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Conditional heteroscedasticity of exchange rates : further results based on the fractionally integrated approach

Tsui, Albert K.; Ho, Kin-Yip - In: Journal of applied econometrics 19 (2004) 5, pp. 637-642

Persistent link: https://www.econbiz.de/10002342812

Exchange rate exposure of sectoral returns and volatilities : evidence from Japanese industrial sectors

Jayasinghe, Prabhath; Tsui, Albert K. - In: Japan and the world economy : international journal of … 20 (2008) 4, pp. 639-660

Persistent link: https://www.econbiz.de/10003778520

Exchange rates and ownership structure of Japanese multinational firms

Kasuga, Hidefumi; Tsui, Albert K. - In: Japan and the world economy : international journal of … 20 (2008) 4, pp. 661-678

Persistent link: https://www.econbiz.de/10003778521

New estimates of time-varying currency betas : a trivariate BEKK approach

Jayasinghe, Prabhath; Tsui, Albert K.; Zhang, Zhaoyong - In: Economic modelling 42 (2014), pp. 128-139

Persistent link: https://www.econbiz.de/10010478223

Exchange rate exposure of sectoral returns and volatilities : further evidence from Japanese industrial sectors

Jayasinghe, Prabhath; Tsui, Albert K.; Zhang, Zhaoyong - In: Pacific economic review 19 (2014) 2, pp. 216-236

Persistent link: https://www.econbiz.de/10010503073

Estimating time-varying currency betas with contagion : new evidence from developed and emerging financial markets

Long, Ling; Tsui, Albert K.; Zhang, Zhaoyong - In: Japan and the world economy : international journal of … 30 (2014), pp. 10-24

Persistent link: https://www.econbiz.de/10010462927

A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations

Tse, Yiu Kuen; Tsui, Albert K. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 351-362

Persistent link: https://www.econbiz.de/10001695276

Conditional volatility in foreign exchange rates : evidence from the alaysian ringgit and Singapore dollar

Tse, Yiu Kuen - In: Pacific-Basin finance journal 5 (1997) 3, pp. 345-356

Persistent link: https://www.econbiz.de/10001229128

Volatility timing in CPF investment funds in Singapore : do they outperform non-CPF funds?

Shen, Xiaoyi; Tsui, Albert K.; Zhang, Zhaoyong - In: Risks : open access journal 7 (2019) 4/106, pp. 1-16

The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central Provident Fund (CPF) Investment Scheme and non-CPF linked funds by taking into account the currency risk effect on internationally managed funds. In particular, we empirically...

Persistent link: https://www.econbiz.de/10012127925

Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets

Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong - In: The North American journal of economics and finance : a … 46 (2018), pp. 168-186

Persistent link: https://www.econbiz.de/10012036615