [Downloadable!]
      Other versions:
    4. Maasoumi, Esfandiar & Almas Heshmati, 2003. "Evaluating Dominance Ranking of PSID Incomes by various Household Attributes," Departmental Working Papers 0509, Southern Methodist University, Department of Economics. [Downloadable!]
      Other versions:
    5. Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007. "Stochastic Dominance Analysis of iShares," European Journal of Finance, Taylor and Francis Journals, vol. 13(1), pages 89-101, January. [Downloadable!] (restricted)
      Other versions:
    6. David Maddison, 2005. "Are There Too Many Revivals on Broadway? A Stochastic Dominance Approach," Journal of Cultural Economics, Springer, vol. 29(4), pages 325-334, November. [Downloadable!] (restricted)
    7. Lean Hooi Hooi & Wong Wing Keung & Russell Smyth, 2005. "Revisiting Calender Anomolies in Asian Stock Markets Using a Stochastic Dominance Approach," Monash Economics Working Papers 16/05, Monash University, Department of Economics. [Downloadable!]
      Other versions:
    8. Marcus Asplund & Volker Nocke, 2003. "Firm Turnover in Imperfectly Competitive Markets," PIER Working Paper Archive 03-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
    9. Vinod Mishra & Russell Smyth, 2008. "An Examination Of The Impact Of India'S Performance In One-Day Cricket Internationals On The Indian Stock Market," Monash Economics Working Papers 09/08, Monash University, Department of Economics. [Downloadable!]
    10. Duangkamon Chotikapanich & William E. Griffiths, 2006. "Bayesian Assessment of Lorenz and Stochastic Dominance in Income Distributions," Department of Economics - Working Papers Series 960, The University of Melbourne. [Downloadable!]

  4. Y.K. Tse & Xibin Zhang & Jun Yu, 2002. "Estimation of Hyperbolic Diffusion Using MCMC Method," Monash Econometrics and Business Statistics Working Papers 18/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

    Cited by:

    1. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004. [Downloadable!]
    2. Xibin Zhang & Robert D. Brooks & Maxwell L. King, 2007. "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Monash Econometrics and Business Statistics Working Papers 11/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    3. Xibin Zhang & Maxwell L. King, 2004. "Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors," Monash Econometrics and Business Statistics Working Papers 26/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
      Other versions:
    4. Peter C.B. Phillips & Jun Yu, 2007. "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Cowles Foundation Discussion Papers 1597, Cowles Foundation, Yale University. [Downloadable!]

Articles

  1. Winston T. H. Koh & Roberto S. Mariano & Yiu Kuen Tse, 2007. "Open vs. sealed-bid auctions: testing for revenue equivalence under Singapore's vehicle quota system," Applied Economics, Taylor and Francis Journals, vol. 39(1), pages 125-134, January. [Downloadable!] (restricted)

    Cited by:

    1. Winston T.H. Koh, 2003. "Congestion Control and Vehicle Ownership Restriction: The Choice of an Optimal Quota Policy," Working Papers 03-2004, Singapore Management University, School of Economics. [Downloadable!]

  2. Fung, Joseph K.W. & Lien, Donald & Tse, Yiuman & Tse, Yiu Kuen, 2005. "Effects of electronic trading on the Hang Seng Index futures market," International Review of Economics & Finance, Elsevier, vol. 14(4), pages 415-425. [Downloadable!] (restricted)

    Cited by:

    1. Helder Sebastião, 2008. "The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems," GEMF Working Papers 2008-07, GEMF - Faculdade de Economia, Universidade de Coimbra. [Downloadable!]

  3. Tse, Y. K. & Yip, Paul S. L., 2003. "The impacts of Hong Kong's Currency Board reforms on the interbank market," Journal of Banking & Finance, Elsevier, vol. 27(12), pages 2273-2296, December. [Downloadable!] (restricted)

    Cited by:

    1. Y. K. Tse & S. L. Yip, 2005. "Exchange-Rate Systems and Interest-Rate Behaviour: The Experience of Hong Kong and Singapore," Economic Growth centre Working Paper Series 0503, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre. [Downloadable!]
      Other versions:

  4. Lien, Donald & Tse, Y K, 2002. " Some Recent Developments in Futures Hedging," Journal of Economic Surveys, Blackwell Publishing, vol. 16(3), pages 357-96, July. [Downloadable!] (restricted)

    Cited by:

    1. Cotter, John & Hanly, James, 2005. "Re-evaluating Hedging Performance," MPRA Paper 3523, University Library of Munich, Germany. [Downloadable!]
    2. Bokusheva, Raushan & Breustedt, Gunnar & Heidelbach, Olaf, 2006. "Measurement and Comparison of Risk Reduction by Means of Farm Yield, Area Yield, and Weather Index Crop Insurance Schemes - The Case of Kazakhstani Wheat Farms," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25523, International Association of Agricultural Economists. [Downloadable!]
    3. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
      Other versions:
    4. David Shaffer & Andrea DeMaskey, 2005. "Currency Hedging Using the Mean-Gini Framework," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 125-137, September. [Downloadable!] (restricted)
    5. Mattos, Fabio & Garcia, Philip & Nelson, Carl, 2005. "Relaxing Standard Hedging Assumptions in the Presence of Downside Risk," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19040, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
      Other versions:
    6. Matteo Manera & Elisa Scarpa, 2006. "Pricing and Hedging Illiquid Energy Derivatives:an Application to the JCC Index," Working Papers 2006.130, Fondazione Eni Enrico Mattei. [Downloadable!]

  5. Tse, Y K & Tsui, Albert K C, 2002. "A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 351-62, July.

    Cited by:

    1. WenShwo Fang & YiHao Lai & Stephen M. Miller, 2005. "Does Exchange Rate Risk Affect Exports Asymmetrically? Asian Evidence," Working papers 2005-09, University of Connecticut, Department of Economics. [Downloadable!]
      Other versions:
    2. Michael T. Chng & Gerard L. Gannon, 2008. "The Trading Performance of Dynamic Hedging Models: Time Varying Covariance and Volatility Transmission Effects," Accounting, Finance, Financial Planning and Insurance Series 2008_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
    3. Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
      Other versions:
    4. WenShwo Fang & YiHao Lai & Stephen M. Miller, 2005. "Export Promotion through Exchange Rate Policy: Exchange Rate Depreciation or Stabilization?," Working papers 2005-07, University of Connecticut, Department of Economics. [Downloadable!]
    5. Elena Andreou & Eric Ghysels, 2003. "Test for Breaks in the Conditional Co-Movements of Asset Returns," University of Cyprus Working Papers in Economics 3-2003, University of Cyprus Department of Economics. [Downloadable!]
      Other versions:
    6. Matteo Manera & Alessandro Lanza & Michael McAleer, 2004. "Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns," Working Papers 2004.72, Fondazione Eni Enrico Mattei. [Downloadable!]
      Other versions:
    7. Silvennoinen, Annastiina & Teräsvirta, Timo, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," Working Paper Series in Economics and Finance 577, Stockholm School of Economics, revised 01 Oct 2005. [Downloadable!]
      Other versions:
    8. Robert-Paul Berben & W. Jos Jansen, 2005. "Bond Market and Stock Market Integration in Europe," DNB Working Papers 060, Netherlands Central Bank, Research Department. [Downloadable!]
    9. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008. "Comovements between US and UK stock prices: the roles of macroeconomic information and timevarying conditional correlations," The School of Economics Discussion Paper Series 0805, Economics, The University of Manchester. [Downloadable!]
      Other versions:
    10. Chor-yiu SIN, 2004. "Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE," Econometric Society 2004 Australasian Meetings 92, Econometric Society. [Downloadable!]
    11. Idier, J., 2006. "Stock exchanges industry consolidation and shock transmission," Documents de Travail 159, Banque de France. [Downloadable!]
    12. Christos S. Savva & Denise R. Osborn & Len Gill, 2006. "Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US," Centre for Growth and Business Cycle Research Discussion Paper Series 77, Economics, The Univeristy of Manchester. [Downloadable!]
      Other versions:
    13. Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society. [Downloadable!]
      Other versions:
    14. Suhejla Hoti & Felix Chan & Michael McAleer, 2003. "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series CIRJE-F-203, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    15. Giampiero Gallo & Edoardo Otranto, 2006. "Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model," Econometrics Working Papers Archive wp2006_04, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
      Other versions:
    16. Chor-yiu SIN, 2004. "Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE," Econometric Society 2004 North American Summer Meetings 476, Econometric Society. [Downloadable!]
    17. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group. [Downloadable!]

  6. Lien, Donald & Tse, Y K & Tsui, Albert K C, 2002. "Evaluating the Hedging Performance of the Constant-Correlation GARCH Model," Applied Financial Economics, Taylor and Francis Journals, vol. 12(11), pages 791-98, November. [Downloadable!] (restricted)

    Cited by:

    1. Tejeda, Hernan A. & Goodwin, Barry K. & Pelletier, Denis, 2009. "A State Dependent Regime Switching Model of Dynamic Correlations," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49370, Agricultural and Applied Economics Association. [Downloadable!]
    2. Kin-Yip Ho & Ka Cheng Tsui, 2004. "Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach," Money Macro and Finance (MMF) Research Group Conference 2004 12, Money Macro and Finance Research Group. [Downloadable!]
    3. David Shaffer & Andrea DeMaskey, 2005. "Currency Hedging Using the Mean-Gini Framework," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 125-137, September. [Downloadable!] (restricted)

  7. Y. K. Tse, 2002. "Residual-based diagnostics for conditional heteroscedasticity models," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 358-374, 06. [Downloadable!] (restricted)

    Cited by:

    1. Caporin Massimiliano & Paruolo Paolo, 2005. "Multivariate ARCH with spatial effects for stock sector and size," Economics and Quantitative Methods qf0509, Department of Economics, University of Insubria. [Downloadable!]
    2. Caporin Massimiliano & Paruolo Paolo, 2005. "Spatial effects in multivariate ARCH," Economics and Quantitative Methods qf0501, Department of Economics, University of Insubria. [Downloadable!]
    3. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
      Other versions:
    4. Roy van der Weide, 2002. "GO-GARCH: a multivariate generalized orthogonal GARCH model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 549-564. [Downloadable!]

  8. Tse, Y. K., 2000. "A test for constant correlations in a multivariate GARCH model," Journal of Econometrics, Elsevier, vol. 98(1), pages 107-127, September. [Downloadable!] (restricted)

    Cited by:

    1. C S Savva & D R Osborn & L Gill, 2005. "Spillovers and Correlations between US and Major European Stock Markets: The Role of the Euro," The School of Economics Discussion Paper Series 0515, Economics, The University of Manchester. [Downloadable!]
      Other versions:
    2. Heung-Joo Cha & Thadavillil Jithendranathan, 2009. "Time-varying correlations and optimal allocation in emerging market equities for the US investors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(2), pages 172-187. [Downloadable!]
    3. Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
      Other versions:
    4. Rockinger, M. & Jondeau, E., 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Documents de Travail 82, Banque de France. [Downloadable!]
    5. Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    6. Robert F. Engle & Neil Shephard & Kevin Sheppard, 2008. "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers 403, University of Oxford, Department of Economics. [Downloadable!]
      Other versions:
    7. Marçal, Emerson F. & Valls Pereira, Pedro L., 2008. "Testando A Hipótese De Contágio A Partir De Modelos Multivariados De Volatilidade
      [Testing the contagion hypotheses using multivariate volatility models]      ," MPRA Paper 10356, University Library of Munich, Germany. [Downloadable!]
    8. Johansson, Anders C., 2009. "An Analysis Of Dynamic Risk In The Greater China Equity Markets," Working Paper Series 2009-5, China Economic Research Center, Stockholm School of Economics.
      Other versions:
    9. Silvennoinen, Annastiina & Teräsvirta, Timo, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," Working Paper Series in Economics and Finance 577, Stockholm School of Economics, revised 01 Oct 2005. [Downloadable!]
      Other versions:
    10. Sherry Zhefang ZHOU & Helen Xiaohui BAO, 2009. "Modelling Price Dynamics In The Hong Kong Property Market," Cercetari practice si teoretice in managementul urban/Theoretical and Empirical Researches in Urban Management, Research Centre in Public Administration and Public Services, Bucharest, Romania, vol. 4(1S), pages 8-26, April. [Downloadable!]
    11. Christos Savva & Denise R Osborn & Len Gill, 2005. "Volatility, spillover Effects and Correlations in US and Major European Markets," Money Macro and Finance (MMF) Research Group Conference 2005 23, Money Macro and Finance Research Group. [Downloadable!]
    12. Andrew Worthington & Helen Higgs, 2001. "A multivariate GARCH analysis of equity returns and volatility in Asian equity markets," School of Economics and Finance Discussion Papers and Working Papers Series 089, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    13. Nakatani, Tomoaki & Teräsvirta, Timo, 2007. "Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model," Working Paper Series in Economics and Finance 649, Stockholm School of Economics, revised 24 Jan 2007. [Downloadable!]
      Other versions:
    14. Jonathan Dark, 2004. "Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model," Monash Econometrics and Business Statistics Working Papers 7/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    15. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008. "Comovements between US and UK stock prices: the roles of macroeconomic information and timevarying conditional correlations," The School of Economics Discussion Paper Series 0805, Economics, The University of Manchester. [Downloadable!]
      Other versions:
    16. A.S.K. Wong & P.J.G. Vlaar, 2003. "Modelling time-varying correlations of financial markets," WO Research Memoranda (discontinued) 739, Netherlands Central Bank, Research Department. [Downloadable!]
    17. Kin-Yip Ho & Ka Cheng Tsui, 2004. "Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach," Money Macro and Finance (MMF) Research Group Conference 2004 12, Money Macro and Finance Research Group. [Downloadable!]
    18. Y.K. Tse & Albert K.C. Tsui, 2000. "A Multivariate GARCH Model with Time-Varying Correlations," Econometrics 0004007, EconWPA. [Downloadable!]
      Other versions:
    19. Pereira, Pedro L. Valls, 2009. "Testing the hypothesis of contagion using multivariate volatility models," Textos para discussão 174, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    20. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
      Other versions:
    21. Shiqing Ling & Michael McAleer, 2001. "Asymptotic Theory for a Vector ARMA-GARCH Model," ISER Discussion Paper 0549, Institute of Social and Economic Research, Osaka University. [Downloadable!]
      Other versions:
    22. Andrew J. Patton & Kevin Sheppard, 2008. "Evaluating Volatility and Correlation Forecasts," OFRC Working Papers Series 2008fe22, Oxford Financial Research Centre. [Downloadable!]
    23. Pereira, Pedro L. Valls, 2009. "Evaluation of contagion or interdependence in the financial crises of asia and latin america, considering the Macroeconomic fundamentals," Textos para discussão 177, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil). [Downloadable!]
    24. Roy van der Weide, 2002. "GO-GARCH: a multivariate generalized orthogonal GARCH model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 549-564. [Downloadable!]
    25. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series 2001-15, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    26. Roberta Colavecchio & Michael Funke, 2008. "Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," Quantitative Macroeconomics Working Papers 20803, Hamburg University, Department of Economics. [Downloadable!]
      Other versions:

  9. Lien, Donald & Tse, Yiu Kuen, 2000. "Hedging Downside Risk with Futures Contracts," Applied Financial Economics, Taylor and Francis Journals, vol. 10(2), pages 163-70, April. [Downloadable!] (restricted)

    Cited by:

    1. Kai-Li Wang & Mei-Ling Chen, 2007. "The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework," Review of Quantitative Finance and Accounting, Springer, vol. 29(4), pages 371-394, November. [Downloadable!] (restricted)
    2. Cotter, John & Hanly, James, 2007. "Hedging Effectiveness under Conditions of Asymmetry," MPRA Paper 3501, University Library of Munich, Germany. [Downloadable!]
    3. David Shaffer & Andrea DeMaskey, 2005. "Currency Hedging Using the Mean-Gini Framework," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 125-137, September. [Downloadable!] (restricted)
    4. Mattos, Fabio & Garcia, Philip & Nelson, Carl, 2005. "Relaxing Standard Hedging Assumptions in the Presence of Downside Risk," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19040, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
      Other versions:

  10. Y. K. Tse, 1998. "The conditional heteroscedasticity of the yen-dollar exchange rate," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(1), pages 49-55. [Downloadable!]

    Cited by:

    1. Jonathan Dark, 2004. "Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures," Monash Econometrics and Business Statistics Working Papers 5/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    2. Giot,Pierre & Laurent,Sebastien, 2001. "Modelling daily value-at-risk using realized volatility and arch type models," Research Memoranda 014, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
      Other versions:
    3. Menelaos Karananos & S.H Sekioua & N Zeng, 2005. "On the order of integration of monthly US ex-ante and ex-post real interest rates new evidence from over a century of data," Money Macro and Finance (MMF) Research Group Conference 2005 21, Money Macro and Finance Research Group. [Downloadable!]
    4. Darmoul Mokhtar, 2006. "The impact of monetary policy signals on the intradaily Euro-dollar volatility," Cahiers de la Maison des Sciences Economiques bla06049, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]

  11. Tse, Y. K. & Tsui, Albert K. C., 1997. "Conditional volatility in foreign exchange rates: Evidence from the Malaysian ringgit and Singapore dollar," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 345-356, July. [Downloadable!] (restricted)

    Cited by:

    1. Cecilia Maya & Karoll Gómez, 2008. "What Exactly is "Bad News" in Foreign Exchange Markets? Evidence from Latin American Markets," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 161-183. [Downloadable!]
    2. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar," SCAPE Policy Research Working Paper Series 0805, National University of Singapore, Department of Economics, SCAPE. [Downloadable!]
    3. Michael D. McKenzie, Heather Mitchell, Robert D. Brooks, Robert W. Faff, 2001. "Power ARCH modelling of commodity futures data on the London Metal Exchange," European Journal of Finance, Taylor and Francis Journals, vol. 7(1), pages 22-38, March. [Downloadable!] (restricted)
      Other versions:

  12. Tse, Y. K. & Ng, L. K., 1997. "The cointegration of Asian currencies revisited," Japan and the World Economy, Elsevier, vol. 9(1), pages 109-114, March. [Downloadable!] (restricted)

    Cited by:

    1. Peter Wilson & Choy Keen Meng, 2006. "Prospects For Enhanced Exchange Rate Cooperation in East Asia: Some Preliminary Findings from Generalized PPP Theory," SCAPE Policy Research Working Paper Series 0601, National University of Singapore, Department of Economics, SCAPE. [Downloadable!]
      Other versions:
    2. Wilson, Peter, 2002. "Prospects for Asian Monetary Cooperation After the Asian Financial Crisis. Pipedream or Possible Reality?," EIJS Working Paper Series 151, The European Institute of Japanese Studies. [Downloadable!]
    3. M., Azali & R.C., Royfaizal & C., Lee, 2008. "Japanese Yen as as Alternative Vehicle Currency in Asian," MPRA Paper 11891, University Library of Munich, Germany, revised 2008. [Downloadable!]

  13. Tse, Y. K., 1995. "Some international evidence on the stochastic behavior of interest rates," Journal of International Money and Finance, Elsevier, vol. 14(5), pages 721-738, October. [Downloadable!] (restricted)

    Cited by:

    1. Diether Beuermann & Antonios Antoniou & Alejandro Bernales, 2005. "The Dynamics of the Short-Term Interest Rate in the UK," Finance 0512029, EconWPA. [Downloadable!]
    2. Sirimon Treepongkaruna, 2003. "Quasi-maximum likelihood estimates of Kiwi short-term interest rate," Applied Economics Letters, Taylor and Francis Journals, vol. 10(15), pages 937-942, December. [Downloadable!] (restricted)
    3. Mc Manus, Des & Watt, David, 1999. "Estimating One-Factor Models of Short-Term Interest Rates," Working Papers 99-18, Bank of Canada. [Downloadable!]

  14. Tse, Y. K., 1991. "Stock returns volatility in the Tokyo stock exchange," Japan and the World Economy, Elsevier, vol. 3(3), pages 285-298, November. [Downloadable!] (restricted)

    Cited by:

    1. Lux, Thomas & Kaizoji, Taisei, 2004. "Forecasting volatility and volume in the Tokyo stock market : the advantage of long memory models," Economics Working Papers 2004,05, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    2. Lux, Thomas & Kaizoji, Taisei, 2006. "Forecasting volatility and volume in the Tokyo stock market : long memory, fractality and regime switching," Economics Working Papers 2006,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
      Other versions:

  15. Lee, Tom K Y & Tse, Y K, 1991. "Term Structure of Interest Rates in the Singapore Asian Dollar Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 143-52, April-Jun. [Downloadable!] (restricted)

    Cited by:

    1. Peter Verhoeven & Michael McAleer, 2003. "Fat Tails and Asymmetry in Financial Volatility Models," CIRJE F-Series CIRJE-F-211, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    2. Lars Forsberg & Anders Eriksson, 2004. "The Mean Variance Mixing GARCH (1,1) model," Econometric Society 2004 Australasian Meetings 323, Econometric Society. [Downloadable!]
    3. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society. [Downloadable!]
    4. Thomas Kaiser, 1996. "One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -," Econometrics 9612007, EconWPA. [Downloadable!]
    5. Richard D. F. Harris & C. Coskun Küçüközmen & Fatih Yilmaz, 2004. "Skewness in the conditional distribution of daily equity returns," Applied Financial Economics, Taylor and Francis Journals, vol. 14(3), pages 195-202, February. [Downloadable!] (restricted)
    6. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University. [Downloadable!]

  16. Tse, Y K, 1987. "A Diagnostic Test for the Multinomial Logit Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(2), pages 283-86, April.

    Cited by:

    1. J. M. C. Santos Silva, 2001. "A score test for non-nested hypotheses with applications to discrete data models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(5), pages 577-597. [Downloadable!]
      Other versions:
    2. Enrique García Pérez & Benjamín Manchado, 1998. ": Un modelo econométrico del fraude académico en una universidad española," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales 98-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
    3. Tim R.L. Fry & Mark N. Harris, 2002. "The DOGEV Model," Monash Econometrics and Business Statistics Working Papers 7/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

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This page was last updated on 2009-12-12.

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