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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

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 : 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

An empirical examination of IPO underpricing in the Chinese A-share market

Yu, Ting; Tse, Yiu Kuen - In: China economic review : an international journal 17 (2006) 4, pp. 363-382

Persistent link: https://www.econbiz.de/10003396087

Estimation of high-frequency volatility : an autoregressive conditional duration approach

Tse, Yiu Kuen; Yang, Thomas Tao - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 4, pp. 533-545

Persistent link: https://www.econbiz.de/10009667044

Estimation of time-varying adjusted probability of informed trading and probability of symmetric order-flow shock

Preve, Daniel; Tse, Yiu Kuen - In: Journal of applied econometrics 28 (2013) 7, pp. 1138-1152

Persistent link: https://www.econbiz.de/10010351081

Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach

Liu, Shouwei; Tse, Yiu Kuen - In: Journal of econometrics 189 (2015) 2, pp. 437-446

Persistent link: https://www.econbiz.de/10011504612

Cross-return predictability in Pacific Basin stock markets

Chan, Wai-Sum - In: Asia Pacific journal of management : APJM ; a … 11 (1994) 2, pp. 289-303

Persistent link: https://www.econbiz.de/10001174918

Lead-lag relationship between spot index and futures price of the Nikkei Stock Average

Tse, Yiu Kuen - In: Journal of forecasting 14 (1995) 7, pp. 553-563

Persistent link: https://www.econbiz.de/10001192928

Nonlinear dynamics of the Nikkei Stock Average Futures

Tse, Yiu Kuen - In: Financial engineering and the Japanese markets 2 (1995) 3, pp. 181-195

Persistent link: https://www.econbiz.de/10001203355