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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

The lead-lag relation between the S&P500 spot and futures markets : an intraday-data analysis using a threshold regression model

Tse, Yiu Kuen; Chan, Wai-Sum - In: The Japanese economic review : the journal of the … 61 (2010) 1, pp. 133-144

Persistent link: https://www.econbiz.de/10003980315

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

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

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

Hedging downside risk with futures contracts

Lien, Da-hsiang Donald; Tse, Yiu Kuen - In: Applied financial economics 10 (2000) 2, pp. 163-170

Persistent link: https://www.econbiz.de/10001526213

A note on the length effect of futures hedging

Lien, Da-hsiang Donald; Tse, Yiu Kuen - In: Advances in investment analysis and portfolio … 7 (2000), pp. 131-143

Persistent link: https://www.econbiz.de/10001542589

The conditional heteroscedasticity of the yen-dollar exchange rate

Tse, Yiu Kuen - In: Journal of applied econometrics 13 (1998) 1, pp. 49-55

Persistent link: https://www.econbiz.de/10001237949