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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

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

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

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

Forecasting volatility in the Singapore stock market

Tse, Yiu Kuen - In: Asia Pacific journal of management : APJM ; a … 9 (1992) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10001131196

Stock returns volatility in the Tokyo stock exchange

Tse, Yiu Kuen - In: Japan and the world economy : international journal of … 3 (1991) 3, pp. 285-298

Persistent link: https://www.econbiz.de/10001115736

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

Selecting an index for a stock index futures contract : an analysis of the Singapore market

Tay, Anthony S. A. - In: Review of futures markets 10 (1993) 3, pp. 412-431

Persistent link: https://www.econbiz.de/10001143662

Price-volume relation in stocks : a multiple time series analysis on the Singapore market

Chan, Wai-Sum - In: Asia Pacific journal of management : APJM ; a … 10 (1993) 1, pp. 39-56

Persistent link: https://www.econbiz.de/10001148864

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