Similar Search Results - EconBiz

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

On the robustness of tests of outliers and functional form

McAleer, Michael; Tse, Yiu Kuen - 1991

Persistent link: https://www.econbiz.de/10000829589

Functional form and spatial dependence in dynamic panels

Yang, Zhenlin; Li, Chenwei; Tse, Yiu Kuen - In: Economics letters 91 (2006) 1, pp. 138-145

Persistent link: https://www.econbiz.de/10003315129

A corrected plug-in method for quantile interval construction through a transformed regression

Yang, Z. L.; Tse, Yiu Kuen - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 3, pp. 356-376

Persistent link: https://www.econbiz.de/10003497043

Generalized LM tests for functional form and heteroscedasticity

Yang, Zhenlin; Tse, Yiu Kuen - In: The econometrics journal 11 (2008) 2, pp. 349-376

Persistent link: https://www.econbiz.de/10003750838

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

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

A sequential testing procedure for outliers and structural change

McAleer, Michael - In: Econometric reviews 7 (1988) 1, pp. 103-111

Persistent link: https://www.econbiz.de/10001054258

A sequential testing procedure for outliers and structural change

McAleer, Michael; Tse, Yiu Kuen - 1988

Persistent link: https://www.econbiz.de/10000009169

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