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Price comovement and market segmentation of Chinese A- and H-shares : evidence from a panel latent-factor model

Dong, Yingjie; Huang, Wenxin; Tse, Yiu Kuen - In: Journal of international money and finance 131 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014248863

The exchange rate system reform in China : US pressure, implicit gradual appreciation and explicit exchange rate bands

Yip, Paul S. L.; Tse, Yiu Kuen; Dong, Yingjie - 2017

Persistent link: https://www.econbiz.de/10011809560

Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility

Dong, Yingjie; Tse, Yiu Kuen - In: Econometrics : open access journal 5 (2017) 4, pp. 1-19

We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The BTS transactions are obtained using the inverse of the TT...

Persistent link: https://www.econbiz.de/10011781945

Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix

Dong, Yingjie; Tse, Yiu Kuen - In: Economics letters 195 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012509995

On estimating market microstructure noise variance

Dong, Yingjie; Tse, Yiu Kuen - In: Economics letters 150 (2017), pp. 59-62

Persistent link: https://www.econbiz.de/10011762850

Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility

Dong, Yingjie; Tse, Yiu-Kuen - In: Econometrics 5 (2017) 4, pp. 1-19

Persistent link: https://www.econbiz.de/10011995199

Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation

Tse, Yiu Kuen; Dong, Yingjie - In: Journal of empirical finance 28 (2014), pp. 352-361

Persistent link: https://www.econbiz.de/10011285621

Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation

Tse, Yiu-Kuen; Dong, Yingjie - In: Journal of Empirical Finance 28 (2014) C, pp. 352-361

We study two methods of adjusting for intraday periodicity of high-frequency financial data: the well-known Duration Adjustment (DA) method and the recently proposed Time Transformation (TT) method (Wu (2012)). We examine the effects of these adjustments on the estimation of intraday volatility...

Persistent link: https://www.econbiz.de/10010939536