Information about:
Y. K. Tse

Other registered authors

Email:
Homepage: http://www.mysmu.edu/faculty/yktse/yktsehp.htm
Postal Address: School of Economics and Social Sciences, Singapore Management University, 469 Bukit Timah Road, Singapore 259756
Phone: +65 6822 0257

Affiliation

• School of Economics
  Singapore Management University

  Location: Singapore, Singapore
  Homepage: http://www.economics.smu.edu.sg/
  Email:
  Phone: 65-6828 0832
  Fax: 65-6828 0833
  Postal: 90 Stamford Road, Singapore 178903
  Handle: RePEc:edi:sesmusg (registered authors at this institution)

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!]

2. 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!]

3. 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!]

4. 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!]

5. Zhenlin Yang & Yiu Kuen Tse, 2004. "Modeling Firm-Size Distribution Using Box-Cox Heteroscedastic Regression," Working Papers 10-2004, Singapore Management University, School of Economics. [Downloadable!]
   Published as:
   • Y. K. Tse & Z. L. Yang, 2006. "Modelling firm-size distribution using Box-Cox heteroscedastic regression," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 641-653. [Downloadable!]

6. Melvyn Teo & Yiu Kuen Tse & Mitch Warachka, 2004. "Robust Tests of Market Efficiency using Statistical Arbitrage," Working Papers 12-2004, Singapore Management University, School of Economics. [Downloadable!]

7. Y. K. Tse & Z. L. Yang, 2004. "Tests of Functional Form and Heteroscedasticity," Econometric Society 2004 Far Eastern Meetings 424, Econometric Society. [Downloadable!]
   Other versions:
   • Z. L. Yang Y. K. Tse, 2004. "Tests of Functional Form and Heteroscedasticity," Econometric Society 2004 Australasian Meetings 302, Econometric Society. [Downloadable!]

8. 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!]

9. Sing-Fat Chu & Winston T.H. Koh & Yiu Kuen Tse, 2003. "Expectations Formation and Forecasting of Vehicle Demand: An Empirical Study of the Vehicle Quota Auctions in Singapore," Working Papers 02-2004, Singapore Management University, School of Economics. [Downloadable!]

10. 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!]

11. Y.K. Tse & Albert K.C. Tsui, 2000. "A Multivariate GARCH Model with Time-Varying Correlations," Econometrics 0004007, EconWPA. [Downloadable!]
    Other versions:
    • Yiu Kuen Tse & Albert K. C. Tsui, 2000. "A Multivariate GARCH Model with Time-Varying Correlations," Econometric Society World Congress 2000 Contributed Papers 0250, Econometric Society. [Downloadable!]
    • Y. K. Tse & Albert K. C. Tsui, 2000. "A Multivariate GARCH Model with Time-Varying correlations," Econometrics 0004010, EconWPA. [Downloadable!]

12. Mcaleer, M. & Tse, Y.K., 1989. "On The Robustness Of Tests Of Outliers And Functional Form," Papers 179, Osaka - Institute of Social and Economic Research.

1. Zhenlin Yang & Yiu-Kuen Tse, 2008. "Generalized LM tests for functional form and heteroscedasticity," Econometrics Journal, Royal Economic Society, vol. 11(2), pages 349-376, 07. [Downloadable!] (restricted)

2. 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)

3. Yang, Z.L. & Tse, Y.K., 2007. "A Corrected Plug-in Method for Quantile Interval Construction Through a Transformed Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 356-376, July. [Downloadable!] (restricted)

4. Yang, Zhenlin & Li, Chenwei & Tse, Y.K., 2006. "Functional form and spatial dependence in dynamic panels," Economics Letters, Elsevier, vol. 91(1), pages 138-145, April. [Downloadable!] (restricted)

5. Yu, Ting & Tse, Y.K., 2006. "An empirical examination of IPO underpricing in the Chinese A-share market," China Economic Review, Elsevier, vol. 17(4), pages 363-382. [Downloadable!] (restricted)

6. Lien, Donald & Tse, Yiu Kuen, 2006. "A survey on physical delivery versus cash settlement in futures contracts," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 15-29. [Downloadable!] (restricted)

7. Tse, Y.K. & Yip, Paul S.L., 2006. "Exchange-rate systems and interest-rate behaviour: The experience of Hong Kong and Singapore," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 212-227. [Downloadable!] (restricted)

8. Y. K. Tse & Z. L. Yang, 2006. "Modelling firm-size distribution using Box-Cox heteroscedastic regression," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 641-653. [Downloadable!]
   Other versions:
   • Zhenlin Yang & Yiu Kuen Tse, 2004. "Modeling Firm-Size Distribution Using Box-Cox Heteroscedastic Regression," Working Papers 10-2004, Singapore Management University, School of Economics. [Downloadable!]

9. 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)

10. Gao, Y. & Tse, Y. K., 2004. "Market segmentation and information values of earnings announcements: Some empirical evidence from an event study on the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 455-474. [Downloadable!] (restricted)

11. Y. K. Tse & K. W. Ng & Xibin Zhang, 2004. "A small-sample overlapping variance-ratio test," Journal of Time Series Analysis, Blackwell Publishing, vol. 25(1), pages 127-135, 01. [Downloadable!] (restricted)

12. 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)

13. 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)

14. 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.

15. 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)

16. 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)

17. Lien, Donald & Tse, Yiu Kuen, 2002. "Physical delivery versus cash settlement: an empirical study on the feeder cattle contract," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 361-371, November. [Downloadable!] (restricted)

18. Lien, Donald & Tse, Yiu Kuen, 2001. "Hedging downside risk: futures vs. options," International Review of Economics & Finance, Elsevier, vol. 10(2), pages 159-169. [Downloadable!] (restricted)

19. 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)

20. 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)

21. 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!]

22. Michael McAleer & Y. K. Tse, 1998. "A sequential testing procedure for outliers and structural change," Econometric Reviews, Taylor and Francis Journals, vol. 7(1), pages 103-111. [Downloadable!] (restricted)

23. 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)

24. 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)

25. 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)

26. 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)

27. 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)

28. Tse, Y K, 1989. "A Proportional Random Utility Approach to Qualitative Response Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 61-65, January.

29. Tse, Y. K., 1987. "A note on Sargan densities," Journal of Econometrics, Elsevier, vol. 34(3), pages 349-354, March. [Downloadable!] (restricted)

30. 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.

31. Tse, Y K, 1986. "The Spot and Forward Exchange Rates: Some Empirical Evidence of Singapore," Applied Economics, Taylor and Francis Journals, vol. 18(3), pages 319-31, March.

32. Tse, Y K, 1985. "Some Modified Versions of Durbin's h-Statistic," The Review of Economics and Statistics, MIT Press, vol. 67(3), pages 534-38, August. [Downloadable!] (restricted)

33. Tse, Y. K., 1984. "Testing linear and log-linear regressions with autocorrelated errors," Economics Letters, Elsevier, vol. 14(4), pages 333-337. [Downloadable!] (restricted)

34. Tse, Y. K., 1984. "Testing for linear and log-linear regressions with heteroscedasticity," Economics Letters, Elsevier, vol. 16(1-2), pages 63-69. [Downloadable!] (restricted)

35. Tse, Y. K., 1983. "On calculating the edgeworth approximate distribution of an econometric estimator or test statistic," Economics Letters, Elsevier, vol. 12(1), pages 37-41. [Downloadable!] (restricted)

36. Tse, Y. K., 1982. "Edgeworth approximations in first-order stochastic difference equations with exogenous variables," Journal of Econometrics, Elsevier, vol. 20(2), pages 175-195, November. [Downloadable!] (restricted)

1. NEP-BEC: Business Economics (1) 2006-06-17
2. NEP-CMP: Computational Economics (1) 2003-04-21
3. NEP-ECM: Econometrics (6) 2001-02-14 2002-12-18 2003-04-24 2004-10-30 2006-06-17 2006-09-30 Author is listed
4. NEP-ETS: Econometric Time Series (4) 2001-02-14 2002-12-17 2006-06-17 2006-09-30 Author is listed
5. NEP-FIN: Finance (3) 2004-10-30 2006-06-17 2006-09-30 Author is listed
6. NEP-FMK: Financial Markets (2) 2006-06-17 2006-09-30 Author is listed
7. NEP-FOR: Forecasting (2) 2006-06-17 2006-09-30 Author is listed
8. NEP-RMG: Risk Management (3) 2002-12-17 2003-04-21 2006-09-30 Author is listed
9. NEP-SEA: South East Asia (2) 2006-06-17 2006-09-30 Author is listed

This page was last updated on 2008-8-8.