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Information about:
Anthony S Tay

Personal Details | Affiliation | Works
This is information that was supplied by Anthony S Tay in registering through RePEc. If you are Anthony S Tay , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Anthony S
Middle Name:
Last Name: Tay
Suffix:

RePEc Short-ID: pta22

Email:
Homepage:
Postal Address: Singapore Management University School of Economics and Social Sciences 90 Stamford Road Singapore 178903
Phone: (65) 6828-0850

Affiliation

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
  1. Wu-Index

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Olivier, Jacques & Tay, Anthony, 2008. "Time-Varying Incentives in the Mutual Fund Industry," CEPR Discussion Papers 6893, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  2. Anthony Tay & Jacques Olivier, 2008. "Time-Varying Incentives in the Mutual Fund Industry," Working Papers 10-2008, Singapore Management University, School of Economics, revised Jun 2008. [Downloadable!]

  3. Anthony Tay, 2007. "Financial Variables as Predictors of Real Output Growth," Working Papers 14-2007, Singapore Management University, School of Economics. [Downloadable!]

  4. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2007. "Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading," Working Papers 13-2007, Singapore Management University, School of Economics. [Downloadable!]

  5. 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!]

  6. 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!]

  7. Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2004. "Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore," Working Papers 02-2005, Singapore Management University, School of Economics, revised Jan 2005. [Downloadable!]

  8. Keen Meng Choy & Kenneth Leong & Anthony S. Tay, 2003. "Non-Fundamental Expectations and Economic Fluctuations: Evidence from Professional Forecasts," Departmental Working Papers wp0306, National University of Singapore, Department of Economics. [Downloadable!]
    Published as:

  9. Aamir R. Hashmi & Anthony S. Tay, 2001. "Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness," Departmental Working Papers wp0116, National University of Singapore, Department of Economics. [Downloadable!]
    Other versions:

  10. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society. [Downloadable!]

  11. Tilak Abeysinghe & Anthony S. Tay, 2000. "Dynamic Regressions with Variables Observed at Different Frequencies," Econometric Society World Congress 2000 Contributed Papers 0752, Econometric Society. [Downloadable!]

  12. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1998. "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-079, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    Other versions:

  13. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating density forecasts," Working Papers 97-6, Federal Reserve Bank of Philadelphia. [Downloadable!]
    Other versions:

  14. Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis, 1997. "Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters," NBER Working Papers 6228, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

Articles

  1. Hashmi, Aamir R. & Tay, Anthony S., 2007. "Global regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 430-453, April. [Downloadable!] (restricted)

  2. Choy, Keen Meng & Leong, Kenneth & Tay, Anthony S., 2006. "Non-fundamental expectations and economic fluctuations: Evidence from professional forecasts," Journal of Macroeconomics, Elsevier, vol. 28(2), pages 446-460, June. [Downloadable!] (restricted)
    Other versions:

  3. 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)

  4. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1999. "Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 661-673, November. [Downloadable!] (restricted)

  5. Diebold, Francis X & Gunther, Todd A & Tay, Anthony S, 1998. "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 863-83, November.

NEP Fields

8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2006-06-17
  2. NEP-CFN: Corporate Finance (1) 2008-07-05
  3. NEP-CWA: Central & Western Asia (1) 2003-07-29
  4. NEP-ECM: Econometrics (3) 1998-12-28 2006-06-17 2006-09-30 Author is listed
  5. NEP-ETS: Econometric Time Series (4) 2003-07-29 2004-10-30 2006-06-17 2006-09-30 Author is listed
  6. NEP-FIN: Finance (3) 2004-10-30 2006-06-17 2006-09-30 Author is listed
  7. NEP-FMK: Financial Markets (5) 2001-12-04 2006-06-17 2006-09-30 2008-07-05 2009-06-17 Author is listed
  8. NEP-FOR: Forecasting (2) 2006-06-17 2006-09-30 Author is listed
  9. NEP-IFN: International Finance (1) 1998-12-28
  10. NEP-RMG: Risk Management (3) 2003-07-29 2004-10-30 2006-09-30 Author is listed
  11. NEP-SEA: South East Asia (2) 2006-06-17 2006-09-30 Author is listed
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This page was last updated on 2009-11-5.

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